<PAGE>
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES AND EXCHANGE ACT OF 1934
Date of Report: August 23, 1999
---------------------------------
(Date of earliest event reported)
NISSAN AUTO RECEIVABLES CORPORATION
on behalf of Nissan Auto Receivables 1999-A Owner Trust
--------------------------------------------------------------
(Exact name of registrant as specified in its charter)
DELAWARE 333-82763 33-0479655
------------------------------- ------------------------ -------------------
(State or Other Jurisdiction of (Commission File Number) (I.R.S. Employer
Incorporation) Identification No.)
990 W. 190TH STREET
TORRANCE, CALIFORNIA 90502
(Address of principal executive offices)
Registrant's telephone number, including area code: (310) 719-8013
<PAGE>
ITEM 5. OTHER EVENTS
Attached as Exhibit 99.1 to this Current Report is certain
material (a Collateral and Structural Term Sheet) circulated by Merrill Lynch
& Co., Banc of America Securities LLC, Chase Securities Inc. and J.P. Morgan
& Co. in connection with the Registrant's offering of the Class A-1 Notes,
the Class A-2 Notes and the Class A-3 Notes (collectively, the "Notes"). The
Notes will be offered pursuant to a Prospectus and related Prospectus
Supplement (together, the "Prospectus") which will be filed with the
Commission pursuant to Rule 424 under the Securities Act of 1933, as amended
(the "Act"). The offering of the Notes has been registered pursuant to the
Act under the Registrant's Registration Statement on Form S-3 (No. 333-82763)
(the "Registration Statement"). This Collateral and Structural Term Sheet
will be incorporated by reference in the Registration Statement.
Any statement or information contained in the Collateral
and Structural Term Sheet may be modified or superseded by subsequent similar
materials or by statements or information contained in the Prospectus.
ITEM 7. FINANCIAL STATEMENTS, PRO FORMA FINANCIAL INFORMATION AND EXHIBITS
(a) Not applicable.
(b) Not applicable.
(c) Exhibit
Exhibit 99.1 Collateral and Structural Term Sheet.
<PAGE>
Pursuant to the requirements of the Securities Exchange Act
of 1934, the Registrant has duly caused this report to be signed on behalf of
the Registrant by the undersigned thereunto duly authorized.
NISSAN AUTO RECEIVABLES CORPORATION
By: /s/ Tomoaki Shimazu
------------------------------------------
Name: Tomoaki Shimazu
Title: Treasurer, Assistant Secretary and
Director
Date: August 23, 1999
<PAGE>
EXHIBIT INDEX
Item 601(a) of Regulation S-K
EXHIBIT NO. DESCRIPTION
- ----------- -----------
99.1 Collateral and Structural Term Sheet
<PAGE>
EXHIBIT 99.1
SUBJECT TO REVISION
TERM SHEET, DATED AUGUST 20, 1999
$662,590,000
NISSAN AUTO RECEIVABLES 1999-A OWNER TRUST
NISSAN AUTO RECEIVABLES CORPORATION,
SELLER
NISSAN MOTOR ACCEPTANCE CORPORATION,
SERVICER
$195,850,000 ASSET BACKED NOTES, CLASS A-1
$260,000,000 ASSET BACKED NOTES, CLASS A-2
$206,740,000 ASSET BACKED NOTES, CLASS A-3
The trust will issue the following notes:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------
Initial Principal Accrual First Interest Final Scheduled
Amount Method(1) Payment Date Payment Date
----------------- ---------- ------------------ ------------------
<S> <C> <C> <C> <C>
Class A-1 Notes....... $195,850,000 Actual/360 September 15, 1999 September 15, 2000
Class A-2 Notes....... $260,000,000 30/360 September 15, 1999 September 15, 2003
Class A-3 Notes....... $206,740,000 30/360 September 15, 1999 September 15, 2003
(1)Interest will accrue on the Class A-1 Notes from Payment Date to Payment Date, and on the other notes
from the 15th day of each month to the 15th day of the succeeding month.
- --------------------------------------------------------------------------------------------------------
</TABLE>
The notes are asset backed securities issued by the trust. The notes
are not obligations of Nissan Motor Acceptance Corporation, Nissan Auto
Receivables Corporation, Nissan North America, Inc. or any of their respective
affiliates. Neither the notes nor the receivables are insured or guaranteed by
any governmental agency.
This term sheet contains structural and collateral information about
the notes, but does not contain complete information about the offering of the
notes. The information contained in this term sheet is preliminary, limited in
nature, and may be changed. The information contained in this term sheet will be
superseded by information contained in the final prospectus supplement and
prospectus relating to the offering of the notes. Sales of notes may not be
completed unless the purchaser has received both the prospectus supplement and
the prospectus. If any statements in this term sheet conflict with statements in
the prospectus supplement or the prospectus, the statements in the prospectus
supplement and the prospectus will control. This term sheet is not an offer to
sell or the solicitation of an offer to buy the notes. If the offer,
solicitation or sale of the notes in any jurisdiction would be unlawful before
the notes are registered or qualified under the securities laws of that
jurisdiction, then this term sheet cannot be used to offer or sell the notes in
that jurisdiction.
NEITHER THE SECURITIES AND EXCHANGE COMMISSION NOR ANY STATE SECURITIES
COMMISSION HAS APPROVED OR DISAPPROVED OF THE NOTES OR DETERMINED THAT THIS TERM
SHEET IS ACCURATE OR COMPLETE. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL
OFFENSE.
UNDERWRITERS OF THE NOTES
MERRILL LYNCH & CO.
BANC OF AMERICA SECURITIES LLC
CHASE SECURITIES INC.
J.P. MORGAN & CO.
<PAGE>
SUMMARY OF TERMS
THE FOLLOWING INFORMATION HIGHLIGHTS SELECTED INFORMATION THAT WILL BE
CONTAINED IN AND DESCRIBED IN GREATER DETAIL IN THE FINAL PROSPECTUS SUPPLEMENT
AND PROSPECTUS AND PROVIDES A GENERAL OVERVIEW OF THE TERMS OF THE NOTES. THE
INFORMATION CONTAINED IN THIS TERM SHEET IS PRELIMINARY, LIMITED IN NATURE, AND
MAY BE CHANGED. THE INFORMATION CONTAINED IN THIS TERM SHEET WILL BE SUPERSEDED
BY INFORMATION CONTAINED IN THE FINAL PROSPECTUS SUPPLEMENT AND PROSPECTUS
RELATING TO THE OFFERING OF THE NOTES. TO UNDERSTAND ALL OF THE TERMS OF THE
OFFERING OF THE NOTES, YOU SHOULD READ CAREFULLY THE PROSPECTUS SUPPLEMENT AND
THE PROSPECTUS. BOTH DOCUMENTS CONTAIN INFORMATION YOU SHOULD CONSIDER WHEN
MAKING YOUR INVESTMENT DECISION.
ISSUER
Nissan Auto Receivables 1999-A Owner Trust.
SELLER
Nissan Auto Receivables Corporation.
SERVICER
Nissan Motor Acceptance Corporation.
INDENTURE TRUSTEE
Norwest Bank Minnesota, National Association.
OWNER TRUSTEE
Chase Manhattan Bank Delaware.
CLOSING DATE
On or about September 1, 1999.
CUTOFF DATE July 31, 1999.
THE NOTES
Class A-1 ___% Asset Backed Notes in the aggregate initial principal amount
of $195,850,000.
Class A-2 ___% Asset Backed Notes in the aggregate initial principal amount
of $260,000,000.
Class A-3 ___% Asset Backed Notes in the aggregate initial principal amount
of $206,740,000.
THE CERTIFICATES
The trust will also issue asset backed certificates in the aggregate
principal amount of $69,553,742.24, evidencing fractional undivided interests
in the trust, including the right to payment of certain available amounts in
excess of those necessary to make payments on the notes to the extent
specified in this term sheet. The certificates will not bear interest. The
certificates are not offered by this term sheet.
THE RECEIVABLES
On the closing date the trust will purchase a pool of new, near-new or used
automobile and light-duty truck retail installment sales contracts originated
by Nissan and Infiniti dealers having an aggregate principal balance of
$732,143,742.24 as of the cutoff date. These contracts are referred to as the
"receivables." The receivables were sold by the dealers to Nissan Motor
Acceptance Corporation and will be resold by Nissan Motor Acceptance
Corporation to Nissan Auto Receivables Corporation, who will sell them to the
trust. Additional information about the receivables follows this summary
section.
TERMS OF THE SECURITIES
A. PAYMENT DATES
The fifteenth day of each month or, if the fifteenth day of the month is not
a business day, the next business day, commencing September 15, 1999.
B. COLLECTION PERIODS
The calendar month preceding the related payment date.
C. INTEREST RATES
The notes will have fixed interest rates. The certificates will not bear
interest.
2
<PAGE>
D. INTEREST ACCRUAL
The Class A-1 Notes will accrue interest on an actual/360 basis from (and
including) a payment date to (but excluding) the next payment date, except
that the first interest accrual period will be from (and including) the
closing date to (but excluding) September 15, 1999.
All other notes will accrue interest on a 30/360 basis from (and including)
the 15th day of each calendar month to (but excluding) the 15th day of the
succeeding calendar month except that the first interest accrual period will
be from (and including) the closing date to (but excluding) September 15,
1999.
E. PAYMENT PRIORITIES
On each payment date, the trust will make payments from collections on the
receivables during the related collection period, amounts withdrawn from the
yield supplement account, and, if necessary, amounts withdrawn from the
reserve account. Advances made by the servicer will be included in
collections, and reimbursements of servicer advances will be deducted from
collections before any payments are made. The trust will make payments in the
following order of priority:
1. SERVICING FEE - the servicing fee payable to the servicer equal to 1/12
of 1.00% of the aggregate principal balance of the receivables on the
first day of the related collection period;
2. CLASS A NOTE INTEREST - accrued and unpaid interest on the Class A-1,
Class A-2 and Class A-3 Notes (on a pro rata basis);
3. ALLOCATION OF PRINCIPAL ON THE NOTES - an amount equal to the excess, if
any, of (x) the sum of the principal balances of the notes and the
certificates as of the close of business on the prior payment date over
(y) the principal balance of the receivables as of the end of the
related collection period.
4. RESERVE ACCOUNT - to the reserve account, an amount equal to the amount
required to maintain the reserve account at the required amount.
5. EXCESS AMOUNTS - any remaining amounts to Nissan Auto Receivables
Corporation, as holder of the certificates.
ALLOCATIONS OF PRINCIPAL - On each payment date, from the amounts allocated
to principal as described in clause (3) above, the trust will pay principal
of the securities in the following priority:
1. to the Class A-1 Notes until they are paid in full;
2. to the Class A-2 Notes until they are paid in full;
3. to the Class A-3 Notes until they are paid in full;
4. to the certificates until they are paid in full; and
5. any remaining amounts to Nissan Auto Receivables Corporation, as holder
of the certificates.
F. PAYMENT PRIORITIES CHANGE UPON CERTAIN EVENTS OF DEFAULT
After an event of default specified in the indenture occurs that results in
the acceleration of the notes, to the extent of amounts available from (i)
collections (net of amounts paid to reimburse advances), (ii) advances, and
(iii) amounts on deposit in the yield supplement account and the reserve
account, the notes will receive payments in respect of interest and principal
on a pro rata basis, based on their outstanding principal balances, until the
notes have been paid in full.
As long as any notes remain outstanding, payments on the certificates will be
subordinated to payments of interest and principal on the notes.
G. RESERVE ACCOUNT
On the closing date, the seller will deposit $5,491,078.07 (0.75% of the
outstanding principal balance of the receivables as of the cutoff date) into
the reserve account for the trust.
On each payment date, if collections on the receivables and advances by the
servicer are insufficient to pay the first three items listed under "Payment
Priorities" above, the indenture trustee will withdraw funds (if available)
from the reserve account to pay those amounts.
If the principal balance of a class of notes is not paid in full on the
related final scheduled payment date, the indenture trustee will withdraw
amounts from the reserve account (if available) to pay that class in full.
3
<PAGE>
The amount required to be on deposit in the reserve account at the close of
business on any payment date will be $5,491,078.07, except that if
charge-offs or delinquencies exceed specified levels, the required amount
will be the greater of (i) $5,491,078.07 and (ii) 10% of the outstanding
principal balance of the notes and certificates as of the preceding payment
date (after giving effect to payments of principal made on such date). On
each payment date, the trust will deposit the amount, if any, necessary to
cause the balance of funds on deposit in the reserve account to equal the
required balance to the extent set forth above under "Payment Priorities".
H. YIELD SUPPLEMENT ACCOUNT
On the closing date, the seller will make a deposit into the yield supplement
account for the trust.
On each payment date, the trust will use funds in the yield supplement
account to cover, for each receivable, the excess, if any, of (x) the sum of
(1) the interest rate on the Class A-3 Notes, (2) the servicing fee rate and
(3) 0.50% over (y) the interest rate on that receivable.
I. FINAL SCHEDULED PAYMENT DATES
The trust is required to pay the outstanding principal amount of each class
of notes in full on or before the related final scheduled payment date
specified on the cover of this term sheet.
J. OPTIONAL REDEMPTION; CLEAN-UP CALL
The servicer may redeem the notes and the certificates in whole, but not in
part, at a price equal to the unpaid principal amount of the notes and
certificates plus any accrued and unpaid interest thereon, on any payment
date when the outstanding principal balance of the receivables has declined
to 10% or less of the principal balance of the receivables as of the cutoff
date.
MINIMUM DENOMINATIONS
The notes will be issued only in denominations of $1,000 or more.
REGISTRATION OF THE SECURITIES
Interests in the notes will be held through The Depository Trust Company in the
United States, or Cedelbank or the Euroclear System in Europe. This is referred
to as book-entry registration. You will not receive a definitive note except
under limited circumstances.
We expect the notes to be delivered through The Depository Trust Company,
Cedelbank and Euroclear on or about September 1, 1999.
TAX STATUS
Subject to the important considerations described in the prospectus supplement
and the prospectus, O'Melveny & Myers LLP, special tax counsel to the trust,
will deliver its opinion that the notes will be characterized as debt, and the
trust will not be characterized as an association or a publicly traded
partnership taxable as a corporation for federal income and California income
and franchise tax purposes.
If you purchase a note, you will agree to treat the note as a debt instrument.
ERISA CONSIDERATIONS
Subject to the important considerations described in the prospectus supplement
and the prospectus, the notes generally are eligible for purchase by employee
benefit plans.
IF YOU ARE A BENEFIT PLAN FIDUCIARY CONSIDERING THE PURCHASE OF NOTES, YOU
SHOULD CONSULT WITH YOUR COUNSEL IN DETERMINING WHETHER ALL REQUIRED CONDITIONS
HAVE BEEN SATISFIED.
ELIGIBILITY FOR PURCHASE BY MONEY MARKET FUNDS
The Class A-1 Notes are structured to be eligible for purchase by money market
funds under Rule 2a-7 under the Investment Company Act of 1940, as amended. A
money market fund should consult its legal advisers regarding the eligibility of
such notes under Rule 2a-7 and whether an investment in such notes satisfies
such fund's investment policies and objectives.
RATINGS
It is a condition to the issuance of the securities that: (i) the Class A-1
Notes be rated "A-1+" by Standard & Poor's Ratings Group and "P-1" by Moody's
Investors Service, Inc., and (ii) the Class A-2 and Class A-3 Notes be rated
"AAA" by Standard & Poor's Ratings Group and "Aaa" by Moody's Investors
Service, Inc.
4
<PAGE>
THE RECEIVABLES POOL
The receivables are required to meet certain selection
criteria as of the cutoff date. Pursuant to such criteria, each receivable: (i)
was, at the time of origination, secured by a new, near-new or used automobile
or light-duty truck; (ii) was originated in the United States; (iii) provides
for scheduled monthly payments that fully amortize the amount financed by such
receivable over its original term (except for minimally different payments in
the first or last month in the life of the receivable); (iv) had an original
number of scheduled payments of not less than 12 and not more than 60 and, as of
the cutoff date, had a remaining number of scheduled payments of not less than 3
and not more than 59; (v) provides for the payment of a finance charge at an
annual percentage rate ranging from 3.90% to 21.99%; (vi) does not have a
payment that is more than 29 days past due as of the cutoff date; (vii) is being
serviced by Nissan Motor Acceptance Corporation; (viii) according to the records
of the Seller, is not due from any obligor who is presently the subject of a
bankruptcy proceeding; (ix) does not relate to a vehicle as to which
forced-placed insurance premiums have been added to the amount financed; and (x)
as of the cutoff date had a remaining principal balance of not less than $250
and not more than $40,000. Retail installment sales contracts originated in
Alabama, Hawaii and Maryland will not be included in the trust. No selection
procedures believed by the seller to be adverse to noteholders have been used in
selecting the receivables.
As of the cutoff date, the average principal balance of the
receivables was approximately $10,723.92. Based on the addresses of the
originating dealers, the receivables have been originated in 47 states. Except
in the case of any breach of representations and warranties by the related
dealer, the receivables generally do not provide for recourse against the
originating dealer.
5
<PAGE>
The composition, distribution by annual percentage rate and
geographic distribution of the receivables as of the cutoff date are as set
forth in the following tables:
<TABLE>
<CAPTION>
COMPOSITION OF THE RECEIVABLES
<S> <C>
Aggregate Principal Balance....................................................... $732,143,742.24
Number of Receivables............................................................. 68,272
Average Principal Balance......................................................... $10,723.92
Range of Principal Balances.................................................. $255.79 to $39,869.16
Average Original Amount Financed.................................................. $15,271.48
Range of Original Amount Financed............................................ $1,000.00 to $48,841.86
Weighted Average APR.............................................................. 7.37%
Range of APRs................................................................ 3.90% to 21.99%
Approximate Weighted Average Original Term to Maturity............................ 58.09 months
Range of Original Term to Maturity........................................... 12 to 60 months
Weighted Average Remaining Term to Maturity....................................... 43.53 months
Range of Remaining Term to Maturity.......................................... 3 to 59 months
Percentage by Principal Balance of Receivables of New, Near-New and Used 64.04% (New)
Vehicles..................................................................... 31.59% (Near-New)
4.37% (Used)
Percentage by Principal Balance of Receivables Financed through Nissan and Infiniti 87.59% (Nissan)
Dealers...................................................................... 12.41% (Infiniti)
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION OF THE RECEIVABLES BY APR
PERCENTAGE OF PERCENTAGE OF
NUMBER OF TOTAL NUMBER CUTOFF DATE CUTOFF DATE
RANGE OF APRS RECEIVABLES OF RECEIVABLES PRINCIPAL BALANCE POOL BALANCE
------------- ----------- ------------------- ----------------- --------------------
<S> <C> <C> <C> <C>
3.00 to 3.99 497 0.73% $7,907,081.78 1.08%
4.00 to 4.99 696 1.02 10,519,933.65 1.44
5.00 to 5.99 28,357 41.54 368,486,987.06 50.33
6.00 to 6.99 12,518 18.34 140,588,068.78 19.20
7.00 to 7.99 2,027 2.97 19,264,884.63 2.63
8.00 to 8.99 6,632 9.71 49,733,827.09 6.79
9.00 to 9.99 5,294 7.75 40,436,097.03 5.52
10.00 to 10.99 3,951 5.79 30,470,554.39 4.16
11.00 to 11.99 3,044 4.46 23,552,406.99 3.22
12.00 to 12.99 1,492 2.19 11,537,369.51 1.58
13.00 to 13.99 1,226 1.80 9,717,879.94 1.33
14.00 to 14.99 1,159 1.70 9,715,930.17 1.33
15.00 to 15.99 359 0.53 2,525,225.32 0.34
16.00 to 16.99 365 0.53 2,851,386.55 0.39
17.00 to 17.99 389 0.57 3,170,507.22 0.43
18.00 to 18.99 143 0.21 908,318.80 0.12
19.00 to 19.99 98 0.14 606,510.82 0.08
20.00 and above 25 0.04 150,772.51 0.02
------ ------ ---------------
Total 68,272 100.00% $732,143,742.24 100.00%
====== ======= =============== =======
</TABLE>
- ----------------------------------
(1) Dollar amounts and percentages may not add to the total or to 100.00%,
respectively, due to rounding.
6
<PAGE>
<TABLE>
<CAPTION>
DISTRIBUTION OF THE RECEIVABLES BY STATE (1)
Percentage of
Number of Total Number of Cutoff Date Percentage of
State Receivables Receivables Principal Balance Pool Balance
- ----- -------------- ---------------- ------------------- ----------------
<S> <C> <C> <C> <C>
Alaska..................... 32 0.05% $ 334,692.28 0.05%
Arizona.................... 2,559 3.75 28,858,470.72 3.94
Arkansas................... 1,160 1.70 10,623,598.20 1.45
California................. 9,668 14.16 110,431,617.44 15.08
Colorado................... 926 1.36 9,615,283.25 1.31
Connecticut................ 1,739 2.55 16,497,437.25 2.25
Delaware................... 255 0.37 2,743,703.28 0.37
Florida.................... 4,983 7.30 53,594,854.33 7.32
Georgia.................... 2,841 4.16 29,633,820.54 4.05
Idaho...................... 60 0.09 727,841.38 0.10
Illinois................... 3,281 4.81 35,985,971.34 4.92
Indiana.................... 548 0.80 5,899,931.34 0.81
Iowa....................... 377 0.55 4,110,313.61 0.56
Kansas..................... 980 1.44 11,109,370.91 1.52
Kentucky................... 2 0.00 12,069.65 0.00
Louisiana.................. 1,441 2.11 15,864,763.31 2.17
Maine...................... 126 0.18 1,335,616.06 0.18
Massachusetts.............. 2,059 3.02 21,276,439.67 2.91
Michigan................... 497 0.73 5,742,093.37 0.78
Minnesota.................. 558 0.82 5,904,174.53 0.81
Mississippi................ 1,022 1.50 10,357,903.55 1.41
Missouri................... 1,177 1.72 13,131,733.50 1.79
Montana.................... 52 0.08 560,114.43 0.08
Nebraska................... 138 0.20 1,467,140.41 0.20
Nevada..................... 505 0.74 5,592,733.65 0.76
New Hampshire.............. 545 0.80 5,759,805.32 0.79
New Jersey................. 2,874 4.21 30,372,112.14 4.15
New Mexico................. 390 0.57 3,740,792.81 0.51
New York................... 5,262 7.71 53,878,023.05 7.36
North Carolina............. 3,025 4.43 31,606,836.45 4.32
North Dakota............... 23 0.03 297,245.29 0.04
Ohio....................... 1,074 1.57 12,423,331.91 1.70
Oklahoma................... 826 1.21 8,380,036.32 1.14
Oregon..................... 444 0.65 4,206,114.12 0.57
Pennsylvania............... 1,180 1.73 14,198,650.98 1.94
Rhode Island............... 440 0.64 3,528,474.54 0.48
South Carolina............. 1,427 2.09 14,024,724.01 1.92
South Dakota............... 38 0.06 358,901.35 0.05
Tennessee.................. 2,710 3.97 29,226,636.33 3.99
Texas...................... 6,825 10.00 75,281,138.31 10.28
Utah....................... 339 0.50 3,782,483.71 0.52
Vermont.................... 170 0.25 1,620,369.40 0.22
Virginia................... 2,011 2.95 21,001,776.22 2.87
Washington................. 1,013 1.48 10,776,954.96 1.47
West Virginia.............. 269 0.39 3,022,400.30 0.41
Wisconsin.................. 392 0.57 3,124,234.42 0.43
Wyoming.................... 9 0.01 121,012.30 0.02
----------------- ----------------- --------------------- -----------------
Total...................... 68,272 100.00% $732,143,742.24 100.00%
====== ======= =============== =======
</TABLE>
- ------------------------
(1) Based solely on the addresses of the originating Dealers.
(2) Dollar amounts and percentages may not add to the total or to 100.00%,
respectively, due to rounding.
7
<PAGE>
DELINQUENCIES, REPOSSESSIONS AND NET LOSSES
Set forth below is certain information concerning Nissan Motor
Acceptance Corporation's experience pertaining to delinquencies, repossessions
and net losses on its portfolio of new, near-new and used automobile and
light-duty truck receivables (including receivables previously sold that Nissan
Motor Acceptance Corporation continues to service).
The data presented in the following tables are for
illustrative purposes only. There can be no assurance that Nissan Motor
Acceptance Corporation's delinquency, repossession and net loss experience with
respect to automobile and light-duty truck receivables in the future, or the
experience of the trust with respect to the receivables, will be similar to that
set forth below.
<TABLE>
<CAPTION>
DELINQUENCY EXPERIENCE(1)
AT MARCH 31,
AT ------------------------------------------------------------
JUNE 30, 1999 1999 1998 1997 1996 1995
------------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Number of Outstanding
Contracts................... 301,565 312,237 330,662 317,238 274,807 226,684
Delinquencies as a Percentage of
Contracts Outstanding (2)...
30-59 Days.................. 2.54% 2.27% 2.55% 3.10% 2.40% 2.10%
60-89 Days.................. 0.40% 0.27% 0.36% 0.49% 0.25% 0.15%
Over 90 Days................ 0.05% 0.04% 0.06% 0.17% 0.05% 0.02%
</TABLE>
- ------------------------
(1) The information in the Delinquency Experience table includes retail
installment sale contracts for new, near-new and used automobiles and
light-duty trucks and includes receivables which Nissan Motor Acceptance
Corporation has sold to third parties but continues to service. The
information does not include receivables purchased by Nissan Motor
Acceptance Corporation under certain special financing programs. The
information in the tables relates only to receivables with original terms
of 64 months or less. The trust does not include receivables with original
maturities in excess of 60 months. In general, Nissan Motor Acceptance
Corporation has experienced higher overall levels of losses with respect to
receivables with original maturities of 64 to 72 months than with respect
to receivables with shorter original maturities. All amounts and
percentages, except as indicated, are based on the principal balances of
the receivables including unearned interest. Averages are computed by
taking a simple average of month end outstandings for each period
presented.
(2) An account is considered delinquent if 20% or more of the scheduled
payment is past due.
8
<PAGE>
NET CREDIT LOSS AND REPOSSESSION EXPERIENCE(1)
(dollars in thousands)
<TABLE>
<CAPTION>
AT OR FOR THE
THREE MONTHS
ENDED AT OR FOR THE TWELVE MONTHS ENDED MARCH 31,
------------- ----------------------------------------------------------------------
JUNE 30, 1999 1999 1998 1997 1996 1995
------------- ------------- ------------- ------------ ------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Principal Amount Outstanding ......... $2,958,290 $ 3,126,219 $ 3,497,123 $ 3,276,423 $ 2,659,232 $ 1,921,100
Average Principal Amount Outstanding . $3,037,150 $ 3,463,840 $ 3,248,193 $ 3,181,569 $ 2,308,058 $ 1,822,669
Number of Contracts Outstanding ...... 301,565 312,237 330,662 317,238 274,807 226,684
Average Number of Contracts
Outstanding......................... 306,670 329,320 316,769 309,257 250,040 229,248
Charge-Offs (2)....................... $ 12,833 $92,005 $134,671 $158,969 $72,838 $46,201
Recoveries (3)........................ $ 10,253 $41,947 $ 39,997 $ 31,874 $20,489 $16,465
Net Losses............................ $ 2,580 $50,059 $ 94,674 $127,095 $52,349 $29,736
Net Losses as a Percentage of
Principal Amount Outstanding........ 0.35% 1.60% 2.71% 3.88% 1.97% 1.55%
Number of Repossessions (4).......... 2,029 9,782 14,164 17,569 9,841 8,530
Number of Repossessions as a Percent
of the Average Number of Contracts
Outstanding......................... 2.65% 2.97% 4.47% 5.68% 3.94% 3.72%
</TABLE>
- ------------------------------
(1) The information in the Net Credit Loss and Repossession table includes
retail installment sale contracts for new, near-new and used automobiles
and light-duty trucks and includes receivables which Nissan Motor
Acceptance Corporation has sold to third parties but continues to service.
The information does not include receivables purchased by Nissan Motor
Acceptance Corporation under certain special financing programs. The
information in the tables relates only to receivables with original terms
of 64 months or less. The trust does not include receivables with original
maturities in excess of 60 months. In general, Nissan Motor Acceptance
Corporation has experienced higher overall levels of losses with respect to
receivables with original maturities of 64 to 72 months than with respect
to receivables with shorter original maturities. All amounts and
percentages, except as indicated, are based on the principal balances of
the receivables including unearned interest. Averages are computed by
taking a simple average of month end outstandings for each period
presented.
(2) Charge-offs represent the total aggregate net principal balance of
receivables determined to be uncollectible in the period less proceeds from
disposition of related vehicles, other than recoveries described in Note
(3). Charge-offs do not include expenses associated with collection,
repossession or disposition of the vehicle.
(3) Recoveries generally include amounts received on receivables following the
time at which the receivable is charged off. Recoveries are net of expenses
associated with collection.
(4) The number of repossessions excludes accounts that have been subsequently
reinstated.
9
<PAGE>
WEIGHTED AVERAGE LIFE OF THE SECURITIES
Prepayments on automotive receivables can be measured relative to a
prepayment standard or model. The model used in this term sheet, the Absolute
Prepayment Model ("ABS"), represents an assumed rate of prepayment each month
relative to the original number of receivables in a pool of receivables. ABS
further assumes that all the receivables are the same size and amortize at the
same rate and that each receivable in each month of its life will either be paid
as scheduled or be prepaid in full. For example, in a pool of receivables
originally containing 10,000 receivables, a 1% ABS rate means that 100
receivables prepay each month. ABS does not purport to be an historical
description of prepayment experience or a prediction of the anticipated rate of
prepayment of any pool of receivables, including the receivables.
As the rate of payment of principal of each class of securities will
depend on the rate of payment (including prepayments) of the principal balance
of the receivables, final payment of any class of notes could occur
significantly earlier than the respective final scheduled distribution dates.
Reinvestment risk associated with early payment of the notes will be borne
exclusively by the holders of such notes.
The table captioned "Percent of Initial Note Principal Amount at
Various ABS Percentages" (the "ABS Table") has been prepared on the basis of the
characteristics of the receivables described above. The ABS Table assumes that
(i) the receivables prepay in full at the specified constant percentage of ABS
monthly, with no defaults, losses or repurchases, (ii) each scheduled monthly
payment on each receivable is scheduled to be made and is made on the last day
of each month and each month has 30 days, (iii) payments are made on the notes
on each payment date (and each such date is assumed to be the fifteenth day of
each applicable month), (iv) the balance in the reserve account on each payment
date is the required amount described in the summary under "Reserve Account" and
(v) the servicer exercises its option to purchase the receivables on the
earliest payment date on which such option may be exercised. The hypothetical
pools each have an assumed cutoff date of July 31, 1999. The ABS Table indicates
the projected weighted average life of each class of notes and sets forth the
percent of the initial principal amount of each class of notes that is projected
to be outstanding after each of the payment dates shown at various constant ABS
percentages.
The ABS Table also assumes that the receivables have been aggregated
into hypothetical pools with all of the receivables within each such pool having
the following characteristics and that the level scheduled monthly payment for
each of the pools (which is based on its aggregate principal balance, APR,
original term to maturity and remaining term to maturity as of the assumed
cutoff date) will be such that each pool will be fully amortized by the end of
its remaining term to maturity.
<TABLE>
<CAPTION>
REMAINING TERM ORIGINAL TERM
NUMBER OF AGGREGATE PRINCIPAL TO MATURITY TO MATURITY
POOL RECEIVABLES BALANCE APR (IN MONTHS) (IN MONTHS)
---- ----------- ------------------- ----- -------------- -------------
<S> <C> <C> <C> <C> <C>
1................... 2,569 $ 13,958,606.13 6.730% 18 34
2................... 894 7,988,719.35 6.485 32 36
3................... 1,966 6,662,811.40 8.923 15 48
4................... 4,044 38,916,675.96 7.037 31 48
5................... 1,880 21,295,161.63 7.239 43 48
6................... 9,186 35,926,600.99 10.438 17 60
7................... 6,316 46,832,250.96 9.880 29 60
8................... 26,260 338,691,231.97 6.830 44 60
9................... 15,157 $ 221,871,683.85 7.271% 55 60
</TABLE>
The actual characteristics and performance of the receivables will
differ from the assumptions used in constructing the ABS Table. The assumptions
used are hypothetical and have been provided only to give a general sense of how
the principal cash flows might behave under varying prepayment scenarios. For
example, it is very unlikely that the receivables will prepay at a constant
level of ABS until maturity or that all of the receivables will prepay at the
same level of ABS. Moreover, the diverse terms of receivables within each of the
hypothetical pools could produce slower or faster principal distributions than
indicated in
10
<PAGE>
the ABS Table at the various constant percentages of ABS specified, even if
the original and remaining terms to maturity of the receivables are as
assumed. Any difference between such assumptions and the actual
characteristics and performance of the receivables, or actual prepayment
experience, will affect the percentages of initial amounts outstanding over
time and the weighted average lives of each class of notes.
<TABLE>
<CAPTION>
PERCENT OF INITIAL NOTE PRINCIPAL AMOUNT AT VARIOUS ABS PERCENTAGES
CLASS A-1 NOTES CLASS A-2 NOTES CLASS A-3 NOTES
-------------------------------- ---------------------------------- ------------------------------------
PAYMENT DATE 0.50% 1.00% 1.50% 1.80% 0.50% 1.00% 1.50% 1.80% 0.50% 1.00% 1.50% 1.80%
-------------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
9/15/99 89.55 87.19 84.14 81.62 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
10/15/99 79.15 74.53 68.62 63.73 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
11/15/99 68.78 62.04 53.42 46.34 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
12/15/99 58.46 49.71 38.57 29.46 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
1/15/00 48.18 37.54 24.05 13.09 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
2/15/00 37.94 25.54 9.88 0.00 100.00 100.00 100.00 97.92 100.00 100.00 100.00 100.00
3/15/00 27.74 13.71 0.00 0.00 100.00 100.00 97.03 86.38 100.00 100.00 100.00 100.00
4/15/00 17.59 2.05 0.00 0.00 100.00 100.00 86.88 75.23 100.00 100.00 100.00 100.00
5/15/00 7.48 0.00 0.00 0.00 100.00 92.89 77.00 64.48 100.00 100.00 100.00 100.00
6/15/00 0.00 0.00 0.00 0.00 98.05 84.37 67.40 54.15 100.00 100.00 100.00 100.00
7/15/00 0.00 0.00 0.00 0.00 90.50 75.98 58.06 44.22 100.00 100.00 100.00 100.00
8/15/00 0.00 0.00 0.00 0.00 82.99 67.73 49.00 34.71 100.00 100.00 100.00 100.00
9/15/00 0.00 0.00 0.00 0.00 75.51 59.61 40.23 25.74 100.00 100.00 100.00 100.00
10/15/00 0.00 0.00 0.00 0.00 68.07 51.63 31.73 17.25 100.00 100.00 100.00 100.00
11/15/00 0.00 0.00 0.00 0.00 60.66 43.78 23.52 9.06 100.00 100.00 100.00 100.00
12/15/00 0.00 0.00 0.00 0.00 53.45 36.22 15.69 1.21 100.00 100.00 100.00 100.00
1/15/01 0.00 0.00 0.00 0.00 46.28 28.79 8.15 0.00 100.00 100.00 100.00 92.01
2/15/01 0.00 0.00 0.00 0.00 39.93 22.10 1.10 0.00 100.00 100.00 100.00 82.86
3/15/01 0.00 0.00 0.00 0.00 33.89 15.76 0.00 0.00 100.00 100.00 93.03 74.28
4/15/01 0.00 0.00 0.00 0.00 27.87 9.54 0.00 0.00 100.00 100.00 84.94 66.04
5/15/01 0.00 0.00 0.00 0.00 21.89 3.43 0.00 0.00 100.00 100.00 77.11 58.15
6/15/01 0.00 0.00 0.00 0.00 15.95 0.00 0.00 0.00 100.00 96.76 69.54 50.62
7/15/01 0.00 0.00 0.00 0.00 10.03 0.00 0.00 0.00 100.00 89.36 62.24 43.44
8/15/01 0.00 0.00 0.00 0.00 4.15 0.00 0.00 0.00 100.00 82.09 55.20 36.63
9/15/01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 97.86 74.98 48.44 30.24
10/15/01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 90.54 68.00 41.95 24.25
11/15/01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 83.27 61.18 35.74 18.55
12/15/01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 76.03 54.50 29.80 13.17
1/15/02 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 68.85 47.97 24.15 8.08
2/15/02 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 62.43 42.10 18.92 3.31
3/15/02 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 56.05 36.35 13.93 0.00
4/15/02 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 50.26 31.15 9.42 0.00
5/15/02 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 44.62 26.15 5.19 0.00
6/15/02 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 39.01 21.28 0.00 0.00
7/15/02 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 33.44 16.52 0.00 0.00
8/15/02 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 27.91 11.88 0.00 0.00
9/15/02 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 22.42 7.37 0.00 0.00
10/15/02 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 16.96 2.98 0.00 0.00
11/15/02 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.54 0.00 0.00 0.00
12/15/02 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.16 0.00 0.00 0.00
01/15/03 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
</TABLE>
11
<PAGE>
<TABLE>
<CAPTION>
CLASS A-1 NOTES CLASS A-2 NOTES CLASS A-3 NOTES
-------------------------------- ---------------------------------- ------------------------------------
PAYMENT DATE 0.50% 1.00% 1.50% 1.80% 0.50% 1.00% 1.50% 1.80% 0.50% 1.00% 1.50% 1.80%
-------------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Weighted
Average Life
(years)(1) 0.40 0.33 0.27 0.23 1.40 1.20 1.00 0.88 2.70 2.43 2.10 1.87
Weighted
Average Life
(years)(1)(2) 0.40 0.33 0.27 0.23 1.40 1.20 1.00 0.88 2.70 2.43 2.10 1.87
</TABLE>
- ------------------------
(1) The weighted average life of a note is determined by (x) multiplying the
amount of each principal payment on a note by the number of years from the
date of issuance of the note to the related payment date, (y) adding the
results and (z) dividing the sum by the original principal amount of the
note.
(2) This calculation assumes that the servicer does not exercise its option to
purchase the receivables.
12
