Ally Bank is preparing to sponsor a $718.2 million securitization of revenue from a pool of prime auto loan payments, through the Ally Auto Receivables Trust 2023-A.
The notes are being offered from a March 9, 2023 issuance, according to a pre-sale report from S&P Global ratings. For its part, the rating agency will assess $83.35 million through four tranches of notes. The deal will issue fixed-rate notes to investors through five tranches, which will repay them through a senior-subordinate structure, according to S&P. The current deal consists of a senior debt obligation, the class A1 tranche, with an initial principal balance of $750 million, the rating agency said, adding that it will not rate that piece of the deal.
BNY Mellon Trust is owner trustee on the deal, while Ally Bank is also servicer on the deal.
As for other classes in the transaction, S&P assigns 'AAA' to the A2 notes; 'AA' to the class B notes; 'A' to the class C notes; and 'BBB' to the class D notes. All of the notes have the same legal final maturity date, Jan. 15, 2034, the rating agency said.
The notes have credit support levels of 13.08%, 9.89%, 7.63% and 5.45% on the classes A2, B, C and D notes, respectively, S&P said. Those support levels provide coverage of at least 5.00x, 4.00x, 3.00x and 2.00x, respectively. As for the loss expectations on the deal, the rating agency has an expected cumulative net loss (ECNL) level of 2.15%, noticeably higher than the 1.10% on the transaction. This stems from its view that the 2023-A collateral characteristics are weaker compared with the 2022-3, the pool has seven months of performance data, the managed portfolio data and its forward-looking view of the auto finance sector.
In terms of how the current series' collateral stacks up with previous deals, the AART 2023-A is weaker when compared with the AART 2023-1 and the AART 2022-3. On a weighted average (WA) basis, the loan-to-average increased to 105%, up from 95%. The proportion of loans with original terms that are greater than 73-75 months is 25%, up from 20%, the rating agency said.
