DBRS Assigns Provisional Ratings to NIF-T’s Class A-2 Senior Medium-Term Notes, Series 2010-1

DBRS has today assigned a provisional rating of AAA to the fixed rate $300 million, Class A-2 Senior Medium-Term Notes, Series 2010-1 to be issued by NIF-T (the Trust).

On closing, the Trust will acquire an ownership interest in a portfolio of secured retail auto leases originated by Nissan Canada Inc. (Nissan) through a two-step sale. On a private basis the Trust will also issue Class A-1 Notes (together with the Class A-2 Notes, the Senior Notes) and Class B-1 Notes (the Subordinated Notes). The Senior Notes and Subordinated Notes are structured as pass-through securities with principal and interest paid on a monthly basis from collections on the receivables. The provisional rating incorporates the following considerations:

(1) The high level of credit enhancement provided by: overcollateralization (10.0% initial, flooring at 7.5% of the total notes issued); subordination of 5.6% to the Class A-1 Notes and the Class A-2 Notes; a non-amortizing Support Account of 5.0% of the total notes issued funded at closing; and annual excess interest rate spread of approximately 2.0%.

(2) Low and consistent historical credit loss levels ranging on an annualized basis from a low of 0.10% to a high of 0.23% over the most recent five-year period ending in 2009.

(3) The significant experience of Nissan in the origination and servicing of retail auto leases and securitization transactions backed by those assets, including a conservative residual value setting process based on Automotive Lease Guide (ALG) values, a recognized third-party automotive valuator.

(4) Embedded losses in the portfolio at the cut-off date will be fully collateralized in the required Support Account at closing.

Stress tests that used assumptions including servicer fees and large increases in credit losses and residual value losses indicate that the credit enhancement provides sufficient protection to the Senior Notes to warrant the provisional AAA rating.

Finalization of ratings is contingent upon receipt of final documents conforming to information already received by DBRS.

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

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

This is a Structured Finance rating.