DBRS Upgrades NIF-T 2006-1 Class B-1 Subordinated Medium-Term Notes to AA

DBRS has today upgraded the rating of the $38 million Class B-1 Subordinated Medium-Term Notes, Series 2006-1 (Subordinated Notes) issued by NIF-T to AA from A (low).

The ratings reflect the increased level of credit enhancement available in the structure including:

(1) The high level of credit enhancement provided by overcollateralization of 5.74% which has grown from 3.0% when the transaction was first rated.

(2) A non-amortizing cash account which has grown from 7.25% to 19.40% of the total program amount outstanding.

(3) An increase to the cash account of $39 million or 12.5% on February 23, 2009, to provide the structure with additional protection to support potential residual value and credit losses in light of the most recent valuations on the remaining pool of assets.

(4) Very low historical credit loss levels and updated residual values for the remaining portfolio. Although return rates have escalated in the most recent six month period, the levels are well within DBRS auto lease methodology standards and are commensurate with the upgraded rating.

The Subordinated Notes have a Targeted Principal Distribution Date of August 23, 2009, and are expected to be funded through the issuance of other Notes or alternatively funded by the Issuer during the Refinancing Period. The refinancing risk is, in part, mitigated by the significant run-off of the portfolio prior to the August 23, 2009 maturity date. No principal payments on the Class B-1 Notes will be made from amounts held in the Accumulation Account until the aggregate principal amount owing under the Senior Notes has been paid in full. The Final Distribution Date is February 23, 2013.

The Subordinated Notes are secured by a portfolio of retail car, sport utility vehicle (SUV), light truck and minivan leases (without any residual value insurance or obligor guarantee) originated by Nissan Canada Inc. The rating levels were determined by simulating the resilience of the portfolio to very stressful conditions, including servicer fees, large increases in credit losses and significant multiples of residual losses. The outcome of the simulations indicates that the credit enhancement provides sufficient protection for the Subordinated Notes at the upgraded rating of AA.

Notes:
All figures are in Canadian dollars unless otherwise noted.

This rating is based on public information.

The applicable methodology is Rating Canadian Auto Lease Transactions, which can be found on our website under Methodologies.

This is a Structured Finance rating.