Fitch Ratings expects to rate Nissan Master Owner Trust Receivables (NMOTR), series 2012-A (2012-A) and 2012-B (2012-B) as follows:
--$500,000,000 class A notes 'AAAsf'; Outlook Stable.
--$250,000,000 class A notes 'AAAsf'; Outlook Stable.
Fitch's stress and rating sensitivity analysis are discussed in the presale report titled 'Nissan Master Owner Trust Receivables 2012-A/ 2012-B', dated May 14, 2012, which is available on Fitch's web site. Series 2012-A has a three-year expected maturity with an expected principal payment date on May 15, 2015, while series 2012-B has a two-year expected maturity with an expected principal payment date on May 15, 2014. The class A notes from both series carry floating-rate coupons based off one-month LIBOR.
KEY RATING DRIVERS
Good Quality of Receivables: The receivables backing 2012-A/B are backed by more than 90% new vehicles and mainly Nissan and Infiniti new and used vehicles, as well as a small portion of those of other manufacturers.
Asset Concentrations: Dealers are subject to specific concentration limits, mitigating the risk of individual dealer defaults and losses. Furthermore, the exposure to individual vehicle types, dealer credit ratings, and state concentrations are mitigated with concentration limits.
Strong Dealer Network: Based on a review of dealer financial metrics and NMAC's internal dealer risk ratings (categorized into four distinct groups), the financial health of the participating dealer network is currently viewed as strong, with the majority of dealers profitable in 2012.
Strong Trust Performance: NMOTR has continued to experience positive trends in overall performance, including elevated monthly payment rates (MPRs) and asset yields, low agings and delinquencies, and minimal dealer defaults and trust losses.
Sufficient Credit Enhancement: Initial credit enhancement (CE) for the class A notes is 26.54%, consisting of 25.79% overcollateralization (OC) and a 0.75% reserve (for both of the initial note balance). Structural features, including early amortization triggers, mitigate risks stemming from dealer/manufacturer defaults/bankruptcies.
Consistent Origination and Servicing: NMAC demonstrates adequate abilities as an originator, underwriter, and servicer, as evidenced by the historical delinquency and loss performance of NMOTR.
Legal Structure Integrity: The legal structure of the transaction provides that a bankruptcy of NMAC would not impair the timeliness of payments on the securities.
Additional information is available at 'www.fitchratings.com'. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.
Applicable Criteria and Related Research:
--'Global Rating Criteria for Dealer Floorplan ABS' dated Jan. 25, 2012;
--'Global Structured Finance Rating Criteria' dated Aug. 4, 2011.
Applicable Criteria and Related Research: Nissan Master Owner Trust Receivables, Series 2012-A and 2012-B (US ABS)
Global Rating Criteria for Dealer Floorplan ABS
Global Structured Finance Rating Criteria
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