Ford Credit Auto Owner Trust is preparing to issue $1.3 billion in asset-backed securities (ABS) secured by revenue from a pool of retail installment auto contracts on new and used auto, light truck and utility vehicles.
The deal, FCAOT 2024-D, is composed of mostly fixed-rate notes, except for notes from the A2B tranche, which will be benchmarked to the 30-day average secured overnight financing rate (SOFR). Aside from the potential upsize balance to $1.6 billion, most elements of the capital structure will remain the same, according to ratings at Moody's Ratings and Fitch Ratings.
Issued through seven class A, B and C tranches, the notes have legal final maturity dates of Dec. 15, 2025 on the A1 notes; Oct. 15, 2027 on the A2A and A2B notes; Aug. 15, 2029 on the A3 notes; Sept. 15, 2030 on the A4 and B notes; and May 15, 2032 on the C tranche, according to analysts.
Barclays Capital, RBC Capital Markets, SMBC Nikko Securities America, Credit Agricole Securities and Goldman Sachs are lead underwriters on the deal, say the rating agencies.
Moody's says it expects to see a 0.90% cumulative net loss for FCAOT 2024-D. At the Aaa stress level, the pool could see a loss of 5.25%. Both are unchanged from the series 2024-B, Moody's said.
Ford Motor Credit's history as a regular sponsor and servicer of auto ABS count as a credit strength, Moody's said.
Both the base and upsized pool are composed of prime quality, with a weighted average (WA) FICO score of 754. The loan-to-value (LTV) is 100.3%, slightly higher than prior transactions, Moody's said.
Fitch notes that Ford's recent portfolio has seen an increase in delinquency and losses in recent years, yet they are still below pre-pandemic levels. As of September 2024, delinquencies were 1.26%, of the portfolio, compared with 1.21% a year earlier. Securitizations are still strong, though, with only moderate weakening for the 2023 vintages, Fitch said.
A reserve fund, overcollateralization, subordination and excess spread provide total initial credit enhancement of 5.25%.
Moody's assigns P1 to the A1 notes; Aaa to the A2A through A4 notes; and Aa2 to the class B notes. Fitch assigns F1+ to the A1 notes; AAA to the A2A through A4 and AA to the class B notes.
