DBRS Finalizes Ratings to Series 2006-1 of NIF-T

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

The ratings reflect:
(1) The 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 nearly 2.0% annual excess spread. The desired gross spread amount has been achieved by discounting the net book value of each lease at the higher of 6.25% per annum and the annual rate implicit in such lease. Support for the Senior Notes is augmented by 4.75% of Subordinated Notes.
(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 and Subordinated Notes were 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.