Fitch Rates Nissan Auto Receivables 2016-C Owner Trust

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings assigns the following ratings and Rating Outlooks to the Nissan Auto Receivables 2016-C Owner Trust notes:

--Class A-1 notes 'F1+sf';

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

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

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

--Class A-4 notes 'AAAsf'; Outlook Stable;

--Certificates 'NR'.

KEY RATING DRIVERS

Consistent Collateral Pool: The collateral composition and credit quality of 2016-C are generally consistent with those of prior pools. The weighted average (WA) Fair Isaac Corp. (FICO) score is 774, and new vehicles total 91.0%. At 98.7%, this pool has the highest concentration of Nissan brand vehicles. The pool is geographically diverse.

Extended-Term Loans: Loans with terms of more than 60 months total 55.7% of the pool, lower than 60.7% in 2016-B. For 2016-C, this includes 73-75-month original term loans that total 4.1%. This is the eighth NAROT pool to include 73-75-month loan terms.

Sufficient Enhancement: 2016-C incorporates a sequential-pay structure and initial hard credit enhancement (CE) totals 4.25%, consistent with recent transactions. CE is sufficient to cover Fitch's 'AAAsf' stressed lifetime cumulative net loss (CNL) assumption.

Stable Portfolio/Securitization Performance: NMAC portfolio and securitization delinquencies and losses are currently stable and were within historical levels through early 2016.

Stable Origination, Underwriting and Servicing: NMAC demonstrates adequate abilities as originator, underwriter, and servicer to service 2016-C, as evidenced by its historical portfolio and securitization performance.

Integrity of Legal Structure: The legal structure of a transaction should provide that a bankruptcy of NMAC would not impair the timeliness of payments on the securities.

RATING SENSITIVITIES

Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case. This in turn could result in potential rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to all classes of 2016-C to increased losses over the life of the transaction. Fitch's analysis found that the notes display some sensitivity to increased defaults and losses. Under Fitch's moderate (1.5x base case loss) scenario the notes would be unlikely to experience any downgrade. However, the notes could experience downgrades of up to two rating categories under Fitch's severe (2.5x base case loss) scenario.

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

Fitch was provided with Form ABS Due Diligence-15E ("Form 15E") as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on comparing or recalculating certain information with respect to 125 loans from the final data file. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions.

REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS

A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by accessing the appendix referenced under "Related Research" below. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled "Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions," dated May 31, 2016.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 18 Jul 2016)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=884963

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

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=879815

Criteria for Servicing Continuity Risk in Structured Finance (pub. 17 Dec 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=875586

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

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=883130

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

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=878723

Related Research

Nissan Auto Receivables 2016-C Owner Trust -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=885715

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1010209

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1010209

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/20160810006057/en/

Fitch Ratings
Primary Analyst
Puloma Mukherjee, +1-212-908-9131
Associate Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Yun Tian, +1-212-908-0307
Associate Director
or
Committee Chairperson
Hylton Heard, +1-212-908-0214
Senior Director
or
Media Relations
Sandro Scenga, New York, +1-212-908-0278
[email protected]

Source: Fitch Ratings

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