As part of its ongoing surveillance, Fitch Ratings affirms two classes of the Nissan Auto Receivables 2011-B Owner Trust as detailed below:
--Class A-3 at 'AAAsf'; Outlook Stable;
--Class A-4 at 'AAAsf'; Outlook Stable.
KEY RATING DRIVERS
The ratings affirmations are based on available credit enhancement and loss performance. The collateral pool continues to perform within Fitch's expectations. Based on the current structure and credit enhancement, the securities are able to withstand stress scenarios consistent with the original ratings and make full payments to investors in accordance with the terms of the documents.
RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults and loss severity could produce loss levels higher than the current projected base case loss proxy and impact available loss coverage and multiples levels for the transactions. Lower loss coverage could impact ratings and Rating Outlooks, depending on the extent of the decline in coverage.
In Fitch's initial review of the transactions, the notes were found to have limited sensitivity to a 1.5x and 2.5x increase of Fitch's base case loss expectation. To date, the transactions have exhibited strong performance with losses well within Fitch's initial expectations with rising loss coverage and multiple levels. As such, a material deterioration in performance would have to occur within the asset pools to have potential negative impact on the outstanding ratings.
Fitch's analysis of the Representation and Warranties (R&W) of this transaction can be found in 'Nissan Auto Receivables 2011-B 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 the Global Structured Finance Transactions' dated April 17, 2012.
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and related research:
--'Rating Criteria for U.S. Auto Loan ABS', dated April 7, 2014;
--'Global Structured Finance Rating Criteria', dated Aug. 4, 2014;
--'Nissan Auto Receivables 2011-B Owner Trust - Appendix', dated Nov. 7, 2011.
Applicable Criteria and Related Research:
Rating Criteria for U.S. Auto Loan ABS
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=738718
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389
Nissan Auto Receivables 2011-B Owner Trust - Appendix
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=656069
Additional Disclosure
Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=873595
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Contacts:
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John Alberici
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Fitch
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