Ford Motor Credit is selling $1.1 billion in prime auto loan asset-backed securities (ABS) to investors through a capital structure of senior-subordinate notes, with lower subordination levels on the class B notes and a higher concentration of electric vehicles.
Ford is sponsoring the deal and will act as servicer, ratings analysts at S&P Global Ratings wrote in a pre-sale report. In comparing the current transaction, Ford Credit Auto Owner Trust 2024 REV-1, to the FCAOT 2023 REV1, S&P noted that the class B notes had subordination levels of 4.50%, compared with the 5.75% seen on the FACOT 2023-REV1, the most recent program transaction that S&P rated, the rating agency said.
Also known as FCAOT 2024 REV1, the transaction will issue notes through four tranches and offer A, B, C and D notes. All of the notes are fixed rate, and have the same legal final maturity date, Aug. 15, 2036, according to S&P analysts. When the receivables meet pool composition tests, the class A and B notes benefit from 17.20% and 12.90% in credit support, based on break-even cashflow scenarios, according to the rating agency. Those support levels provide coverage of 4.75x and 4.00x to the notes, the rating agency said.
The notes also have an initial, floor and target reserve account representing 0.25% of the pool during the amortization period, and 0.50% during the revolving period. FCAOT 2024-REV1 also benefits from initial yield supplement overcollateralization amount (YSOA) of $120.5 million, which represents 10.97% of the initial adjusted receivables balance.
As for the underlying loans in the pool, Ford originated them under original terms of 72 months, which accounted for 20% of the pool by balance, and a sharp increase from 10.0% in the FCAOT 2023-REV1, S&P said. On a weighted average (WA) basis, borrowers have FICO scores of 755, higher than the 748 seen on the comparison deal, the company said. Also like a growing number of auto ABS deals, the current FCAOT pool has more battery electric vehicles (BEV); they represent 10.6% of the pool, compared with 3.8% on the previous deal that S&P rated. The loans also have a loan-to-value ratio of 98.6%, on a WA basis, than the 100.5% seen on the FCAOT 2023-REV1 pool.
S&P assigns ratings of AAA and AA to classes A and B, respectively, while Fitch Ratings assigns AAA, AA, A and BBB to classes A, B, C and D, respectively.
