A portfolio of prime auto loans is securing an issuance of $1.2 billion in auto asset-backed securities, to be brought to market via the BMW Vehicle Lease Trust, 2021-2.
In keeping with consumer preferences and BMW’s new product lineup, light trucks comprise a majority of the collateral pool, 53.9%, according to Fitch Ratings. Compared with virtually all of its previous transactions, however, the pool is more diversified by model type.
From the interest rates on the underlying leases to the hedges on the issued notes, the deal has no Libor exposure at all. The underlying leases do pay interest at a fixed rate. Wells Fargo Securities is the lead underwriter on the transaction. BMW Financial Services is the sponsor, servicer and administrator.
All of the underlying leases, of which there are 36,213, are financing new vehicles. The leases have been seasoned typically for 11 months, and have a weighted average (WA) remaining term of about 25 months.
The typical borrower is prime, with a WA FICO score of 790. Geographically, California accounts for the highest concentration of leases by state, with 14.5% of the collateral pool. Other highly represented states are Florida, with 14.1%; New York, with 12.6% of the pool; New Jersey with 11.8% and Texas, with 6.6%.
In terms of vehicle diversification, the single largest model concentration represents 17.2% of the deal’s securitization value, and the deal’s top-five model concentration represents 68.9% of the deal’s securitization value, Fitch said.
Fitch noted that a lack of vehicle diversity might expose the transaction to more risk associated with residual value stresses that affect specific models. Yet no more than 6.7% of residuals come due in any given month, a figure that is lower than all of BMW Vehicle Lease Trust’s recent transactions, except for 2021-1. That deal has no more than 5.9% of residuals coming due in any given month.
In terms of how the trust is setup to operate down the line, no maturities are expected to occur after 36 months, Fitch said, Also, 85% of the maturities are expected to occur after 12 months. All transactions since 2016-2 averaged 90% of the maturities happening after 12 months. The legal final maturity on the notes ranges from September 2022 through January 2025.
Fitch expects to assign ‘F1’ ratings to the a-1 notes; and ‘AAA’ ratings to all other notes in the transaction.
