JPMorgan Chase Bank is preparing to bring a $500 million securitization of prime-quality auto loan revenues to the asset-backed securities (ABS) market, through the Chase Auto Owner Trust 2023-A.
Aside from being the program's second deal in almost two decades CHAOT 2023-A is a 144A securitization, according to ratings analysts from Moody's Investors Service. The notes will make principal payments to investors sequentially, which means non-declining enhancement will build up in the pool as the notes amortize, Moody's said.
Classes A, B, C and D have hard credit enhancement levels of 5.30%, 3.80%, 2.30% and 0.85%, respectively. The hard credit enhancement consists of a combination of overcollateralization, a non-declining reserve account of 0.25% of the pool balance, and—except in the case of the class D notes—subordination. The notes could also benefit from excess spread, says Moody's.
Fitch Ratings notes that those levels of hard credit enhancement are higher than those on the A, B, C and D notes of the CHAOT 2022-A deal, which had 4.10%, 2.85%, 1.60% and 0.35%, respectively.
The notes have legal final maturity dates that range from Sept. 25, 2024 through June 25, 2031, the rating agencies said.
Among the deal's more positive aspects, according to Fitch Ratings, is that used vehicles make up half of the 2023-A pool, down from 53.75% in the 2022-A transaction. The FICO score distribution is also better than that of the 2022-A deal, Fitch said, with an 8.07% concentration of scores below 680, lower than the 10.80% seen in the 2022-A deal.
As for collateral characteristics, Fitch notes that the pool has 14,493 contracts, which have an average balance of $34,504. The retail installment contracts have a weighted average (WA) original term of 72.5 months, said Fitch.
As for the breakdown of vehicle segments, cars make up 19.7% of the pool, sport- and crossover-utility vehicles make up 51.5% and 27.5% of the pool, and vans comprise 1.1%.
As for the breakdown by brand, Ford, Chevrolet, Toyota, Jeep and GMC makes account for 14.8%, 13.6%, 9.8%, 8.2% and 7.2% of the pool, respectively.
Fitch expects to assign 'F1+' to the A1 notes; 'AAA' to the A2 to A4 notes; 'AA' to the class B notes; 'A' to the class C notes; and 'BBB' to the class D notes. Moody's assigns 'P-1' to the A1 notes; 'Aaa' to the A2 through A4 notes; 'Aa2' to the class B notes; 'A1' to the class C notes and 'Baa2' to the class D notes.
