The Nissan Auto Receivables Owner Trust program is preparing to issue at least $1 billion in asset-backed securities, with a pool of prime-quality, retail installment auto loan contracts serving as collateral, in a deal that references two potential pools of revenue to be securitized.
Bank of America Merrill Lynch, Mitsubishi UFJ Securities Co., Mizuho Securities and Wells Fargo Securities are listed as lead underwriters and managers on NAROT 2023-B, according to ratings analysts from Moody's Investors Service and Fitch Ratings.
The transaction, series 2023-B from the program, will issue notes through four classes of notes, and is expected to close on October 31, according to the Asset Securitization Report's deal database. The notes have expected yields that range from 5.70% on the class A1 notes to 6.04% on the class A4 notes, according to the database. The A2A and A2B, notes, will be benchmarked on the Secured Overnight Financing Rate, while the rest of the notes will be benchmarked to the three-month Interpolated yield curve, according to the ASR database.
Moody's and Fitch expect to assign ratings of 'P-1' and 'F1+', respectively, to the class A1 notes. After that both rating agencies expect to assign triple-A ratings to all classes of notes through the rest of the deal, they said.
Notes have legal final maturity dates that range from Nov. 15, 2024 through Oct. 15, 2030.
Total initial hard credit enhancement is the same throughout the deal, 4.25%. Additional credit enhancement will come from a reserve fund totaling 0.25% of the pool balance, and overcollateralization (OC) of 4.00%. While OC on some deals has a lower floor and reaches a higher target, the OC levels on NAROT 2023-B series remain consistent at 4.00%. A cash reserve also provides liquidity to the deal.
Should the deal issue $1 billion in notes, the pool will have about 61,387 obligors in the underlying pool, Fitch said, while a $1.25 billion deal would be secured by a pool of 76,596 obligors, according to Moody's. For the most part, however, major asset characteristics remain the same.
There are some minor differences in the 2023-B series compared with the 2023-A, Fitch notes. For one, the weighted average (WA) FICO score has dropped several points to 780, compared with 786 on the NAROT 2023-A. Original terms are slightly shorter on the NAROT 2023-B, at 63 months, while loans on the NAROT 2023-A had a WA original term of 68 months.
