Prestige Auto Receivables is preparing to issue some $282.06 million in fixed-rate auto asset-backed securities (ABS), carrying more bankruptcy collateral and higher loan-to-value ratio compared with a previous transaction.
The presence of a higher percentage of open bankruptcy collateral strengthens the deal's overall credit outlook, according to S&P Global Ratings, because they have historically exhibited lower losses than non-bankruptcy collateral. The deal also includes called collateral, S&P said.
Open bankruptcy collateral can confer benefits to a collateral pool, because purchasing them allows the buyer to take the best assets and leave the debtor with the undesirable liabilities.
In the case of PART 2023-1, the share of open bankruptcy assets increased to 27.7%, compared with 18.4% in the PART 2022-1 deal, S&P said.
In other differences, the level of called collateral is 10.6%, which should actually slip to 8.0% of the final pool. The presence of that called collateral increased weighted average (WA) seasoning to seven months from five months. New vehicles didn't account for a big portion of the 2022-1 deal, at just 5.4%, but now that ratio is even smaller, at 4.8%, according to S&P.
PART 2023-1's manager was not stated outright, but JPMorgan Securities has acted as manager in previous deals, with Wells Fargo Securities sometimes acting as co-manager, according to Asset Securitization Report's deal database. The deal also uses a senior-subordinate repayment structure to issue fixed-rate notes.
In terms of credit enhancement, S&P says that classes A, B, C, D and E benefit from credit support levels of 58.78%, 49.68%, 39.52%, 30.56% and 24.29%, respectively, from hard credit enhancement and a haircut to excess spread, the rating agency said.
For its part, S&P expects to assign A-1+ ratings to the class A-1 notes and 'AAA' on the A-2 notes, which are the senior classes in the deal. Classes B, C, D, and E will receive 'AA', 'A', 'BBB' and 'BB-', respectively.
