DBRS Assigns Provisional Ratings to Series 2006-1 of NIF-T

Dominion Bond Rating Service (“DBRS”) has assigned provisional ratings of AAA to the Senior Medium-Term Notes (“Senior Notes”) of Series 2006-1 issued by NIF-T.

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

The ratings reflect the:
(1) High level of credit enhancement provided by overcollateralization of 3.0%, a non-amortizing cash account seeded with 7.25%, and building to 9.0% of initial program amount via the capture of the 1.5%-2.0% annual excess spread. The desired gross spread amount will be achieved by discounting the net book value of each lease at a rate which provides the necessary yield. Support for the Senior Notes is augmented by 4.75% of subordinated notes which will be rated before closing.
(2) The significant amount of credit enhancement that will be available at the end of the transaction to support residual value and credit losses as overcollateralization does not amortize below 2.25% of the initial program amount, cash remains at 9.0% of the initial program amount, and subordinated notes do not receive principal payments until all Senior Notes have been paid in full.
(3) Very low historical credit loss levels and fairly conservative residual values. Although return rates achieved very high levels toward the end of the 1990s, a more conservative residual value setting has helped return-rates decline to more moderate levels.

Proceeds from the Senior Notes will be used to acquire a portfolio of retail car, sport utility vehicle (SUV), light truck, and mini van 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 the credit enhancement provides sufficient protection for both the Senior Notes and Subordinated Notes.