NEW YORK—Fitch Ratings assigns the following ratings and outlooks to the Nissan Master Owner Trust Receivables, Series 2016-A:

--$850,000,000 class A-1 notes 'AAAsf'; Outlook Stable;

--$750,000,000 class A-2 notes 'AAAsf'; Outlook Stable.

KEY RATING DRIVERS

Strong Receivables Quality: The receivables have approximately 91% new vehicles comprising mainly Nissan and Infiniti new and used vehicles, as well as a small portion of other original equipment manufacturers (OEMs).

Asset Concentrations: Dealers are subject to concentration limits, mitigating the risk of individual dealer defaults and losses. The exposure to individual vehicle types, dealer credit ratings and state concentrations is mitigated with concentration limits.

Strong Dealer Network: Based on a review of dealer financial metrics and NMAC's internal dealer risk ratings (categorized into four distinct groups), the financial health of the participating dealer network is currently strong with the majority of dealers profitable through early July.

Strong Trust Performance: NMOTR continues to exhibit positive trends in overall performance metrics, including elevated monthly payment rates (MPRs) and asset yields, low agings and delinquencies and minimal dealer defaults and trust losses.

Sufficient Credit Enhancement: Initial hard credit enhancement (CE) for class A notes is 19.41% (19.00% overcollateralization [OC] and a 40% reserve), consistent with 2015-A. Structural features, including early amortization triggers, mitigate risks stemming from dealer/manufacturer defaults/bankruptcies.

Consistent Origination and Servicing: NMAC demonstrates adequate abilities as an originator, underwriter and servicer, as evidenced by the historical delinquency and loss performance of NMOTR.

Legal Analysis: The legal structure of the transaction provides that a bankruptcy of NMAC would not impair the timeliness of payments on the securities.

RATING SENSITIVITIES

To conduct rating sensitivity for the issued notes, under a category B Dealer Floorplan platform, Fitch assumes portfolio default levels at 10%, 25%, and 40%, and under two recovery-level scenarios of 50% and 30%. Fitch modeled the series with the assumption that the above defaults have occurred and recoveries stressed accordingly, reflecting asset performance in a stressed environment. Remaining expected loss levels were compared with the stressed loss assumption grid commensurate with various rating levels.

DUE DILIGENCE USAGE

Fitch was provided with third-party due diligence information from Ernst & Young LLP. The third-party due diligence focused on comparing or recomputing certain information with respect to 91 loans from the statistical data file. Fitch considered this information in its analysis, and the findings did not have an impact on its analysis. A copy of the ABS Due Diligence Form-15E received by Fitch in connection with this transaction may be obtained through the link contained on the bottom of this rating action commentary.

Fitch's analysis of the Representation and Warranties (R&W) of these transactions can be found in 'Nissan Master Owner Trust Receivables, Series 2016-A -- Appendix'. These R&W are compared to those of typical R&W for the asset class as detailed in Fitch's May 2016 special report, 'Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions'.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 18 Jul 2016)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=884963

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 17 May 2016)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=879815

Criteria for Servicing Continuity Risk in Structured Finance (pub. 17 Dec 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=875586

Global Rating Criteria for Dealer Floorplan ABS (pub. 05 May 2016)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=880077

Global Structured Finance Rating Criteria (pub. 27 Jun 2016)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=883130

Related Research

Nissan Master Owner Trust Receivables, Series 2016-A -- Appendix
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=883143

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1009136

ABS Due Diligence Form 15E 1
https://www.fitchratings.com/creditdesk/press_releases/content/ridf15E_frame.cfm?pr_id=1009136&flm_nm=15e_1009136_1.pdf

Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1009136

Endorsement Policy
https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

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