Consumer ABS

The deal can be upsized to $2 billion, and the transaction will repay principal sequentially, growing non-declining enhancement as the notes amortize.

The transaction's senior, interest-only tranches, which are also initially exchangeable, pay a coupon of 0.50%.

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+.