With a smaller receivables balance and a slight increase in its excess spread, the Citizens Auto Receivables Trust is preparing its first securitization of 2024 with the goal of selling $750 million in notes to investors.
Citizens first began securitizing its automobile loan revenue in 2023 with two deals, making this the program's third transaction, according to Asset Securitization Report's deal database. The notes have about 8.57% in credit support for all five tranches, which are all class A notes. Hard credit enhancement and a haircut to excess spread make up the credit support, according to S&P Global Ratings, which will assign ratings to the notes.
S&P noted that the available credit enhancement provides at least 5.00x coverage for its 1.00% in expected cumulative net losses (ECNL) on the class A notes. Citizens Bank is sponsoring the deal, as it did the first two securitizations. It also originated the loans and is servicer and administrator, the rating agency noted. These factors played a role in the A1 notes securing A-1+ ratings, and the A2 through A4 securing AAA ratings, S&P said.
The deal is expected to close on January 23, the rating agency said.
Known as CART 2024-1, the transaction's collateral pool of 76,891 auto loans has an average balance of $34,488 and APR of 5.24%.
The ECNL level of 1.00% is unchanged from the previous deal, the rating agency said, especially since collateral characteristics for the 2024-1 deal are very similar to that of the trust's previous deal. The underlying auto loans have a weighted average (WA) FICO score of 768 and a loan-to-value ratio of 102.78%, S&P's ratings analysts said. These were slightly higher than the metrics seen on the trust's previous deal, but in most cases only slightly.
In other collateral changes and on a WA basis, the APR increased to 5.24%, up from 4.69%, an original term of about 77 months from about 74 months, S&P said. Meanwhile, the percentage of loans with original terms of 76-84 months increased to 49.88%, up from 24.98%.
