OREANDA-NEWS. Fitch Ratings has placed the class A notes of Nifty Warehouse Trust No.2 (Nifty 2) on Rating Watch Negative (RWN) as follows:

AUD750m Class A notes: 'AAAsf' placed on Rating Watch Negative

The action was taken following the publication of Fitch's "Counterparty Criteria for Structured Finance and Covered Bonds" and "Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum" dated 18 July 2016. Fitch will implement the criteria changes and resolve the RWN within six months from the criteria publication date.

The transaction is backed by auto loans and leases originated by Nissan Financial Services Australia (NFSA). The notes were issued by Perpetual Corporate Trust Limited in its capacity as trustee of Nifty 2.

KEY RATING DRIVERS

The RWN reflects the absence of collateral posting provisions in the transaction documents and is viewed as a credit negative under Fitch's updated counterparty criteria. In Fitch's view, provisions to allow for collateral to be posted, in the event of a downgrade of the swap provider, are a key remedial factor to address counterparties' credit quality deterioration.

RATING SENSITIVITIES

The class A notes will be downgraded to 'AAsf' if collateral posting provisions are not incorporated into the transaction documents.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY

Fitch conducted a file review of 10 sample loan files, focusing on the underwriting procedures conducted by NFSA compared to its credit policy at the time of underwriting. Fitch checked the consistency and plausibility of the information and no material discrepancies were noted that would impact Fitch's rating analysis.

A comparison of the transaction's representations, warranties and enforcement mechanisms (RW&Es) to those of typical RW&Es for this asset class is available by accessing the reports and/or links given under Related Research below.