Key Rating Drivers
Collateral Quality: The collateral composition and credit quality of 2014-A is generally consistent with prior pools with a
Increase in Infiniti Vehicles: Infiniti brand vehicles increased to 25.40% while Nissan brand vehicles declined to 74.60%.
Extended Term Loans: Loans with terms over 60 months have increased to 52.28% (the highest level to date) and include 7.72% of loans with 73-75-month original terms. This is the second transaction to include loans with 73-75-month terms.
Sufficient Enhancement: 2014-A incorporates a sequential-pay structure and initial hard credit enhancement (CE) totals 4.25%, consistent with recent transactions. Overall 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 with low losses historically in early 2014.
Stable Origination, Underwriting and Servicing Platform: Fitch believes NMAC demonstrates adequate abilities as originator, underwriter, and servicer for 2014-A as evidenced by historical portfolio and securitization performance.
Unstable Economic Outlook: A slower recovery and potential for volatility could affect delinquencies and losses. Fitch's analysis accounts for this risk by including poorer performing vintages from the recent recession in the base-case loss analysis.
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. In turn, it could result in potentially adverse rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to all classes of Nissan Auto Receivables 2014-A Owner Trust to increased losses over the life of the transaction. Fitch's analysis found that the notes display some sensitivity to increased defaults and losses. In fact, they could lead to potential downgrades of up to one category under Fitch's moderate (1.5x base-case loss) scenario. The notes could experience downgrades of up to two rating categories under Fitch's severe (2.5x base-case loss) scenario.
Key Rating Drivers and Rating Sensitivities are further described in Fitch's presale report, available at 'www.fitchratings.com' or by clicking on the link below.
Additional information is available at www.fitchratings.com.
--'Global Structured Finance Rating Criteria' (
--'Rating Criteria for U.S. Auto Loan ABS' (
--'Structured Finance Tranche Thickness Metrics' (
--'Nissan Auto Receivables 2014-A Owner Trust Appendix' (
Structured Finance Tranche Thickness Metrics
Rating Criteria for U.S. Auto Loan ABS
Nissan Auto Receivables 2014-A Owner Trust -- Appendix
Nissan Auto Receivables 2014-A Owner Trust (US ABS)
Global Structured Finance Rating Criteria
Source: Fitch Ratings
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