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Rating Action:

Moody's assigns provisional ratings to Nissan Auto Receivables 2011-A Owner Trust

11 Apr 2011

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
No Related Data.
© 2021 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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​
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