Fitch Affirms One Class of Nissan Canada Auto Receivables Limited Partnership

NEW YORK--(BUSINESS WIRE)-- As part of its ongoing surveillance, Fitch Ratings has affirmed the Nissan Canada Auto Receivables Limited Partnership series class A notes at 'AAsf' with a Stable Outlook.

KEY RATING DRIVERS

The affirmations reflect the increase in credit enhancement since closing and strong collateral performance. Credit and residual performance has been well within Fitch's expectation to date. The Stable Outlook reflects Fitch's expectation that the notes will remain sufficiently enhanced to cover stressed loss levels consistent with the current ratings.

Fitch will continue to monitor economic conditions and the trust level performance variables, and update the ratings accordingly.

RATING SENSITIVITIES

Unanticipated increases in the frequency of defaults and deterioration in vehicle values could produce loss levels higher than the current expectations and impact available loss coverage. 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 credit and residual performance with losses within Fitch's initial expectations with rising loss coverage. Despite the growth in credit enhancement to date, the residual portion of the transaction continues to become a larger percentage of the securitization value. As a result, the transaction continues to be sensitive to fluctuations in residual values. A material deterioration in performance would have to occur within the asset pool to have potential negative impact on the outstanding ratings.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action

Fitch's analysis of the Representation and Warranties (R&W) of the transactions in this review can be found in 'Nissan Canada Auto Receivables Limited Partnership Promissory Notes 2012-01 Appendix. These R&W are compared to those of typical R&W for the asset class as detailed in the special report 'Representations, Warranties, and Enforcement Mechanisms in the Global Structured Finance Transactions' dated March 26, 2015.

Additional information is available at www.fitchratings.com

Applicable Criteria

Criteria for Rating U.S. Auto Lease ABS (pub. 24 Apr 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864500

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Related Research

Nissan Canada Auto Receivables Limited Partnership Promissory Notes 2012-01 -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=689102

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=988289

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=988289

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/20150721006527/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
Kevin Corrigan
Senior Director
+1-212-908-0156
or
Media Relations:
Sandro Scenga, +1-212-908-0278
[email protected]

Source: Fitch Ratings

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