Approximately $1 billion of asset-backed securities affected
New York, April 11, 2011 -- Moody's Investors Service has assigned provisional ratings to the notes
to be issued by Nissan Auto Receivables 2011-A Owner Trust (NAROT
2011-A).
The complete rating actions are as follows:
Issuing Entity: Nissan Auto Receivables 2011-A Owner Trust
A-1 Notes, rated (P)Prime-1 (sf)
A-2 Notes, rated (P)Aaa (sf)
A-3 Notes, rated (P)Aaa (sf)
A-4 Notes, rated (P)Aaa (sf)
RATINGS RATIONALE
Moody's said the ratings are based on the collateral, credit enhancement,
legal structure and the experience of Nissan Motor Acceptance Corporation
(NMAC) as servicer. Credit enhancement consists of overcollateralization,
reserve account, yield supplement overcollateralization and available
excess spread.
The principal methodology used in rating NAROT 2011-A was Moody's
Approach to Rating U.S. Auto Loan-Backed Securities,
rating methodology published in June 2007.
Moody's median cumulative net loss expectation for the NAROT 2011-A
pool is 1.00% and the Volatility Proxy Aaa Level is 6.00%.
Moody's net loss expectation for the NAROT 2011-A transaction is
based on an analysis of the credit quality of the underlying collateral,
historical performance trends, the ability of NMAC to perform the
servicing functions, and current expectations for future economic
conditions.
NAROT 2011-A is structured similarly to NMAC's last transaction,
NAROT 2010-A. The reserve account will be non-declining
at 0.25% of the initial adjusted pool balance which is the
same amount of reserve as 2010-A. Initial overcollateralization
will be 4.25% of the initial adjusted pool balance,
the same as 2010-A as well. The most notable difference
between the 2011-A and 2010-A pools is a higher weighted
average FICO score of 760 for 2011-A compared to 752 for 2010-A.
NAROT 2011-A has a higher percentage of receivables with a 72 month
original payment term of 29% compared to 2010-A's
24%. NAROT 2011-A also has lower seasoning of 6 months
compared to 14 months for 2010-A. The higher weighted average
FICO score for 2011-A is beneficial while the larger portion of
72 month original payment term loans and the lower seasoning are generally
a negative. We generally believe that these attributes in total
should somewhat offset each other and result in performance that is similar
to other outstanding NMAC transactions. The 72 month payment term
loans have a particularly high weighted average credit score of 777 which
should help support loss frequency for this portion of the pool.
2010-A's 72 month payment term loans had a weighted average
credit score of 743. The difference in seasoning for the two deals
should have a minimal impact on performance.
The V Score for this transaction is Low, which is lower than the
Low/Medium V score assigned for the U.S. Prime Retail Auto
Loan ABS sector. The V Score indicates "Low" uncertainty about
critical assumptions. The Low assessment for Governance for the
transaction is better than the sector average of Low/Medium. This
is the result of the relatively strong financial stability of the servicer,
which is rated Baa2 (under review for possible upgrade)/P-2.
Moody's V Scores provide a relative assessment of the quality of available
credit information and the potential variability around the various inputs
to a rating determination. The V Score ranks transactions by the
potential for significant rating changes owing to uncertainty around the
assumptions due to data quality, historical performance, the
level of disclosure, transaction complexity, the modeling
and the transaction governance that underlie the ratings. V Scores
apply to the entire transaction (rather than individual tranches).
Moody's Parameter Sensitivities: If the net loss used in determining
the initial rating were changed to 2.50%, 3.50%
or 5.00%, the initial model output for the Class A
notes might change from Aaa to Aa2, A2, and Baa2, respectively.
Parameter Sensitivities are not intended to measure how the rating of
the security might migrate over time, rather they are designed to
provide a quantitative calculation of how the initial rating might change
if key input parameters used in the initial rating process differed.
The analysis assumes that the deal has not aged. Parameter Sensitivities
only reflect the ratings impact of each scenario from a quantitative/model-indicated
standpoint. Qualitative factors are also taken into consideration
in the ratings process, so the actual ratings that would be assigned
in each case could vary from the information presented in the Parameter
Sensitivity analysis.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or financial
instruments in this transaction.
Additional research including a pre-sale report for this transaction
is available at www.moodys.com. The special reports,
"Updated Report on V Scores and Parameter Sensitivities for Structured
Finance Securities" and "V Scores and Parameter Sensitivities in the U.S.
Vehicle ABS Sector" are also available on moodys.com.
REGULATORY DISCLOSURE
Information source(s) used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, and confidential and proprietary Moody's
Investors Service's information.
Moody's Investors Service considers the quality of information available
on the issuer satisfactory for the purposes of assigning a credit rating.
However, the credit rating action was based on limited historical
data.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
New York
Jason Grohotolski
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Mack Caldwell
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's assigns provisional ratings to Nissan Auto Receivables 2011-A Owner Trust