S&P Rates Nissan Auto Receivables 1997-A Grantor Trust AAA
29 October 1997
S&P Rates Nissan Auto Receivables 1997-A Grantor Trust AAA
NEW YORK, Oct. 29 -- Standard & Poor's today assigned its
triple-'A' rating to Nissan Auto Receivables 1997-A Grantor Trust's $755.564
million 6.15% class A certificates.
The rating is based on credit support provided by subordination supporting
the certificates, a reserve account supporting the certificates, analysis of
Nissan Motor Acceptance Corp.'s (NMAC) receivables portfolio, and a sound
legal structure.
Credit support for the class A certificateholders is provided in the form
of class B certificates, a reserve account, and excess spread. All rights of
the class B certificateholders to receive principal and interest are
subordinated to the rights of the class A certificateholders to receive
principal and interest and to the funding of the reserve account. The class B
certificates represent 13% of the initial receivables pool balance. The
reserve account is funded with an initial deposit of 1.00% of the initial pool
of receivables and will build to 1.50% of the initial pool balance. The
reserve account is non-amortizing. When the class A certificate pool factor
reaches 15%, the reserve account will build to 2.50% of the initial pool of
receivables, which represents the reserve account floor requirement. There is
approximately 3.75% annualized excess spread available for first loss
coverage. Additional credit support is provided by a fully-funded yield
supplement account to protect certificateholders from interest shortfalls due
to loans in the receivables pool which do not contain an annual percentage
rate greater than the certificate coupon rate plus the servicing fee.
NMAC's portfolio performance statistics have exhibited an increase in
both annualized net losses and delinquencies since 1995. Net losses as a
percentage of outstanding balance were 1.55% at March 31, 1995; 1.97% at March
31, 1996; 3.88% at March 31, 1997; and 3.15% for the six months ended Sept.
30, 1997. Delinquencies as a percentage of contracts outstanding were 2.27%
at March 31, 1995; 2.70% at March 31, 1996; 3.76% at March 31, 1997; and 3.44%
as of Sept. 30, 1997. The deterioration in portfolio performance may be
attributed to NMAC's efforts to finance a broader credit range of customers to
support the sale of Nissan and Infiniti vehicles and a general increase in
bankruptcy filings. In response to the deteriorating performance, NMAC has
revised its credit scoring approach and implemented lower advance rates across
most lending programs.
The 1997-A securitized pool consists of sales contracts backed by new
(59%) and used (41%) automobile and light truck sales contracts purchased from
Nissan (79%) and Infiniti (21%) dealers. The weighted average annual
percentage rate on the pool of receivables is 10.26% and the seasoning is
16.38 months. Standard & Poor's believes the NMAC 1997-A securitized pool is
subject to its peak loss period immediately upon commencement of the
transaction. This should result in a front-loaded loss curve, which is
mitigated by the availability of the 1.0% cash reserve initial deposit and the
13.0% class B subordination protection. The highest three state
concentrations are California with 13.9% of the outstanding principal balance
of the pool, Texas with 12.3%, and Florida with 7.7%. Unlike previous NMAC
transactions, the 1997-A securitized pool does not contain sales contracts
with original terms of 72 months. Standard & Poor's considers this a strength
as 72 month contracts generally exhibit a greater loss severity at liquidation
and a potentially higher default frequency relative to contracts with shorter
original terms.
The receivables were originated and are serviced by NMAC. Pursuant to the
Pooling and Servicing Agreement, the receivables were sold to the seller,
Nissan Auto Receivables Corp. The seller pledged the receivables to the
grantor trust. -- CreditWire
SOURCE Standard & Poor's CreditWire