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Nissan Auto Receivables 2021-A Owner Trust Notes Assigned Preliminary Ratings

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Nissan Auto Receivables 2021-A Owner Trust Notes Assigned Preliminary Ratings

Overview

  • Nissan Auto Receivables 2021-A Owner Trust's note issuance is an ABS transaction backed by prime fixed-rate auto loan receivables.
  • We assigned our preliminary ratings to the class A-1, A-2, A-3, and A-4 notes.
  • The preliminary ratings reflect our view of the transaction's credit support and enhancement, securitized pool, and payment and legal structures, among other factors.

NEW YORK (S&P Global Ratings) June 10, 2021--S&P Global Ratings today assigned its preliminary ratings to Nissan Auto Receivables 2021-A Owner Trust's asset-backed notes (see list).

The note issuance is an ABS transaction backed by prime fixed-rate auto loan receivables.

The preliminary ratings are based on information as of June 10, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

  • The availability of approximately 9.1% credit support (including excess spread) for the class A notes, based on stressed cash flow scenarios. This credit support level provides coverage of approximately 6.5x our expected net loss range of 1.30%-1.50% and is commensurate with the assigned preliminary 'A-1+ (sf)' and 'AAA (sf)' ratings on the class A notes.
  • The timely interest and full principal payments made under the stressed cash flow modeling scenarios appropriate for the assigned preliminary ratings. In our modeling approach, we used a bifurcated pool method. For cash flow purposes, the subvened/nonsubvened cutoff annual percentage rate (APR) is 4.0%.
  • Our expectation that under a moderate ('BBB') stress scenario (2.0x our expected loss level), all else being equal, our preliminary 'AAA (sf)' ratings on the class A notes will be within the credit stability limits specified by section A.4 of the Appendix in S&P Global Ratings Definitions (see "S&P Global Ratings Definitions," published Jan. 5, 2021).
  • The transaction's credit enhancement in the form of nonamortizing overcollateralization, a nonamortizing reserve account, a yield supplement overcollateralization amount, and excess spread.
  • The collateral characteristics of the securitized pool.
  • Our view of the transaction's payment and legal structures.

S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets

may only be able to achieve widespread immunization by year-end or later. We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic (see our research here: www.spglobal.com/ratings). As the situation evolves,

we will update our assumptions and estimates accordingly.

Related Criteria

Related Research

Preliminary Ratings Assigned

Nissan Auto Receivables 2021-A Owner Trust
  • Class A-1, $172.00 million: A-1+ (sf)
  • Class A-2, $356.50 million: AAA (sf)
  • Class A-3, $356.50 million: AAA (sf)
  • Class A-4, $115.00 million: AAA (sf)

Primary Credit Analyst:Cara Mcgonigle, New York +1 (212) 438-1792;
cara.mcgonigle@spglobal.com
Secondary Contact:Jennie P Lam, New York + 1 (212) 438 2524;
jennie.lam@spglobal.com

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