Five captive finance companies launchedauto-related asset-backeds Thursday totaling $2.8 billion. A potential upsizing for Toyota Motor Credit Corp.'s second transaction of the year could push that issuance to $3.3 billion.

Nissan Master Owner Trust Receivables, Series 2017-A and 2017-B is expected to be a $500 million to $1 billion issuance of bonds backed by floorplan receivables from credit lines from Nissan Motor Credit that finance Nissan and Infiniti dealer inventories. The balance of each notes series is set at $250 million, but the final sizing will be determined at closing. The A notes have a two-year maturity while the B notes are three years. Fitch Ratings and Moody's Investors Service have assigned a triple-A rating to each series. The transaction features initial credit enhancement of 19.41% that is in line with previous deals, while the trust’s performance continues to excel  in dealer monthly payments rates (24%), asset yields, and minimal dealer defaults and trust losses, according to Fitch. The dealer concentration includes a heavy exposure (10% of the collateral pool) to AutoNation franchises, according to the pre-sale reports.

AmeriCredit Automobile Receivables Trust 2017-2 is a $1.33 billion transaction backed by subprime auto loans through the GM Financial (GMF) subsidiary AmeriCredit Financial Services.  The second deal of the year by the AmeriCredit Trust features two series of Fitch-rated ‘AAA’ senior notes totaling $439.9 million for the three-year Class A-2 series (split between fixed- and floating-rate tranches) and a $262.11 million Class A-3 series due December 2021. Those notes include 35.2% C.E. The collateral pool is up “slightly” in the number of riskier 73-75 month contracts than the first 2017 deal, but the long-term borrowers in this case have stronger credit metrics, says Fitch. Recent vintage (2013-2016) securitizations by AmeriCredit are showing only “slight deterioration” in comparison to other nonprime lenders, but cumulative net loss estimates for 2017-2 are up 10 basis points to 11.2% compared to 2017-1.

The $1.25 billion Toyota Auto Receivables 2017-B Owner Trust – which could be potentially upsized to $1.75 billion – is also the second deal this year for Toyota Motor Credit Corp. The transaction includes three senior note tranches with preliminary sizes subject to upsizing: the three-year split A-2a/A-2b fixed/floating notes totaling $425 million (potentially $596 million); $373 million in the Class A-3 fixed-note series due 2021 (upsize target of $522 million); and the $94.76 million Class A-4 bonds due 2022 (possible upsize to $132.26 million).  All have preliminary ‘AAA’ ratings through S&P Global Ratings. The notes are backed by an initial aggregate receivables balance of $1.35 billion in loans to prime borrowers with a weighted average FICO of 758 (no loans are longer than 72 months; no borrowers are included with FICOs below 620). Differences from the prior 2017-1 transaction include an increase in borrowers with FICOs over 850 (6.6% from 5.4%); a decrease in average seasoning (14.3 months from 14.8 months), and the percentage of loans with terms of 61-72 months (up to 38.99% from 34.58%). Other deal parameters are in line with Toyota’s first $1.5 billion securitization this year, although the yield-supplement account has increased to 7.65% from 7.37% and the estimated annual excess spread of 3.3% is down from 3.35%. Available credit enhancement is 7.5% on the senior notes.  

Mercedes-Benz Financial Services Canada Corp. is planning a US dollar-denominated, $490 million securitization of prime auto leases in Canada through MBARC Credit Credit Series 2017-A. All three series of notes carry triple-A ratings from DBRS with initial 15.5% overcollateralization that will build to 17% (credit enhancement also includes a 0.5% cash reserve account and 3.99% annualized excess spread – all levels in line with MBARC’s three prior transactions since 2014. The deal is being placed through RBC and Scotia Capital.  

DT Auto Owner Trust 2017-2 is DriveTime Car Sales' second deep subprime auto loan securitization this year, with plans to sell $442.4 million in bonds backed by the company's suprime auto loan originations. S&P and DBRS have issued ratings on five classes of notes, including an AAA for a senior fixed series of Class A notes totaling $193 million. Deutsche Bank is the lead underwriter on the non-bond-insured securitization.

Shrinking Loan/CLO Margins: Fitch Ratings on Thursday reported that first-quarter spreads on AAA paper in collateralized loan obligations tightened to an average of 122 basis points over Libor in the first quarter, compared to 147 basis points in January. Spreads on leveraged loans for single-B rated issuers shrank to 395 basis points from 484 basis points at the end of 2016, Fitch also noted.

CLO Offerings: Three CLOs priced Thursday, including the new $410 million Parallel 2017-1 offering from DoubleLine Capital through Morgan Stanley, according to JPMorgan High-Yield and Leveraged Loan Research. Also pricing were refinancings for the $386 million Marathon CLO VI and the $407 million Jamestown CLO III.

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