A pool of prime auto loan receivables will secure $707.5 million in asset-backed securities issuing from the Chase Auto Owner Trust, 2024-5.
With seven tranches of A, B, C and D class notes, the transaction will issue debt that repays noteholders on a senior-subordinate basis, according to ratings analysts at S&P Global Markets.
Legal final maturity on the notes ranges from Sept. 25, 2025 on the notes rated F1+/A1+ from Fitch and S&P, respectively, to Jan. 26, 2032 on the class D notes, which Fitch and S&P, respectively, rate BBB/BBB-. All of the notes are fixed.
S&P said the classes A, B, C and D notes have 7.25%, 4.90%, 1.90% and 0.70% in total initial hard credit enhancement, respectively. Those levels of support provide 5.00x, 4.00x, 3.00x, and 1.87x of coverage against an expected cumulative net loss of 1.50%, according to S&P.
The collateral pool includes 21,709 loans, which have an annual percentage of 8.63%, and a loan-to-value (LTV) ratio of 94.6%, both on a weighted average (WA) basis. Also on a WA basis, the underlying loans have a FICO score of 766 and a remaining term of 63.8 months, according to Fitch Ratings, whose analysts also assessed the notes. Also, new vehicles make up much of the pool, at 64.9%.
Subordination is unchanged on the classes A and B notes, and increased to 1.20% on the 2024-5 series notes, from 1.10% on the 2024-4 series, S&P said.
S&P assigns ratings of A1+ to the A1 notes; AAA to the A2 through A4 notes; AA to the class B notes; A to the class C notes and BBB- to the class D notes. Fitch assigns F1+ to the A1 tranche; AAA to the A2 and A4 notes; AA+ to the class B notes; A to the class C notes; and BBB to the class D notes.
