Consumer ABS

Indexed to the one-month, I-Curve, yields are expected to range from 4.60% on the A1+ rated, A1 notes to 6.22% on the BBB-rated, class D notes.

A reserve account starts off at 0.0%, but its funding level varies in line with three-month average excess spreads, if it falls below certain thresholds.

Second-lien loans make up virtually the entire pool, which carries some risk of poor recovery rates. Yet 78% of the pool is also considered safe-harbor mortgages.

The $1 billion securitization includes a $424 million fixed rate Aaa-rated portion with a yield of 5.133% as well as a $424 million floating Aaa-rated portion priced at 110 basis points over the Secured Overnight Financing Rate.

Portfolio managers should consider choosing CLOs and ABS over corporate credit and agency MBS over Treasuries in 2025, says asset manager Janus Henderson.

Loans on used cars, extended to borrowers with prime credit characteristics, make up the reference pool of assets.

Coupons range from 4.4% on the noted rates P1/A1+ from Moody's and S&P, to 5.66% on the notes rated Ba1/BB+.

The deal is structured as a public securitization, under Rule 144A, and is supported by lending indirectly through more than 1,100 partnerships across the country.

Outstanding loans eligible for repossession in December 2022 saw a 22.5% increase from December 2019, but redemptions were higher than pre-pandemic levels.