(The following statement was released by the ratings agency)
LONDON, Feb 27 - Moody's Investors Service has assigned ratings of Prime-1 and Aaa to the senior Class A Asset Backed Notes issued by Nissan Auto Receivables 2003-A Owner Trust under the nineteenth securitization of auto loans by Nissan Motor Acceptance Corporation (NMAC). The complete rating actions are as follows:
COMPLETE RATING ACTION
$430,000,000, 1.30%, Class A-1, Asset Backed Notes, rated Prime-1; $362,000,000, 1.45%, Class A-2, Asset Backed Notes, rated Aaa; $543,000,000, 1.89%, Class A-3, Asset Backed Notes, rated Aaa; $280,712,000, 2.61%, Class A-4, Asset Backed Notes, rated Aaa. The Prime-1 and Aaa ratings assigned to the Class A notes are based on the credit support provided by the subordinate certificates sized at 5.25% of the initial pool principal balance, excess spread, and a 0.50%, non-declining, reserve account.
Total credit enhancement from the subordinated certificates and reserve account of 5.75% is lower than that for Nissan's 2002 deals (6.25%), which reflects the continuing strong performance of Nissan's post-1997 pools and positive characteristics of the current pool. A HIGH QUALITY, PRIME POOL Like the previous 2002-C pool, the 2003-A pool does not include Tier-4 contracts, the worst performing loan category. In addition, the current pool contains a much lower proportion of used vehicle loans (0.8%) compared to the 2002-C and 2002-B pools (6% and 4%, respectively). The 2003-A pool is stronger than 2002-C but slightly weaker than 2002-B in terms of proportion of new collateral (vs. near-new and used), weighted-average FICO score and proportion of Tier-1 (highest credit quality) obligors.
PRO-RATA PAY STRUCTURE
Consistent with 2002-C, the 2003-A transaction employs a pro-rata pay owner trust structure. A money market eligible tranche (Class A-1) is offered in this transaction. Principal and interest payments to the Class A Notes and the certificates will be paid on a pro-rata basis. The subordinated certificates will receive pro-rata principal distributions only after the Class A-1 Notes have been paid in full. At closing, a reserve account was established and funded in an amount equal to 0.50% of the initial pool balance and remains at this level for the life of the transaction. As the pool balance declines, the ratio of the reserve account to the pool balance will increase. This contrasts to the 2002-C structure in which the reserve account builds from 0.50% to a non-declining 0.75% of the initial pool balance. The weighted-average annual percentage rate (APR) of the loan pool at 4.77% reflects the inclusion of a large percentage of rate subvened contracts that are offered to NMAC's higher quality customers. A yield supplement account was established to compensate for each low APR loan that bears an interest rate below the target rate of the Class A-4 note coupon rate plus a 1% servicing fee. A large percentage of the loan balance exceeds the target rate, however, thus generating excess spread.
SERVICER NMAC, located in Torrance, California is a wholly owned subsidiary of Nissan North America, Inc. (NNA), the primary distributor of Nissan and Infiniti vehicles in the U.S. NNA is in turn wholly-owned by Nissan Motor Co., Ltd, (Nissan) of Japan. NMAC provides wholesale and retail financing for approximately 1,100 authorized Nissan and 160 Infiniti dealers throughout the United States. Moody's rating of long term unsecured obligations of NMAC is Baa3.