Fitch Affirms Nine Classes from Four Nissan Auto Receivables Owner Trusts

NEW YORK--(BUSINESS WIRE)-- As part of its ongoing surveillance, Fitch Ratings has affirmed nine outstanding classes of four Nissan Auto Receivables Owner Trusts: 2013-A, 2014-A, 2014-B and 2015-C. A full list of rating actions follows at the end of this release.

KEY RATING DRIVERS

The rating affirmations are based on available credit enhancement (CE) and loss performance of each transaction. The collateral pools continue to perform within Fitch's expectations. Based on the current structure and CE, the securities are able to withstand stress scenarios consistent with the original ratings and make full payments to investors in accordance with the terms of the documents.

RATING SENSITIVITIES

Unanticipated increases in the frequency of defaults and loss severity could produce loss levels higher than the current projected base case loss proxy and impact available loss coverage and multiples levels for the transaction. Lower loss coverage could impact ratings and Rating Outlooks, depending on the extent of the decline in coverage.

In Fitch's initial review of the transaction, the notes were found to have limited sensitivity to a 1.5x and 2.5x increase of Fitch's base case loss expectation. To date, the transaction has exhibited strong performance with losses well within Fitch's initial expectations with rising loss coverage and multiple levels. As such, a material deterioration in performance would have to occur within the asset pool to have potential negative impact on the outstanding ratings.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.

Fitch has affirmed the following ratings:

Nissan Auto Receivables 2013-A Owner Trust

--Class A-4 at 'AAAsf'; Outlook Stable.

Nissan Auto Receivables 2014-A Owner Trust

--Class A-3 at 'AAAsf'; Outlook Stable;

--Class A-4 at 'AAAsf'; Outlook Stable.

Nissan Auto Receivables 2014-B Owner Trust

--Class A-3 at 'AAAsf'; Outlook Stable;

--Class A-4 at 'AAAsf'; Outlook Stable.

Nissan Auto Receivables 2015-C Owner Trust

--Class A-2a at 'AAAsf'; Outlook Stable;

--Class A-2b at 'AAAsf'; Outlook Stable;

--Class A-3 at 'AAAsf'; Outlook Stable;

--Class A-4 at 'AAAsf'; Outlook Stable.

Additional information is available at www.fitchratings.com

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 01 Sep 2016)

https://www.fitchratings.com/site/re/886006

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 17 May 2016)

https://www.fitchratings.com/site/re/879815

Global Structured Finance Rating Criteria (pub. 27 Jun 2016)

https://www.fitchratings.com/site/re/883130

Rating Criteria for U.S. Auto Loan ABS (pub. 21 Mar 2016)

https://www.fitchratings.com/site/re/878723

Related Research

Nissan Auto Receivables 2013-A Owner Trust -- Appendix

https://www.fitchratings.com/site/re/708479

Nissan Auto Receivables 2014-A Owner Trust -- Appendix

https://www.fitchratings.com/site/re/735596

Nissan Auto Receivables 2014-B Owner Trust - Appendix

https://www.fitchratings.com/site/re/807848

Nissan Auto Receivables 2015-C Owner Trust -- Appendix

https://www.fitchratings.com/site/re/871817

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1011600

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1011600

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

View source version on businesswire.com: http://www.businesswire.com/news/home/20160913006516/en/

Fitch Ratings
Primary Analyst
Yun Tian
Associate Director
+1 212-908-0307
Fitch Ratings, Inc
33 Whitehall Street,
New York, NY 10004
or
Committee Chairperson
Du Trieu
Senior Director
+1 312-368-2091
or
Media Relations:
Sandro Scenga, +1 212-908-0278
[email protected]

Source: Fitch Ratings

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