Fitch to Rate Nissan Auto Receivables 2013-C Owner Trust; Issues Presale
NEW YORK -- December 3, 2013
Link to Fitch Ratings' Report: Nissan Auto Receivables 2013-C Owner Trust (US
Fitch Ratings expects to assign the following ratings and Rating Outlooks to
the notes issued by Nissan Auto Receivables 2013-C Owner Trust listed below:
--$158,000,000 class A-1 'F1+sf';
--$222,000,000 class A-2 'AAAsf'; Outlook Stable;
--$336,000,000 class A-3 'AAAsf'; Outlook Stable;
--$84,000,000 class A-4 'AAAsf'; Outlook Stable;
Key Rating Drivers
Consistent Collateral Pool: The collateral composition and credit quality of
2013-C is generally consistent with prior pools. The WA Fair Isaac Corp.
(FICO) score is 758, new vehicles total 96.36%, Nissan brand vehicles
represent 95.54% and the pool is geographically diverse.
Extended Term Loans: Loans with terms of more than 60 months have increased to
49.03% (the highest level seen to date) and include 4.09% of loans with 73-75
month original terms. This is the first NAROT transaction to include loans
with 73-75 month loan terms.
Sufficient Enhancement: 2013-C incorporates a sequential-pay structure and
initial hard credit enhancement (CE) totals 4.25%, consistent with recent
transactions. Overall 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 have declined from peak levels in 2009, and have
since stabilized at lower levels.
Stable Origination, Underwriting and Servicing Platform: Fitch believes NMAC
demonstrates adequate abilities as originator, underwriter and servicer for
Unstable Economic Outlook: A slower recovery 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.
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.
Unanticipated increases in the frequency of defaults and loss severity on
defaulted receivables could produce loss levels higher than the base case. In
turn, it could result in potentially adverse rating actions on the notes.
Fitch evaluated the sensitivity of the ratings assigned to all classes of
Nissan Auto Receivables 2013-C Owner Trust to increased losses over the life
of the transaction. Fitch's analysis found that the notes display some
sensitivity to increased defaults and losses. In fact, they could lead to
potential downgrades of up to one category under Fitch's moderate (1.5x base
case loss) scenario. 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 Fitch's
presale report, available at 'www.fitchratings.com' or by clicking on the
Additional information is available at www.fitchratings.com.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (May 24, 2013);
--'Rating Criteria for U.S. Auto Loan ABS' (April 10 2013);
--'Structured Finance Tranche Thickness Metrics' (July 29, 2011).
--'Nissan Auto Receivables 2013-C Owner Trust Appendix' (Dec. 3, 2013).
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
Rating Criteria for U.S. Auto Loan ABS
Structured Finance Tranche Thickness Metrics
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
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.
Joyce Fargas, +1 212-908-0824
Fitch Ratings, Inc., One State Street Plaza, New York, NY 10004
Tom Kaiser, +1 312-368-3338
John Bella, Jr., +1 212-908-0243
Sandro Scenga, +1 212-908-0278
Press spacebar to pause and continue. Press esc to stop.