S&P Assigns Ratings to Nissan Auto Recs 2000-B Owner Trust

27 June 2000

S&P Assigns Ratings to Nissan Auto Recs 2000-B Owner Trust

    NEW YORK - Standard & Poor's assigned its ratings to Nissan Auto Receivables 2000-B Owner Trust's $880.75 million asset-backed notes (see list).

    The ratings are based on:

    -- Credit support provided by subordination and a reserve
    account;
    -- Higher-quality pool characteristics, compared to prior
    securitizations; and
    -- A sound legal structure. Credit support for the class A
    noteholders is provided in the form of unrated subordinated
    certificates, a 0.75% reserve account, and a yield supplement
    account partially available to absorb pool losses.

    Total credit enhancement for this transactions is 9.25%, compared with 10.25% for Nissan's 2000-A transaction sold in January 2000. While the reserve fund is the same for both, the credit enhancement provided by the certificates in the 2000-B issue is 8.5% of the initial receivables pool balance ($81.8 million), down from 9.5% in the 2000-A transaction. The reduced level of subordination is supported by the better caliber pool attributes. Distributions to the certificateholders are subordinated to note principal and interest and to the reserve account. Like 2000-A, the reserve account is funded with an initial deposit of 0.75% of the initial receivables pool balance and is nonamortizing for the life of the deal. In addition, a $64 million yield supplement account funded from note proceeds is available to provide increased yield to make up for the interest shortfall on underwater collateral. A loan is considered underwater if its annual percentage rate is less than 8.27%. The weighted average annual percentage rate of the collateral pool is 5.007%.

    Nissan Motor Corp.'s portfolio net loss statistics have shown improvement since 1997, largely as a result of more stringent underwriting guidelines and servicing procedures implemented by the company in three phases during 1996-1998. Ninety-nine percent of the contracts in the 2000-B pool were originated in or after 1998, in contrast to 91% and 27% in the 2000-A and 1999-A transactions, respectively. Annualized net losses as a percentage of outstanding balance (fiscal year-end March 31) were: 3.88% at fiscal year-end 1997, 2.71% at fiscal year-end 1998, 1.60% at fiscal year-end 1999, and 0.38% at fiscal year-end 2000. Delinquencies as a percentage of outstanding number of contracts with original contract terms of 64 months or less were 3.76% at fiscal year-end 1997, 2.97% at fiscal year-end 1998, 2.58% at fiscal year-end 1999, and 1.72% at fiscal year-end 2000.

    The contracts in the 2000-B securitized pool have a maximum original term of 60 months and a weighted average seasoning of nine months. Vehicle concentration by age is 91% new, 4.4% near-new (defined as three years old or less generally off-lease cars), and 4.5% used; the concentration by model type is Nissan (80%) and Infiniti (20%). Seventy-seven percent of these loans are extended to Tier 1 borrowers, that is, prime obligors whose credit score exceeds 700. This compares favorably to a 67% concentration of Tier 1 borrowers in the 2000-A pool. The highest state concentrations are in California (16.0%), Texas (8.3%), and New York (6.7%).

    The contracts were originated and are serviced by Nissan Motor Acceptance Corp. In accordance with the sales and servicing agreement, the receivables were sold to the seller, Nissan Auto Receivables Corp. The seller pledged the receivables to the owner trust, Standard & Poor's said. - CreditWire

    RATINGS ASSIGNED


Nissan Auto Receivables 2000-B Owner Trust
Issue                                                   Rating
$225 million 6.83125% auto receivable-backed
   notes class A-1                                      A-1+
$286.75 million 7.15% auto receivable-backed
   notes class A-2                                      AAA
$288 million 7.25% auto receivable-backed
   notes class A-3                                      AAA
$81 million 7.27% auto receivable-backed
   notes class A-4                                      AAA