Fitch Assigns Final Ratings to Nifty Warehouse Trust No. 2

(The following statement was released by the rating agency)SYDNEY, December 23 (Fitch) Fitch Ratings has assigned final ratings to Nifty Warehouse Trust No.2's automotive-backed floating-rate notes. The issuance consists of notes backed by auto loans and leases originated by Nissan Financial Services Australia (NFSA). The ratings are as follows:750m Class A notes: 'AAAsf'; Stable; and107.1m Class B notes: 'NRsf'.The notes were issued by Perpetual Corporate Trust Limited in its capacity as trustee of Nifty Warehouse Trust No.2. At the cut-off date, the total collateral pool consisted of auto loan and lease receivables originated by NFSA that are subject to eligibility criteria, and excess concentration parameters that limits pool concentration of loan products and asset types, obligor and geographic exposure, and various asset characteristics. The current collateral pool consists of 44,466 loans with a total portfolio balance of AUD857.7m and an average lease/loan size of AUD19,289. The pool comprises 41.2% commercial receivables and 58.8% consumer loan receivables that have been originated to Australian customers. The weighted average seasoning of the pool is 18.6 months, with a weighted average (WA) remaining term of 36.2months. The WA interest rate is 6.1%.The transaction also benefits from a large and diverse number of small business borrowers across a broad range of industries, with the largest industry concentration in construction (14.9%). KEY RATING DRIVERS Sufficient Enhancement: Initial hard credit enhancement (CE) available to the 'AAAsf' Class A notes totals 12.5%; CE will be maintained at the greater of 12.5% and AUD5m. Amortisation Triggers: The transaction has a 24 month revolving facility that is bound by amortisation triggers to protect and mitigate risk to the transaction from potential future loss. Included, among other triggers, is an excess spread trigger that ensures sufficient excess spread is available in the transaction. Diverse and Granular Portfolio: Portfolio parameters ensure the revolving pool maintains a diverse and granular mix of asset characteristics, and is geographically distributed. Excess concentration triggers are in place to mitigate risk of excessive concentration of specific asset characteristics and to maintain a well balanced portfolio. Diversified Balloon Payments: The pool comprises amortising principal, and interest loan receivables, with varying balloon amounts payable at maturity. Portfolio parameters ensure balloon payments are not concentrated in a single monthly payment date in order to minimise refinancing risk.Available Liquidity: Liquidity support provided by the deferred account will ensure stable cash flows for the Class A notes and trust expenses. The deferred account will be sized at the greater of AUD500,000 and 0.75% of the aggregate invested amount of the Class A notes. No Residual Value Risk: All securitised loans are structured so that there is no exposure to residual value risk, with the borrower liable for such risks at all times.Hedging Arrangements: Hedging arrangements are in place to address fixed-to-floating rate mismatches between the fixed rate earned on the assets and floating rate liability payments. RATING SENSITIVITIES Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than Fitch's base case, and would likely result in a decline in CE and remaining loss-coverage levels available to the notes. Decreased CE may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage.Fitch has evaluated the sensitivity of the ratings assigned to Nifty Warehouse Trust No.2 to increased defaults and decreased recovery rates over the life of the transaction. Our analysis found that the rating of the Class A notes were negatively impacted with a rating of 'AA+sf' under mild (10%) and medium (25%) default stress, and 'AA-sf' for more severe (50%) default stress. .The Class A notes remained stable under mild (10%) recovery stress, while being impacted under more moderate (25%) and severe stresses (50%) with a rating of 'AA+sf'. The Class A notes were impacted under all combination stresses of increased defaults and reduced recoveries.DUE DILIGENCE USAGE No third party due diligence was provided or reviewed in relation to this rating action.DATA ADEQUACYFitch conducted a file review of 10 sample loan files focusing on the underwriting procedures conducted by NFSA compared to NFSA's credit policy at the time of underwriting. Fitch has checked the consistency and plausibility of the information and no material discrepancies were noted that would impact Fitch's rating analysis.Contacts: Primary Analyst Spencer WilsonAssociate DirectorPhone +612 8256 0320 Level 15, 77 King St, Sydney, NSW 2000Secondary Analyst Ben NeweyDirectorPhone +612 8256 0341Committee Chairperson Natasha VojvodicSenior DirectorPhone +612 8256 0350Media Relations: Leni Vu, Sydney, Tel: +61 2 8256 0304, Email: leni.vu@fitchratings.com.Additional information is available at www.fitchratings.com.The source of information identified for this rating action was informed by information from NFSA, as the seller and the issuer's counsel Minter Ellison. The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public.Applicable Criteria Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum (pub. 14 May 2014)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744175Global Consumer ABS Rating Criteria (pub. 03 Dec 2015)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=874105Global Structured Finance Rating Criteria (pub. 06 Jul 2015)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952Additional Disclosures Dodd-Frank Rating Information Disclosure Form https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr _id=997350Solicitation Status https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=997350Endorsement Policy https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&det ail=31ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S FREE WEB SITE AT WWW.FITCHRATINGS.COM. PUBLISHED RATINGS, CRITERIA, AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE, AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE CODE OF CONDUCT SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE. 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