Fitch to Rate Nissan Auto Receivables 2015-A Owner Trust; Issues Presale

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings expects to assign the following ratings and Rating Outlooks to the Nissan Auto Receivables 2015-A Owner Trust notes:

--$239,000,000 class A-1 'F1+sf';

--$280,000,000 class A-2 'AAAsf'; Outlook Stable;

--$390,000,000 class A-3 'AAAsf'; Outlook Stable;

--$91,000,000 class A-4 'AAAsf'; Outlook Stable.

KEY RATING DRIVERS

Consistent Collateral Pool: The collateral composition and credit quality of 2015-A is generally consistent with prior pools. The WA Fair Isaac Corp. (FICO) score is 769, new vehicles total 91%, Nissan brand vehicles represent 87%, and the pool is geographically diverse.

Extended-Term Loans: Loans with terms of more than 60 months total 53.56% of the pool, and includes 73-75 month original term loans which total 9%. This is the fourth NAROT pool to include 73 - 75 month loan terms.

Sufficient Enhancement: 2015-A 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 within historical levels at YE2014 and early 2015.

Stable Origination, Underwriting and Servicing: Fitch believes NMAC demonstrates adequate abilities as originator, underwriter and servicer to service 2015-A, as evidenced by their historical portfolio and securitization performance.

Evolving Wholesale Market: The U.S. wholesale vehicle market is normalizing following strong performance in recent years. Fitch expects increasing used vehicle supply from off-lease vehicles and trade-ins to pressure ABS recovery rates leading to moderately higher loss rates. Fitch's analysis accounts for this risk by including periods of weak wholesale vehicle market performance in the derivation of its base case loss expectation.

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 2015-A 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.

Key Rating Drivers and Rating Sensitivities are further described in the presale report. Fitch's analysis of the Representations and Warranties (R&W) of this transaction can be found in Nissan Auto Receivables 2015-A Owner Trust -- 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 Global Structured Finance Transactions' dated Mar. 26, 2015.

Additional information is available at www.fitchratings.com.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (March 2015);

--'Rating Criteria for U.S. Auto Loan ABS' (April 2014);

--'Structured Finance Tranche Thickness Metrics' (July 2011);

--'Nissan Auto Receivables 2015-A Owner Trust - Appendix (April 2015).

Applicable Criteria and Related Research: Nissan Auto Receivables 2015-A Owner Trust (US ABS)

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864251

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864268

Rating Criteria for U.S. Auto Loan ABS

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=738718

Structured Finance Tranche Thickness Metrics

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=646951

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=982463

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.

Fitch Ratings
Primary Analyst
John Alberici
Associate Director
+1-212-908-0370
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Yun Tian
Associate Director
+1-212-908-0307
or
Committee Chairperson
Bradley Sohl
Senior Director
+1-212-908-1792
or
Media Relations:
Sandro Scenga, +1-212-908-0278
[email protected]

Source: Fitch Ratings

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