A pool of prime, fixed-rate auto loan receivables will secure the latest transaction from the Nissan Auto Receivables Owner Trust, a deal that is expected to issue about $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 the four classes of notes in the deal.
The deal features a number of structural and collateral changes compared with earlier deals, notably in the levels of yield supplement overcollateralization, S&P said. The yield supplement 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, compared with 8.79%.
Wells Fargo Securities is the lead underwriter on the deal, which will repay notes on a sequential-pay mechanism that results in increased credit enhancement for the senior notes as the pool pays down. The notes will also benefit from overcollateralization of 4.00%, taking the form of non-interest bearing certificates.
Series 2022-B's notes also benefit from a fully funded non-amortizing reserve fund that will equal 0.25% of the initial pool balance.
S&P intends to assign ratings of 'A-1+' on the $215 million, A-1 notes; 'AAA' on the A-2 and A-3 classes, both of which will issue $354 million in notes; and 'AAA' on the $75.8 million A-4 notes.
The deal also featured some changes to the collateral composition. On a weighted average (WA) basis, seasoning decreased to approximately 10 months, down from 11 months. Among loans with an original term of more than 72 months, the FICO score was 730, down from 744, on a WA basis. Further, the percentage of scores with FICO scores of 660-700 increased to approximately 7.4%, up from 6.2%. Overall, the collateral has a WA FICO score of 782, the rating agency said.
Electric vehicles comprise 7.4% of the pool, up from 5.0% compared with NAROT 2022-A.
The collateral pool contains some 52,005 receivables, mostly cars (31.0%) and crossover vehicles (49.4%). They have an average current balance of $22,735 and a weighted average APR of 2.39.
Virtually all of the vehicles in the collateral pool, 92.39%, are new, while 7.61% are like new; none of the cars related to the underlying loans are used.
