The auto asset-backed securities (ABS) sector continues to be the most productive of the ABS sectors—behind the ubiquitous collateralized debt obligations—as M&T Bank Auto Receivables Trust, series 2024-1 sells $525.6 million in auto ABS to investors.
M&T Bank is the originator, seller, and the servicer on the deal, according to Moody's Investors Service, while M&T Receivables Funding is the depositor. Atlas SP Securities and J.P.Morgan Securities are lead underwriters on the deal, which will issue notes through a structure of A notes and overcollateralization.
As of March 21 year to date, the auto sector completed about $43.2 billion in new ABS originations, after CDOs, which had done $53.1 billion in new business, according to preliminary estimates from the Asset Securitization Report's deal database.
A pool of 14,835 loans will provide the supporting revenue to the notes, and they have an average remaining amount of $35,431, Moody's said. On a weighted average (WA) basis they have a FICO score of 761, an annual percentage rate of 8.97%, and an original term of 75 months, Moody's said. Used cars account for most of the pool, 54%. These traits are among the deal's credit strengths, the rating agency said, contributing to a credit loss expectation of 1.00%.
Four tranches of class A notes make up the entire capital structure, aside from an overcollateralization piece, which provides credit enhancement, Moody's said. They all benefit from 3.00% in total initial hard credit enhancement, and a reserve fund representing 0.25% of the total pool amount. The A1 notes have a legal final maturity of March 17, 2025, and the rest of the tranches in the structure, the A2 through A4, have a Feb. 17, 2032 legal final maturity, the rating agency said.
These positive traits have a few counterbalances, beginning with M&T Bank's limited prior securitization experience. There is also a high proportion of loans with original terms longer than 60 months, the rating agency said. With such a high concentration of used cars, the further decline in used vehicle prices poses another potential credit challenge, Moody's analysts said.
Moody's assigns P1 to the A1 notes and Ass to the A2 through A4 notes.
