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Fitch Affirms Nifty Warehouse Trust No.2 at 'AAAsf'; Outlook Stable.

Sydney: Fitch Ratings has affirmed the rating of Nifty Warehouse Trust No.2's Class A notes at 'AAAsf' with a Stable Outlook. The current class A note facility limit is AUD1 billion. The transaction is a securitisation backed by Australian automotive loan receivables originated by Nissan Financial Services Australia (NFSA). The notes were issued by Perpetual Corporate Trust Limited in its capacity as trustee of Nifty Warehouse No.2.


Obligor Default Risk: Performance of the underlying assets has been within Fitch's base case net loss expectations and comparable with Fitch's 1Q18 Dinkum ABS Index. Credit enhancement is sufficient to support the current rating level and the transaction is still within its revolving period that is scheduled to end in September 2019. Fitch expects asset performance to remain stable, supported by Australia's benign economic conditions.

Cash Flow Dynamics: Cash flow analysis was not performed as none of the variables affecting transaction performance have changed beyond that expected at closing and credit enhancement levels are unchanged.

Servicer, Operational Risks: NFSA was established in 2008 and covers the Nissan, Renault and Mitsubishi (the Alliance) franchise dealer network across Australia. Fitch undertook an onsite operational review after the last rating action and found that the operations of the originator and servicer were comparable with those of other lenders.


Fitch does not expect the ratings to be affected by any foreseeable change in performance. The prospect of downgrade is remote, given the level of subordination to all rated notes, pool performance and adequate excess spread.

Fitch conducted sensitivity analysis on Nifty Warehouse No.2 by stressing the transaction's base-case assumptions. The results of rating sensitivity testing, based on the previous cash flow model, are shown below.

Nifty Warehouse No.2

Notes: A

Rating: AAAsf

Rating sensitivity to increased defaults:

Increase defaults by 10%: AAAsf

Increase defaults by 25%: AA+sf

Increase defaults by 50%: AAsf

Rating sensitivity to decreased recoveries:

Reduce recoveries by 10%: AAAsf

Reduce recoveries by 25%: AAAsf

Reduce recoveries by 50%: AAAsf

Rating sensitivity to multiple factors:

Increase defaults by 10%, reduce recoveries by 10%: AAAsf

Increase defaults by 25%, reduce recoveries by 25%: AA+sf

Increase defaults by 50%, reduce recoveries by 50%: AA-sf


Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.


Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third-party assessment of the asset portfolio as part of its ongoing monitoring.

As part of its ongoing monitoring, Fitch reviewed a small targeted sample of NFSA's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio.

Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.


The information below was used in the analysis:

Loan-by-loan data provided by NFSA at end-June 2018

Transaction reporting data provided by NFSA at end-June 2018

The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public.
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Publication:Daily the Pak Banker (Lahore, Pakistan)
Geographic Code:8AUST
Date:Nov 9, 2018
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