Ally Bank is marketing its first securitization of subprime auto loans of the year, according to Standard & Poor’s. It is also Ally’s first deal that complies with Regulation AB II.
Citigroup Global Markets, Deutsche Bank Securities, Lloyds Securities, and RBC Capital Markets are the deal’s underwriters.
Unlike Ally’s recent transactions, the $991.28 million Capital Auto Receivables Asset Trust 2016-1 does not have a revolving period during which additional collateral may be purchased. However, within the first two years, Ally may substitute up to 10% of the initial pool balance of loans that are found to breach representations and warranties, rather than just remove them.
S&P has assigned preliminary ‘AAA’ ratings to three senior term tranches that benefit from initial credit enhancement of 15%.
The expected loss for CARAT 2016-1 is 3.6%-3.8% of the principal balance - in line with its expectations of 3.4%-3.9% for the previous deal, but lower than the loss expectation of 4.7%-5.1% at the beginning of amortization, which assumed that the pool could revolve into a higher credit risk pool during the one-year revolving period.
Among other changes in the collateral, the weighted average seasoning increased slightly, to 12.7 months from 12.6 months; the weighted average loan-to-value ratio increased slightly, to 105.26% from 104.77%; the percentage of subvened loans decreased to 13.80% from 16.12%; and the percentage of loans with original terms of 61-84 months increased slightly, to 77.00% from 76.77%.
The weighted average annual percentage rate increased, to 9.17% from 8.89%.