--Class A notes at 'AAsf'; Outlook Stable.
KEY RATING DRIVERS
The affirmations reflect the increase in credit enhancement since closing and strong collateral performance. Credit and residual performance has been well within Fitch's expectations to date. The Stable Outlook reflects Fitch's expectation that the notes will remain sufficiently enhanced to cover stressed loss levels consistent with the current ratings.
Fitch will continue to monitor economic conditions and their impact and the trust level performance variables and update the ratings accordingly.
Unanticipated increases in the frequency of defaults or deterioration in vehicle values could produce loss levels higher than the current expectations and impact available loss coverage. 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 transaction, the notes were found to have limited sensitivity to a 1.5x and 2.5x increase of Fitch's base case default expectation.
To date, the transaction has exhibited strong credit and residual performance, well within Fitch's initial expectations with rising loss coverage. Despite the growth in credit enhancement to date, the residual portion of the transaction continues to become a larger percentage of the securitization value. As a result, the transaction continues to be sensitive to fluctuations in residual values. A material deterioration in vehicle values could potentially have a negative impact on the outstanding ratings.
Fitch's stress and rating sensitivity analyses are discussed in the press release titled Fitch Rates NCAR LP Promissory Note', dated
Individual Representations, Warranties, and Enforcement Mechanisms reports are available for all structured finance transactions initially rated on or after
Additional information is available at 'www.fitchratings.com'.
The information used to assess these ratings was sourced from the issuer, periodic trustee reports, note valuation reports, and the public domain.
--'Criteria for Rating U.S. Auto Lease ABS' (
--'Global Structured Finance Rating Criteria' (
--'Fitch Rates NCAR LP Promissory Note' (
--'Nissan Canada Auto Receivables Limited Partnership Promissory Notes 2012-01 -- Appendix' (
Criteria for Rating U.S. Auto Lease ABS
Global Structured Finance Rating Criteria
Nissan Canada Auto Receivables Limited Partnership Promissory Notes 2012-01 -- Appendix
Source: Fitch Ratings
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