OSCAR US 2022-1 is preparing to issue at least $438.3 million in asset-backed securities from a portfolio secured by auto-loan receivables originated by Orient Corp., an affiliate of Mizuho Bank, also known as Orico.
The collateral pool is comprised of receivables assets based in Japan, and several classes of the transaction will issue dollar-denominated notes.
Mizuho Securities will be the arranger and an initial note purchaser on the transaction, according to Fitch Ratings, which expects to assign ratings to the notes. BNP Paribas will join Mizuho as an initial note purchasers, OSCAR US 2022-1 has similar transaction features as OSCAR US 2021-2, except for an increase in the average loan balance to JPY1.3 million ($11.3 million) up from JPY1.0 million ($8.7 million), and a slight decline in the average pool yield to 5.6%, from 5.7%.
Fitch expects to assign two sets of ratings to the notes, from ‘F1’ on the $60.9 million class A-1 notes to ‘AAA’ on the $172.2 million class A-2 notes; the $102.6 million class A-3 notes and the $102.6 million class A-4 notes. None of the notes, underlying receivables assets or hedges have any Libor exposure.
OSCAR US 2022-1 will issue the U.S. dollar-denominated classes A-1, A-2, A-3 and A-4 notes, to be backed by the senior series loans. Orico will extend the class M loan backed by the series M loan to the issuer, Fitch said.
Fitch noted that a swap counterparty, HSBC, mitigates the currency risk in OSCAR US 2022-1, in a feature that is credit neutral.
About 40,643 loans are in the collateral pool. On a weighted average (WA) basis, the auto receivables have:
• an interest rate of 5.6%
• a remaining term of 60 months
• an original term of 62 months
Used vehicles account for a large majority of the auto loans, at 77.6%, with new cars accounting for 22.4%. The obligor types are individuals (83.9%) and corporate (16.1).
In terms of geographic distribution by region, Kanto accounts for the largest portion of loans in the pool, at 33.1%. Kinki follows, with 17.2% of the pool, Chubu, with 16.6%, and Kyushu has 11.2% of the pool. Other regions do not account for more than a single-digit percentage of the pool.
