News Column

Fitch Affirms Nissan Master Owner Trust Receivables Outstanding Notes

February 19, 2014

Fitch Ratings has affirmed the following outstanding notes issued by Nissan Master Owner Trust Receivables as a result of its annual review of the trust:

NMOTR, Series 2012-A

--$1,000,000,000 class A notes at 'AAAsf'; Outlook Stable.

NMOTR, Series 2012-B

--$250,000,000 class A notes at 'AAAsf'; Outlook Stable.

NMOTR, Series 2013-A

--$1,000,000,000 class A notes at 'AAAsf'; Outlook Stable.

Key Rating Drivers

The affirmation on the notes is reflective of the strong dealer health and stable trust performance metrics, consistent with the current ratings. The trust continues to perform within Fitch's expectations.

The rating actions are based on the application of Fitch's global dealer floorplan ABS criteria, and the breakeven net loss coverage levels provided by the structure's credit enhancement, which is currently comprised of overcollateralization and a 1 percent cash reserve account.

Fitch's review of the assumptions and stresses during the initial rating review and the current coverage levels, are consistent with the approach outlined in the criteria for Category B DFP platforms. NMOTR's classification remains unchanged at Category B for the purposes of this review.

The assets securing the notes consist of an undivided interest in a pool of revolving DFP receivables that were originated by Nissan Motor Acceptance Corp.

Fitch will continue to monitor NMOTR and may take additional rating action in the event of changes in performance and/or credit enhancement.

Rating Sensitivity

To conduct rating sensitivity for the issued notes, under a category B DFP platform, Fitch assumes portfolio default levels at 5 percent, 10 percent, and 15 percent, and under two recovery-level scenarios of 50 percent and 30 percent. Fitch modeled this series with the assumption that the above defaults have occurred, reflecting asset performance in a stressed environment. Please refer to each individual transaction's presale report for further detail, the most recent of which is titled 'Nissan Master Owner Trust, Series 2013-A', dated Feb. 19, 2013.

Fitch's analysis of the Representation and Warranties of the transactions in this review initially rated on or after Sept. 26, 2011 can be found in the respective appendices listed below. 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 'fitchratings.com'.

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