Prime auto lenders pooling another $3.4B-$3.7B in ABS deals
Three prime auto-loan issuers added between $3.4 billion and $3.7 billion of deals into the securitization pipeline this week, according to presale reports.
Ally Bank, Capital One Auto Finance and BMW Financial Services of North America launched new note offerings, which will add to the year-to-date of $35.2 billions across 32 prior deals.
Capital One and BMW are each sponsoring their first auto-loan securitizations of the year, although BMW has priced an $800 auto-lease ABS transaction this year).
Ally Bank is launching its third securitization of the year, and 40th overall, via Barclays. The $1.116 billion offering is similarly sized to Ally’s prior deal of $1.11 billion.
The Ally Auto Receivables Trust (AART) 2019-3 transaction will feature four senior note classes totaling $1.05 billion, three of which have preliminary AAA ratings from S&P Global Ratings. A $228 million Class A-1 money-market tranche has a short-term rating of A-1+.
The balances for each of the Class A-2 and A-3 tranches to still to be determined, but both will total $755 million in aggregate.
The credit enhancement on the deal is similar to AART 2019-2 priced in June, although Ally is providing more subordinate- note backing in the deal to lower the cushion between the note balance and the collateral balance of the 67,198 loan accounts in the pool.
The loans are seasoned an average of 9.52 months, in line with Ally’s two prior deals for 2019. The weighted average FICO is 736.7, with loan-to-value ratios average 93.5% (also unchanged from AART 2019-2).
The percentage of GM-related vehicles financed is 31%, a level comparable to 2019 ABS transactions for Ally but below that of recent years as more captive-finance business for General Motors deals migrates to GM Financial, the automaker’s finance division.
S&P has an expected net loss range of 0.95%-1.05%, unchanged from the previous Ally deal.
Capital One is marketing its second prime auto-loan securitization since first entering the asset-backed market for lending capital this year.
And unlike its first deal, this is a deal that could potentially be upsized.
The $1.085 billion Capital One Prime Auto Receivables Trust (COPAR) 2019-2 includes four classes of senior notes and three subordinate classes. The preliminary amounts of the senior notes include a $224 million Class A-1 money-market tranche, a $380 million Class A-2 tranche due September 2022, a $353 million Class A-3 notes offering due May 2024 and a $95.63 million Class A-4 tranche with a final maturity date of February 2025.
But in the event of an upsizing of the deal to $1.41 billion, the note balances increase to $291 million for the A-1 notes, $494 million for Class A-2, $459 million for Class A-3 and $124.4 million for Class A-4.
The A-1 notes have preliminary ratings of A-1+ from S&P and F1+ from Fitch Ratings.
The notes in the two pools are secured by notes with balances of $1.085 billion for the smaller pool of 55,575 loans, and $1.41 billion in balances across 72,214 contracts. The loans were all issued indirectly through dealers by Capital One Auto Finance.
Both pools have a weighted average FICO of 777, with FICOs over 750 making up more than 69% of either pool. Although Capital One underwrites subprime loans for auto dealers and through consumer-direct channels, none of those loans were included in the COPAR 2019-2 pool.
The lender previously marketed a $1.23 billion ABS deal in May, its first since 2007.
Among changes from the debut deal is the increased level of longer-term loans over 72 months to 15.8% of the pool, compared to 14.9% previously.
Capital One has also taken out the yield supplement overcollateralization account that was featured in the first deal, relying on the higher estimated annual excess spread of 1.42% to make up for the discounted receivables from accounts with APRs below the pool’s required rate. (The weighted average APR is 4.67%, compared to 4.43% in COPAR 2019-1).
S&P’s expected CNL range of 0.6%-0.7% is unchanged from the first deal. Fitch expects net losses below 1% as well.
BMW Financial Services North America returns with its first prime-loan securitization since January 2018.
The BMW Vehicle Owner Trust (BMWOT) 2019-A is a $1.25 billion offering backed by a pool of 48,130 auto loans totaling $1.35 billion issued through BMW franchise dealers in the U.S.
The capital stack consists only of senior notes: a money-market tranche totaling $265 million (with early ratings of A-1+ from S&P and F1+ by Fitch); Class A-2 notes due May 2022 sized at $443 million; Class A-3 notes maturing in January 2024 at $442 million; and Class A-4 notes totaling $100 million and maturing in January 2026.
All the multi-year term notes have provisional AAA ratings, and have 2.75% credit enhancement. All also bear fixed-rate notes; BMW’s 2018 transaction included a floating-rate tranche.
The WA FICO of 784 is among the highest for any prime-auto loan ABS issuer, and is slightly above the 778 that borrowers averaged in the 2018 pool.