A combined $3.3 billion of prime and subprime auto loan securitizations priced this week.
Nissan sold $1.4 billion of prime auto loan receivables via its first securitization of the year, according to a pricing document. The transaction called Nissan Auto Receivables 2015-A Owner Trust, pooled loans with a weighted average FICO of 760. Bank of America Merrill Lynch, HSBC and Societe Generale are the lead managers.
The money market tranche rated P-1’/ F1+’ by Fitch Ratings yields 0.35%. At the triple-A level, Nissan pays 22 basis points over Eurodollar synthetic swaps forward for the one-year, A-2 tranche, 23 basis points over interpolated swaps for the 2.20-year, class A-3 notes and 30 basis points over interpolated swaps for the 3.61-year, class A-4 notes.
Chrysler Capital also priced a $732 million securitization of near-prime auto loan receivables. The deal, called CCART 2015-A, pools loans made to borrowers that have FICOs with a weighted average score of 705.
The issuer pays 38 basis points over the Eurodollar synthetic swaps curve on the one-year, triple-A rated class A-2 notes, 43 basis points over the Eurodollar synthetic swaps curve one the two-year, class A-3 notes and 49 basis points over interpolated swaps on the three-year, class A-4 notes.
On the junior tranches, Chrysler pays 90 basis points over interpolated swaps for the 3.4-year, double-A rated, class B notes, 125 basis points over interpolated swaps on the 3.73-year, single-A rated, class C notes and 185 basis points over interpolated swaps on the 4-year, triple-B rated, class D notes. Standard & Poor’s and Moody’s Investor Services assigned rating to the entire capital structure.
Deutsche Bank and JP Morgan are the lead managers.
Finally, AmeriCredit priced $1.17 billion of subprime auto loan securities via the AmeriCredit Automobile Receivables Trust 2015-2. Borrowers with a weighted average FICO of 573 back the deal.
S&P and Moody’s have assigned preliminary AAA’/ Aaa’ ratings to the class A notes on offer, which benefit from credit enhancement of 34.7%. The issuer will pay 40 basis points over Eurodollar synthetic forward on the one-year, class A-2A notes and 40 basis points over Libor on the one-year class A-2B notes. The 2-17-year, class A3 notes priced at 45 basis points over interpolated swaps.
Further down the capital stack, the issuer will pay 75 basis points over interpolated swaps on the three-year, AA+’/ Aa1’, class B notes, 120 basis points over interpolated swaps curve on the 3.58-year, A+’/ A1’, class C notes and 170 basis points over interpolated swaps on the four-year, BBB’/ Baa2’, class D notes.
The GM Financial subsidiary has been a consistent sponsor of subprime automobile loan securitizations since 1994. The latest transaction is the issuer’s second senior-subordinate retail issuance of the year.
The loans have a weighted average original term of six years with four months seasoning. The percentage of longer-term loans (61-72 months) increased to approximately 91.04% from 89.90% in AMCAR 2015-1, issued in January. None of the loans have an original term greater than 72 months.
BNP Paribas, Citigroup, Credit Suisse and Deutsche Bank Securities are the lead managers.
