NEW YORK--(BUSINESS WIRE)--Link to Fitch Ratings' Report: Nissan Auto Receivables 2014-B Owner Trust (US ABS)
Fitch Ratings expects to assign the following ratings and Rating Outlooks to the notes issued by Nissan Auto Receivables 2014-B Owner Trust listed below:
--$179,000,000 class A-1 'F1+sf';
--$243,000,000 class A-2 'AAAsf'; Outlook Stable;
--$343,000,000 class A-3 'AAAsf'; Outlook Stable;
--$85,000,000 class A-4 'AAAsf'; Outlook Stable.
KEY RATING DRIVERS
Consistent Collateral Pool: The collateral composition and credit quality of 2014-B are generally consistent with those of prior pools. The weighted average (WA) Fair Isaac Corp. (FICO) score is 761; new vehicles total 92%; Nissan brand vehicles represent 90%; and the pool is geographically diverse.
Extended-Term Loans: Loans with terms of more than 60 months total 46.8% of the pool and include approximately 7% of loans with 73-75 month original terms. This is the third NAROT transaction to include these extended term loans.
Sufficient Enhancement: 2014-B incorporates a sequential-pay structure. 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 are currently stable at low levels in 2014.
Stable Origination, Underwriting and Servicing: Fitch believes NMAC demonstrates adequate abilities as originator, underwriter and servicer for 2014-B.
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.
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 2014-B 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 detailed in Fitch's presale report. Fitch's analysis of the Representations and Warranties (R&W) of this transaction can be found in Nissan Auto Receivables 2014-B Owner Trust -- Appendix'. These R&W are compared to those of typical R&W for the asset class as detailed in Fitch's Oct. 31 special report, 'Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions'.
Additional information is available at www.fitchratings.com.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (May 2014);
--'Rating Criteria for U.S. Auto Loan ABS' (April 2014);
--'Structured Finance Tranche Thickness Metrics' (July 2011);
--'Nissan Auto Receivables 2014-B Owner Trust - Appendix (Dec 2014).