Fitch Expects to Rate Nissan Auto Receivables 2013-A Owner Trust; Presale
NEW YORK -- January 7, 2013
Fitch Ratings expects to assign the following ratings to the Nissan Auto
Receivables 2013-A Owner Trust notes:
--$237,000,000 class A-1 'F1+sf';
--$315,000,000 class A-2 'AAAsf'; Outlook Stable;
--$306,000,000 class A-3 'AAAsf'; Outlook Stable;
--$142,000,000 class A-4 'AAAsf'; Outlook Stable.
Key Rating Drivers
Strong Consistent Collateral Pool: The collateral composition and credit
quality of 2013-A is generally consistent with prior pools securitized by
Nissan Motor Acceptance Corp., with a weighted average (WA) Fair Isaac Corp.
(FICO) score of 763. However, the concentration of extended term contracts
(61+ months) has increased to 46.59% from 38.59% in 2012-B.
Sufficient Enhancement: The 2013-A transaction incorporates a sequential-pay
structure, consistent with prior transactions. Initial hard credit enhancement
(CE) totals 4.25% in 2013-A, consistent with recent transactions. Overall CE
is sufficient to cover the Fitch 'AAAsf'-stressed lifetime cumulative net loss
Strong Portfolio/Securitization Performance: NMAC portfolio and securitization
delinquencies and losses have declined in recent vintages. This improvement is
supported by the recovery of the U.S. economy, NMAC's implementation of new
underwriting policies in 2009 and 2010, and high credit quality originations.
Stable Origination, Underwriting, and Servicing Platform: Fitch believes NMAC
demonstrates adequate abilities to act as originator, underwriter, and
servicer to service 2013-A.
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.
Unstable Economic Outlook: The slow recovery, impact from recent fiscal cliff
events and potential for volatility could affect delinquencies and losses.
Fitch's analysis accounts for this risk by including poorer performing
vintages from the recent recession in the base case loss analysis.
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Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria', June 6, 2012;
--'Rating Criteria for U.S. Auto Loan ABS', April 16, 2012;
--'Structured Finance Tranche Thickness Metrics', July 29, 2011.
Applicable Criteria and Related Research: Nissan Auto Receivables 2013-A Owner
Trust (US ABS)
Global Structured Finance Rating Criteria
Structured Finance Tranche Thickness Metrics
Rating Criteria for U.S. Auto Loan ABS
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