A pool of predominantly new vehicles, with extended loan terms of more than 60 months, make up the collateral pool for the Ford Credit Auto Owner Trust, 2022-D, which will issue about $1.05 billion in asset-backed securities.
The pool characteristics are consistent with recent transactions from the issuer, according to a pre-sale report from FitchRatings. New vehicles make up a substantial majority, 88%, of the current pool, which falls within the range of 87.5% and 92.4% among deals since 2020-A, according to the rating agency.
Other aspects of the deal generally align with recent ones, including—on a weighted average (WA) basis—an original maturity of 64.3 months, remaining maturity of 54.6 months, and seasoning of 9.7 months. Also, on a WA basis, the borrowers have a FICO score of 744, and a loan-to-value ratio of 100.6%.
J.P. Morgan Securities is the lead underwriter on the deal, which will benchmark one of the senior classes of notes, A-2b, to the Secured Overnight Financing Rate (SOFR), while other classes of notes will all other notes are fixed rate. All of the other underlying notes will repay the notes with fixed interest rates. Also, the transaction, known as FCAOT 2022-D, will repay notes following a senior-subordinate sequence.
Credit enhancement (CE) on the notes includes initial hard CE of 5.30%, comprising 5.00% subordination and a 0.30% nondeclining reserve. Fitch noted that the deal's initial CE is sufficient to withstand Fitch's base case cumulative net loss proxy of 1.50% for all the classes of notes.
Geographically, the pool appears to be substantially concentrated among five states, with Texas (17.14%), California (10.99%), Florida (8.70%), Georgia (3.80%) and North Carolina (3.41%) accounting for 44.04% of the total pool.
Fitch expects to assign ratings of F1+ to the 'A-1' notes; 'AAA' to the A-2a through A-4 notes; 'AA+' on the class B notes; and 'A+' on the class C notes.
