Credit Acceptance Corporation is sponsoring its fifth securitization of revenue from retail non-prime auto loans, a 144A transaction that will raise $375.1 million in sales to investors.
The collateral pool for Credit Acceptance Auto Loan Trust (CAALT) 2023-5 has a non-zero weighted average (WA) FICO score of 574 and Moody's Investors Service says it set an expected loss of 27% for the principal balance of the pool's retail installment contracts.
Wells Fargo Securities, BMO Capital Markets Fifth Third Securities, Citizens JMP Securities and Wedbush Securities are lead underwriters on the transaction, according to Moody's.
The transaction is a two-year revolving securitization of dealer and purchase loans that will issue the notes through three tranches, with one senior A class of notes. As of the closing date classes A, B and C benefit from hard credit enhancement levels of 60.80%, 42.80% and 24.57%, respectively. The credit enhancement consists of a combination of overcollateralization, a non-declining reserve account and subordination, Moody's said.
Analysts at S&P Global Ratings also note several structural and collateral changes to the CAALT 2023-5 deal compared with the 2023-3 cut-off pool. Aggregate hard credit enhancement on the deal increased to its current levels from 59.73%, 41.61% and 21.62% on the previous A, B and C notes, respectively. The rating agency also made note of some collateral changes.
Overall, the to 10 dealer advance concentrations was 10.32%, an increase from 9.37% on the 2023-3 deal, according to S&P. Forecasted collections relative to NBV were 1.53x, compared with 1.55x on the comparison transaction. Some 62.91% of underlying contracts in the collateral pool have an original term of 61-72 months, an increase from 59.85% on the comparison deal. Contracts with original terms of 73-84 months increased a bit, to 0.31%, compared with 0.27%.
S&P Global Ratings expects to assign ratings of 'AAA' to the class A notes; 'AA-' to the class B notes and 'A' to the class C notes. Moody's Investors Service plans to assign 'Aaa' to the class A notes; 'Aa2' to the class B notes and 'A3' to the class C notes.
