Ford Credit Auto Lease 2023-B is preparing to issue $1.2 billion in asset-backed securities with loans to prime borrowers acting as collateral. The longtime sponsor, Ford Motor Credit, is also bringing its deal to market amid a labor action focused on Detroit's Big Three auto manufacturers, including Ford.
Barclays Capital, BMO Capital Markets and RBC Capital Markets are lead underwriters on the deal, which could actually be upsized to $1.6 billion. The deal will repay notes through a subordination structure and is bolstered by a cash reserve that appears to represent about 0.25% of the pool balance, according to ratings analysts Moody's Investors Service.
The trust will issue the notes, most of which are fixed rate, from eight classes of notes, according to Asset Securitization Report's deal database, also noting that the deal is slated to close on September 19. The A-2B notes are slated to be benchmarked to the three-month Secured Overnight Financing Rate (SOFR), according to the database.
S&P Global Ratings notes that the A, B, C and D notes have about 29.0%, 23.8%, 17.3% and 14.0% in credit enhancement, respectively. The A, B, and C notes enjoy a 15.9%, 10.6% and 4.0% in subordination. The deal also has overcollateralization representing 7.0%, which will build to a target of 9.50%.
The rating agency sets its expected base-case credit loss for the FCALT 2023-B is 0.80% of the securitization value, which is unchanged from FCALT 2023-A. Overall, S^&P sets its aggregate 'AAA', 'AA', 'A' and 'BBB' loss levels at 28.4%, 21.5%, 16.9% and 12.5% of the securitization value, respectively.
From the perspective of Moody's, Ford's long experience as a sponsor, servicer, the trust's strong performance of prior transactions and the strong credit quality of the collateral pool all count as the deal's credit strengths. The deal has 39,773 contracts in its collateral pool, while the assets have a 63.8% discounted base residual, as a percentage of the deal's securitized value, the rating agency said.
On a weighted average (WA) basis the loans have a FICO score of 764, and the pool, made up entirely of new vehicles, has an original term of 36 months and an average remaining term of 24 months. Crossover utility vehicles make up 57.7% of the portfolio, and in terms of models F150s, Explorers and Edges make up the majority of the pool (54%), Moody's said.
Moody's expects to assign ratings of 'P-1' to the A-1 notes; 'Aaa' to the A-2a through A-3 notes; and 'Aa1', 'Aa2' and 'A2' to classes B, C and D, according to Moody's.
S&P, for its part says it will give 'A1+' to the A-1 notes; 'AAA' to the A-2a through A-4 notes; 'AA' to the class B notes; 'A' to the class C notes and 'BBB' to the class D notes.
The notes have legal final maturity dates of Oct. 15, 2024 through June 25, 2028.
