Nissan Auto launches $1 billion automotive ABS

A pool of prime fixed-rate auto loan receivables will underwrite the latest transaction from the Nissan Auto Receivables Owner Trust, a transaction that is expected to issue approximately $1 billion in Class A notes.

The Series 2022-B transaction could increase the size of the deal to $1.25 billion, according to S&P Global Ratings, which plans to assign ratings to all four categories of notes in the deal.

The deal features a number of structural and collateral changes from previous agreements, including in the overcollateralization levels of the yield supplement, S&P said. The yield surcharge overcollateralization discount rate was 8.25%, an increase from 5.50%, the rating agency said. Initially, the YSOA amount increased to 11.89% of the unadjusted collateral balance from 8.79%.

Wells Fargo Securities is the primary underwriter of the deal, which will repay the notes under a sequential payment mechanism that will result in increased credit enhancement for the senior notes as the pool repays. The notes will also benefit from an overcollateralization of 4.00%, taking the form of non-interest bearing certificates.

The Series 2022-B Notes also benefit from a fully funded non-amortizing reserve fund which will equal 0.25% of the initial pool balance.

S&P intends to assign ratings of “A-1+” to the $215 million A-1 notes; “AAA” on classes A-2 and A-3, which will both issue $354 million in notes; and “AAA” on the $75.8 million A-4 notes.

The agreement also included some changes in the composition of the guarantee. On a weighted average (WA) basis, seasoning decreased to about 10 months from 11 months prior. Among loans with an original term of more than 72 months, the FICO score was 730, compared to 744, on a WA basis. Additionally, the percentage of scores with FICO scores of 660-700 increased to around 7.4% from 6.2%. Overall, the collateral has a WA FICO score of 782, the rating agency said.

Electric vehicles represent 7.4% of the fleet, compared to 5.0% compared to NAROT 2022-A.

The warranty pool contains some 52,005 claims, mainly cars (31.0%) and crossovers (49.4%). They have an average running balance of $22,735 and a weighted average APR of 2.39.

Almost all of the vehicles in the warranty pool, 92.39%, are new, while 7.61% are like new; none of the cars linked to the underlying loans are used.

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