Fitch Ratings has affirmed the outstanding notes from Nissan Master Owner Trust Receivables (NMOTR) upon the Omnibus Supplement to Indenture Supplements dated as of June 30, 2020, to the Indenture dated as of October 15, 2003, by NMOTR as issuer, Nissan Motor Acceptance Corporation (NMAC) as servicer (Servicer), and U.S. Bank, N.A. as indenture trustee (Indenture Trustee).

The Amendment adjusts the existing trust early amortizing monthly payment rate (MPR) trigger of 25% to a six-month average from a three-month average. Credit enhancement (CE) was increased for the outstanding transactions in April and will not be increased further for this amendment, with the overcollateralization percentage (OC) at 21.00% prior to performance triggers, and the reserve account for each transaction set at 1.50%. In addition to existing three-month average MPR step up triggers, there is an additional trigger added where, if the three-month average MPR falls below 25%, OC will step up to 28.50%.

Fitch has determined that the Amendment shall not affect the outstanding note ratings, and has updated specific trust dealer analysis assumptions and stresses detailed further herein.

RATING ACTIONS

ENTITY/DEBT	RATING		PRIOR

Nissan Master Owner Trust Receivables, Series 2019-B

A 65474VAS0

LT	AAAsf 	Affirmed		AAAsf

Nissan Master Owner Trust Receivables, Series 2017-C

A 65474VAP6

LT	AAAsf 	Affirmed		AAAsf

Nissan Master Owner Trust Receivables, Series 2019-A

A 65474VAQ4

LT	AAAsf 	Affirmed		AAAsf

VIEW ADDITIONAL RATING DETAILS

TRANSACTION SUMMARY

The average six-month MPR trigger threshold will remain at the same level previously set for the initial three-month average trigger level of 25%. OC will step-up in the event of the three-month average MPR falling below 35%, 30% and 25%, stepping up to 24.2%, 27.5% and 28.5% for 2019-A and 2019-B and 24.2%, 27.6% and 28.5% for 2017-C, respectively.

The reserve is unchanged at 1.50% of the pool balance (1.90% of the note balance). Total CE is now 28.5% of the class A invested amount, or 22.5% of the pool balance, which is up from the initial 23.2%/24.0% of the class A invested amount for (18.9%/19.4% of the pool balance) for 2019-A/2019-B and 2017-C, respectively, which have yet to enter their accumulation period.

The proposal is driven by the ongoing material impact of the coronavirus pandemic on the Nissan and affiliate dealer network, and their related auto sales, revenues and profits, including service and parts. Further, there has been and Fitch expects there to continue to be a material impact on specific trust performance metrics in coming months from the pandemic, including potentially notable declines in MPRs, and certain other trust metrics.

In April, NMOTR's one-month MPR fell to 19.66% from 38.11% the prior month in concert with materially lower principal collections across the outstanding floorplan ABS trusts. The Fitch Auto Dealer Floorplan Index, based on three-month average MPRs, fell from 40.7% to 34.41% in the same month. While MPRs have since begun to recover they have yet to return to pre-crisis levels; NMOTR reported an MPR for May of 30.50%.

Fitch reassessed the stresses and haircuts applied to the trust to account for the risk of coronavirus to the platform. This review included Fitch conducting updated cash flow modeling and sensitivity runs, to account for the proposed changes to the MPR trigger and credit enhancement.

Outstanding notes issued by NMOTR are secured by a revolving pool of dealer floorplan (DFP) receivables sponsored, originated and serviced by NMAC. NMOTR was initially assigned a category B risk assessment per criteria. Hence, Fitch utilized the collateral utility value approach to determine expected losses for each rating scenario.

The current expected Fitch net dealer default base case scenario takes into account the current disruption to the U.S. auto market, including massive decline in sales and stress to dealerships along with dislocation in the wholesale vehicle market and hit to values. Under this scenario as per Fitch's criteria, a vast portion of the dealer network is deemed to default as a result of the assumption of the immediate bankruptcy of Nissan Motor Corporation, (not rated by Fitch), the parent of the Servicer.

Fitch Updates its Dealer Analysis Employing Higher Stresses/Haircuts

Fitch applied full resuscitation credit to non-Nissan and Infiniti new vehicle dealers in the trust portfolio, while applying credit to and resuscitation of 60.7% to new Nissan and Infiniti dealers and 75% to used dealers. Fitch then applied criteria-driven haircuts to the dealer resuscitation credit, further stressing the default levels higher, but revised this haircut to the mid-range (20%) of criteria levels for the 'AAAsf' rating scenario from the initial low-haircut (15%) range. This haircut was stressed higher as per criteria to address the potential impact of the coronavirus pandemic to the trust dealer network and portfolio metrics. This resulted in a default rate of 46.3% for 'AAAsf', up from 43.4% in the initial analysis.

A base recovery rate assumption of 80% was applied to the vehicle inventory associated with defaulting dealers, based on the lowest average historical recovery rates. The recovery rates were then subject to criteria-driven haircuts, which were also revised higher to the mid-range (22.5%) from the low range (15%) utilized prior for the 'AAAsf' scenario. This resulted in an expected net dealer loss level assumption of 17.6% for 'AAAsf', up from 13.9% in the prior review.

Fitch conducted cash flow modeling for this Amendment, and more stressful haircuts applied as mentioned above. In addition, the modeling was updated to reflect the updated OC and OC step-up percentages as well as taking into consideration the amortization MPR trigger level to 25% (unchanged but now based off a six-month average versus a three-month average), adding additional stress to modeled cash flows. Further, Fitch increased the MPR haircut stress level to 45% down from the early amortization trigger level, up from 40% in prior reviews.

These additional stresses were applied to address the Amendment and also the impact of this pandemic on the trust dealer network and performance metrics, including MPR which declined materially in the April and May collection periods, and may potentially decline in coming months.

These stresses were applied during this review despite historical consistency in the receivables pool and stable trust performance to date, including a strong dealer network backing the trust receivables, through the second quarter of 2020 and relatively stable performance metrics in the first quarter.

KEY RATING DRIVERS

Dealership Risks - Strong Receivables/Dealer Quality: The receivables comprise approximately 84.8% new vehicles, backed mainly by vehicles from Nissan and Infiniti, as well as a small portion of those of other manufacturers. Current dealer performance and financial metrics and overall health of the Nissan dealer network are robust despite the evolving negative impact of the coronavirus on auto sales and dealers.

Asset Performance - Historically Strong Trust Performance: Monthly payment rates (MPRs) have begun to stabilize in May after the rapid decline in auto sales across the country drove MPRs to a historical low of 19.66% in April. Currently, the six-month average MPR is comfortably above the 25% trigger level at 34.75%, but will come under pressure should vehicle sales slowdown in the summer months. There have been no significant dealer defaults or trust losses to date.

Transaction Features - Sufficient Credit Enhancement: The transactions benefit from the required overcollateralization amount and a non-declining cash reserve fund. Structural features like early amortization triggers mitigate against dealer defaults and/or manufacturer bankruptcy. Concentration limits mitigate the risk of over-exposure to individual dealers, manufacturers and vehicle types. Any breach in concentration limits results in increases to the available subordination amount.

Operational and Servicing Risks - Consistent Origination and Servicing: NMAC has demonstrated adequate abilities as an originator, underwriter and servicer, as evidenced by the consistent performance of NMOTR. Fitch deems NMAC capable of adequately servicing this series.

Coronavirus Impact: Fitch acknowledges the uncertainty and rapidly evolving events related to the coronavirus pandemic and its impact on global markets. Assuming there to be a temporary disruption in the short term, the U.S. auto dealer networks backing these transactions have been and may continue to be impacted from lower auto sales, shrinking revenues and growing liquidity risks. The combination of these factors could impair their ability to repay dealer floorplan credit lines. Fitch confirmed with the servicer that they have in place a business continuity plan to minimize disruptions in their operations.

Fitch would not expect any impact to ratings on most ABS transactions under this scenario due to strong trust performance through March and signs of recovery in May, along with trust dealer concentration limits and structural protections in place, including available credit enhancement. The risk of negative rating actions will increase in a more sustained or severe scenario. For more information, Fitch conducted a risk radar analysis for Global SF which can be found at https://www.fitchratings.com/site/pr/10114200.

RATING SENSITIVITIES

Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected base case default proxy and impact available loss coverage and multiples levels for the transaction. Weakening asset performance is strongly correlated to declining MPRs and increasing levels of dealer defaults/bankruptcies that could negatively affect CE levels. Lower dealer default net loss coverage could impact ratings and rating outlooks, depending on the extent of the decline in coverage.

To date, the transactions have exhibited strong performance with solid DFP trust performance metrics, including generally sustained MPRs and virtually no dealer losses at virtually zero through 2Q20, well within Fitch's initial expectations. As such, a sustained material deterioration in performance would have to occur within the dealer network and trust collateral to have potential negative impact on the outstanding ratings.

Factors that could, individually or collectively, lead to negative rating action/downgrade:

To conduct a rating sensitivity for the outstanding notes, under a category B DFP platform, Fitch assumes portfolio default levels at 5%, 10% and 15% and under two recovery-level scenarios of 50% and 30%. Fitch modeled each series at closing with the assumption that these defaults have occurred, reflecting asset performance in a stressed environment.

Due to the uncertainty surrounding the coronavirus outbreak, Fitch ran additional sensitivities to account for potential increases in dealer defaults/bankruptcies and net losses, declines in MPR and yield along with recovery rates. The trust is able to withstand a decline in recoveries to 50% and 30%, respectively, without ratings sensitivity. At a 50% recovery rate, the trust shows a slight ratings sensitivity assuming a 10% default rate, with an implied note rating remaining at 'AAsf'. At a 50% recovery rate, the trust is more sensitive to default rates of 25% and 40%, declining to an implied note rating of 'BBB+sf' and below 'Bsf', respectively.

Furthermore, Fitch also assessed increases in defaults at a 30% recovery rate assumption. At a 30% recovery rate assumption the trust shows limited ratings sensitivity assuming a 10% default rate, with an implied note rating of 'AA-sf' for the notes. At a 30% recovery rate, the trust is more sensitive to default rates of 25% and 40%, declining to an implied note ratings of under 'Bsf' and 'Dsf' under the scenarios, respectively.

Factors that could, individually or collectively, lead to positive rating action/upgrade:

Upgrade sensitivities are not applicable given the 'AAA' ratings on the outstanding notes.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING

The principal sources of information used in the analysis are described in the Applicable Criteria.

ESG CONSIDERATIONS

The highest level of ESG credit relevance, if present, is a score of 3. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity(ies), either due to their nature or to the way in which they are being managed by the entity(ies). For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg.

Additional information is available on www.fitchratings.com

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