Nissan Motor Acceptance Corporation is readying its first auto loan securitization of 2015, according to a pre-sale from Fitch Ratings.
With a weighted average FICO score of 769, the underlying loans are firmly in prime territory. Bank of America Merrill Lynch is leading the $1.04-billion deal, called Nissan Auto Receivables 2015-A Owner Trust.
The transaction consists of five tranches. A $239-million, short-term tranche is rated F1+’ by Fitch and matures April 15 of 2016. The deal includes three triple-A pieces with varying maturities: a $280-million tranche due Sept. 15, 2017; a $390-million tranche due Oct. 15, 2019; and a $91-million tranche due Sept. 15, 2021.
The credit enhancement of all the triple-As is 4.25%. The deal also includes a $41.7-million tranche unrated by Fitch.
Apart from the high FICOs, 91% of the vehicles being financed with the loans are new vehicles, and 87% are Nissan brand.
But the loans have risky qualities as well.
Loans maturing beyond 60 months from their origination make up 53.56% of the securitized pool. Loans with terms of 73-74 months total 9%. The WA original tersm is slightly below 65 months.
Fitch also points out that prices in the wholesale vehicle market have been unusually strong in the past few years. The agency expects more supply from off-lease vehicles and trade ins to erode the recovery rates in asset-backed securities. This would raise loss expectations in the event of loan default.
The borrowers in the pool are a geographically diverse lot, with Texas representing 15.44% by volume. The average balance of the loans is $18,175.