Fitch Rates Nissan Auto Receivables 2016-C Owner Trust
--Class A-1 notes 'F1+sf';
--Class A-2a notes 'AAAsf'; Outlook Stable;
--Class A-2b notes 'AAAsf'; Outlook Stable;
--Class A-3 notes 'AAAsf'; Outlook Stable;
--Class A-4 notes 'AAAsf'; Outlook Stable;
KEY RATING DRIVERS
Consistent Collateral Pool: The collateral composition and credit quality of 2016-C are generally consistent with those of prior pools. The weighted average (WA) Fair Isaac Corp. (FICO) score is 774, and new vehicles total 91.0%. At 98.7%, this pool has the highest concentration of Nissan brand vehicles. The pool is geographically diverse.
Extended-Term Loans: Loans with terms of more than 60 months total 55.7% of the pool, lower than 60.7% in 2016-B. For 2016-C, this includes 73-75-month original term loans that total 4.1%. This is the eighth NAROT pool to include 73-75-month loan terms.
Sufficient Enhancement: 2016-C incorporates a sequential-pay structure and initial hard credit enhancement (CE) totals 4.25%, consistent with recent transactions. 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 and were within historical levels through early 2016.
Stable Origination, Underwriting and Servicing: NMAC demonstrates adequate abilities as originator, underwriter, and servicer to service 2016-C, as evidenced by its historical portfolio and securitization performance.
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. This in turn could result in potential rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to all classes of 2016-C to increased losses over the life of the transaction. Fitch's analysis found that the notes display some sensitivity to increased defaults and losses. Under Fitch's moderate (1.5x base case loss) scenario the notes would be unlikely to experience any downgrade. However, the notes could experience downgrades of up to two rating categories under Fitch's severe (2.5x base case loss) scenario.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Fitch was provided with Form ABS Due Diligence-15E ("Form 15E") as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on comparing or recalculating certain information with respect to 125 loans from the final data file. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions.