Prime quality retail installment loans from Porsche Financial Services will secure $769.2 million in asset-backed securities from the Porsche Financial Auto Securitization Trust, series 2024-1.
The current pool includes assets with longer-term loans, high average loan balances and a concentration of luxury vehicles as potential credit risks. The deal will issue the debt through five tranches of all class A notes, according to analysts at Moody's Ratings. S&P Global Ratings also rated the deal, and says it expects the deal to close on December 13.
The issued notes will be fixed, apart from the A-2b tranches, the rating agencies said. Notes in that tranche are slated to be benchmarked against the thee-month Secured Overnight Financing Rate (SOFR).
Structurally, PFAST 2024-1's yield supplement overcollateralization (YSOC) discount rate was 8.75%, down from 9.55% compared with the PFAST 2023-2.
About 84% of the loan balance in PFAST 2024-1 has an original term ranging from 61 to 72 months. The auto loan assets current pool have an average original term of 70 months, Moody' said. Also, the loans have a high average outstanding balance of about $87,693, more than double what is seen on peer loan securitizations.
The deal has credit strengths, too. On a weighted average (WA) basis, the loans have a FICO score of 785 which is on the higher side compared with peer transactions. It is also a few notches higher than the 781 FICO seen on the PFAST 2023-2, on a WA basis, according to S&P.
Moody's says its cumulative net loss expectation for the PFAST 2024-1 pool is 0.70%, and puts its losses on the Aaa stress level at 4.75%.
SG Americas Securities,
Overcollateralization, a reserve fund representing 0.25% of the original balance and annual excess spread of 2.89% provide initial hard credit enhancement to the deal, Moody's said.
Legal final maturity dates on the tranches range from Dec. 22, 2025 on the A1 notes to Dec. 22, 2032 on the A4 tranche.
S&P assigns A1+ to the A1 notes and AAA to the A2 through A4 tranches. Moody's assigned P1 to the A1 notes and Aaa to the A2 through A4 tranches.
