Prime quality retail installment loans will collateralize $1 billion in auto asset-backed securities (ABS), in a deal sponsored by Stellantis Financial Services, which also originated the underlying loans.
Moody's Investors Service says the transaction is the program's second 144A auto loan securitization as Stellantis' captive finance company, while the Asset Securitization Report's deal database says the transaction is slated to close on January 17.
The trust will issue the notes through about six classes of notes, according to Moody's and another pre-sale report from S&P Global Ratings. The notes, all of which are fixed, have legal final maturity dates that range from Jan. 21, 2025 through Jan. 20, 2032, the rating agencies said. All of the class A notes—A1, A2, A3 and A4—all benefit from a total initial hard credit enhancement level of 13.80%, the rating agencies said. Those combined layers of protection consist of overcollateralization, excess spread and a non-declining reserve account and subordination for all notes except the class C notes.
At closing, the deal will also include yield supplement overcollateralization (YSOC) amounting to $17.2 million, according to S&P.
SFS Auto Receivables Trust 2024-1 consists of about 23,071 contracts that have an average balance of $46,734, and on a weighted average (WA) basis have a FICO score of 754, APR of 8.70%, an original term of 76 months and a remaining term of 73 months, according to Moody's.
BofA Securities and Barclays Capital are lead underwriters on the transaction, according to Moody's.
Several characteristics work in the deal's favor, according to Moody's, including SFS' parent, Stellantis' Financial Services US. SFS, was known First Investors Financial Services, and still has legacy products marketed under that brand. First Investors securitized its first auto ABS in 2000 and has gone on to issue 34 securitizations, giving the SFS management team a lot of experience in auto financing.
Another plus is that credit enhancement will increase within the transaction as the pool amortizes.
Moody's assigns initial ratings of P1 and Aaa to the A1 and the A2 through A4 notes; the class B notes will receive an Aa1 rating and the class C notes, an A2 rating. S&P, meanwhile, assigns ratings of A1+ to the A1 notes; AAA to the A2 through A4 notes; AA to the class B notes and A to the class C notes.
