Fitch Ratings has assigned the following ratings and Rating
Outlooks to the notes issued by Nissan Auto Receivables 2016-A
Owner Trust listed below:
--$220,000,000 class A-1 'F1+sf';
--$210,000,000 class A-2a 'AAAsf'; Outlook Stable;
--$175,000,000 class A-2b 'AAAsf'; Outlook Stable;
--$305,000,000 class A-3 'AAAsf'; Outlook Stable;
--$90,000,000 class A-4 'AAAsf'; Outlook Stable.
KEY RATING DRIVERS
Consistent Collateral Pool: The collateral composition and
credit quality of 2016-A are generally consistent with those of
prior pools. The weighted average (WA) Fair Isaac Corp. (FICO)
score is 763, new vehicles total 93.1%, Nissan brand vehicles
represent nearly 82.7%, and the pool is geographically diverse.
Extended-Term Loans: Loans with terms of more than 60 months
total 59.2% of the pool, which includes 73 -- 75 month original
term loans at less than 5%. This is the seventh NAROT pool to
include 73 -- 75 month loan terms.
Sufficient Enhancement: 2016-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
were within historical levels at third quarter-end 2015 (3Q15).
Stable Origination, Underwriting and Servicing: Fitch believes
NMAC demonstrates adequate abilities as originator, underwriter and
servicer to service 2016-A, as evidenced by its historical
portfolio and securitization performance.
Evolving Wholesale Market: The U.S. wholesale vehicle market
(WVM) 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 WVM 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 2016-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.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information
from Ernst & Young LLP. The third-party due diligence 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 the findings did not have an
impact on the analysis. A copy of the ABS Due Diligence Form-15E
received by Fitch in connection with this transaction is available
by clicking on the link that follows at the end of this
release.
Fitch's analysis of the Representations and Warranties (R&W)
of this transaction can be found in the reports titled ' Nissan
Auto Receivables 2016-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 June 12, 2015.
Additional information is available at www.fitchratings.com.
Applicable Criteria
Counterparty Criteria for Structured Finance and Covered Bonds
(pub. 14 May 2014)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158
Criteria for Interest Rate Stresses in Structured Finance
Transactions and Covered Bonds (pub. 19 Dec 2014)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=838868
Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952
Rating Criteria for U.S. Auto Loan ABS (pub. 15 Oct 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=872046
Related Research
Nissan Auto Receivables 2016-A Owner Trust -- Appendix
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=876370
Additional Disclosures
Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=999318
ABS Due Diligence Form 15E 1
https://www.fitchratings.com/creditdesk/press_releases/content/ridf15E_frame.cfm?pr_id=999318&flm_nm=15e_999318_1.pdf
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=999318
Endorsement Policy
https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31
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DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY
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ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.
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Fitch RatingsPrimary AnalystJohn AlbericiAssociate
Director+1-212-908-0370Fitch Ratings, Inc.33 Whitehall StreetNew
York, NY 10004orSecondary AnalystYun TianAssociate
Director+1-212-908-0307orCommittee ChairpersonHylton HeardSenior
Director+1-212-908-0214orMedia Relations:Sandro Scenga, +1
212-908-0278sandro.scenga@fitchratings.com