Eight prime and subprime auto loan and lease securitizations have arrived in the asset-backed market this week, tallying up approximately $6.72 billion in new deals.
The transactions include new captive finance loan pools from American Honda, Ford and CarMax, the latest lease trust securitizations from Mercedes-Benz and BMW, and three auto loan receivables from subprime lenders.
Honda Auto Receivables 2016-4 Owner Trust (HAROT) is a $1.28 billion notes offering backed by prime auto loans for new and used Honda and Acura vehicles, representing the fourth loan securitization of the year for American Honda Finance Corp., a subsidiary of American Honda Motor Co.
The capital structure includes a $300 million series of short-term Class A-1 money market notes, as well as three Class A strictures split between $475 million, $375 million and $100 million tranches. Fitch Ratings and Standard & Poro's have issued expected ‘AAA’ structured finance ratings to the long-term notes, but is not rating the short-term notes. Hard credit enhancement levels are at 2.75% for each class.
Ford Credit Auto Owner Trust 2016-4 mark’s Ford’s fourth trip to the market as well, in a $1.32 billion transaction secured by $1.42 billion in primarily new auto loans (89.8% of the pool) to 55,788 borrowers who have a weighted average FICO score of 736.
Ford’s Class A notes is supported by 5.54% credit enhancement, in line with Ford Credit’s securitizations dating back to at least 2012. Fitch has assigned early ‘AAA’ ratings to three A –class notes of varying tenure, including a $456.7 million tranche to be divided between fixed- and floating-rate notes.
Another transaction rated by Fitch was the $1.1 billion CarMax Auto Owner Trust 2016-4 notes issuance of used-car prime loans originated through CarMax auto dealerships.
The pool includes 68,527 loans that were taken out by prime borrowers with a weighted average FICO score of 706, and a weighted average APR of 7.34%. Fitch assigned triple-A ratings to the three Class A notes tranches, as well as an ‘F1+’ short-term rating to a $205 million money-market tranche. The initial CE level is 5.75%.
For BMW Financial Services NA, its second prime lease securitization of the year (BMW Vehicle Lease Trust 2016-2) is sized at $1 billion, all within Class A tranches with a preliminary ‘AAA’ structured finance rating from S&P: a $440 million, two-year Class A2 tranche that will include floating and fixed-rate notes; a $350 million Class A-3 tranche with three-year notes totaling $350 million, and a $90 million Class A-4 notes issuance due 2020. (A $120 million money-market tranche has the equivalent ‘A-1+’ rating).
Initial hard CE is 16.15%, slightly below BMW’s 17.05% level of its prior lease securitization.
Mercedes-Benz Auto Lease Trust (MBALT) 2016-B, also AAA-rated by S&P and Moody’s Investors Service, is $1.037 billion in notes backed by prime auto receivables from Mercedez-Benz Financial Services USA. It carries similar CE levels to BMW (16.75%), and is the 10th overall MBALT auto lease term transaction for Mercedes-Benz in the U.S., supported by monthly lease payments and base residual values of Mercedez-branded passenger cars and SUVs.
Unlike is prior transaction this year, MBALT 2016-B will not include a floating-rate tranche, nor an overcollateralization step-down feature, according to S&P.
The largest subprime auto loan securitization among presale reports issued Thursday was the $350 million Credit Acceptance Auto Loan Trust (CAALT) 2016-3, which received a preliminary triple-A structured finance rating from bond rating agency DBRS for the deal’s $227.5 million Class A tranche. Those Class A notes are supported by 64.1% CE.
A $67.9 million tranche of Class B notes was rated ‘AA’ and a Class C series sized at $54.6 million was rated ‘A’. The CAALT deal of indirect auto loans through franchise and independent dealers to borrowers with average FICO scores of 551, with an average loan balance of $9,576 and a weighted average APR of 22.52%. The deal is the 29th overall by Credit Acceptance Corp. over the past 18 years, including 19 ABS securitizations and 10 bank-sponsored facilities.
Prestige Auto Receivables Trust 2016-2, totaling $343.6 million, includes senior notes with ‘AAA’ ratings from both S&P and DBRS. The notes, supported by 42.5% at the senior level, are backed by subprime receivables from loans issued by Prestige Financial Services, which also structured a securitization in March of this year. It is the 18th overall ABS term transaction by Prestige since 1996.
Flagship Credit Acceptance is piecing together its fourth securitization of the year in Flagship Credit Auto Trust 2016-4, a $340 million transaction with triple-A ratings from Kroll Bond Rating Agency, DBRS and S&P on $208 million in two tranches of Class A notes supported by 42% CE. This is just the second deal Flagship has achieved an ‘AAA’ rating for its senior note tranches (it’s previous deal being the first).
Flagship’s deal is the sixth subprime auto loan transaction that includes loans originated by both its Flagship Credit Acceptance and CarFinance Capital LLC branded origination channels, according to Kroll.