Fifth Third Bank is marketing a $750 million prime auto loan securitization, according to Fitch Ratings.
Fifth Third Auto Trust 2015-1 will issue a $187 million money market tranche and four classes of notes with preliminary ‘AAA’ ratings from Fitch: $224 million of notes maturing in May 2018, $264 million of notes maturing in March 2020 and $75 million of notes maturing in August 2020. All five tranches benefit from credit enhancement of 4.5%.
Credit Suisse is the underwriter.
The pool is generally consistent with the sponsor’s recent transactions, exhibiting a weighted average FICO score of 754 with no scores below 650. The pool also benefits from 15 months of seasoning and includes a diverse pool mix from a make/model and geographic perspective.
The pool does include heavy concentrations in loans over five years (76.3%), notably 4.8% of 84 month loans. Longer term loans are considered to be riskier because the borrower spends more time ‘underwater,’ owing more than the value of the vehicle.
Additionally, used vehicle loans total 49.6%, which could expose the pool to higher loss severity.
Fitch’s base case expectation for cumulative net losses on loans in the collateral pool is 1.1%; that’s up slightly 1% in Fifth Third’s previous auto loan deal, completed in 2014, reflecting slight shifts in the percentage of borrowers with lower FICO scores and the inclusion of loans with terms of 84 months.
