Fitch to Rate Nissan Auto Receivables 2015-C Owner Trust; Issues Presale
--$174,000,000 class A-1 notes 'F1+sf';
--$155,000,000 class A-2a notes 'AAAsf'; Outlook Stable;
--$155,000,000 class A-2b notes 'AAAsf'; Outlook Stable;
--$236,000,000 class A-3 notes 'AAAsf'; Outlook Stable;
--$80,000,000 class A-4 notes 'AAAsf'; Outlook Stable.
KEY RATING DRIVERS
Consistent Collateral Pool: The collateral composition and credit quality of 2015-C are generally consistent with those of prior pools. The weighted average (WA) Fair Isaac Corp. (FICO) score is 772, new vehicles total 90.86%, Nissan brand vehicles represent 92.67%, and the pool is geographically diverse.
Extended-Term Loans: Loans with terms of more than 60 months total 53.66% of the pool, which includes 73-75-month original term loans that total less than 4%. This is the sixth NAROT pool to include 73-75-month loan terms.
Sufficient Enhancement: 2015-C 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 first quarter-end 2015 (1Q15).
Stable Origination, Underwriting, and Servicing: Fitch believes NMAC demonstrates adequate abilities as originator, underwriter, and servicer to service 2015-C, 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.
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 2015-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. 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 may be obtained through the link at the bottom of the related rating action commentary.
Fitch's analysis of the Representations and Warranties (R&W) of this transaction can be found in the reports titled ' Nissan Auto Receivables 2015-C 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.