Westlake Automobile Receivables Trust (WLAKE) 2023-4 is preparing to come to market to sell $1.2 billion in auto asset-backed securities (ABS), secured by a revenue stream from loans on automobile, light trucks and utility vehicles with subprime characteristics.
Known as WLAKE 2023-4, the deal will issue notes through eight classes of notes. All of the notes in the four A classes benefit from a 40.80% credit enhancement level, according to a pre-sale report from Fitch Ratings. That enhancement level is slightly higher compared with the 2023-3 deal, Fitch said.
SMBC Nikko Securities America is lead underwriter on the deal, according to Fitch. The most senior note, which Fitch assigns an 'F1+' rating, has a legal final maturity date of Nov. 15, 2024. The A-2A and A-2B notes, meanwhile, both have 'AAA' ratings and a legal final maturity date of Jan. 15, 2027. The A-3 notes have a legal final maturity date of July 15, 2027, and also has a 'AAA' rating.
Classes B and C have a legal final maturity of Nov. 15, 2028, with ratings of 'AA' and 'A', respectively, according to Fitch. Classes D and E have ratings of 'BBB' and 'BB', the rating agency said.
Westlake Services originated the underlying loans in the deal, and also serves as sponsor, servicer and administrator. In one of the deal's positive credit attributes, none of the underlying loans in the collateral have terms longer than 72 months, according to Fitch. Such longer-term loans have historically performed worse than shorter-term loans, Fitch said.
The deal has an excess spread of 8.64%, another layer of credit enhancement.
The pool has 128,176 loans, with an average current balance of $14,663, Fitch said. On a weighted average (WA) basis, the underlying loans have an annual percentage rate (APR) of 19.90%, and a WA loan-to-value ratio of 114.5%. On a WA basis, the loans were extended to borrowers with a 619 FICO score on a non-zero WA basis.
Used vehicles account for a vast majority of the pool, 97.24%. Also the pool appears to be geographically diversified, with Texas accounting for 19.25% of the outstanding pool, followed by California, with 13.96%. Florida, New Jersey and Virginia round out the top five states in terms of geographic distribution, with 12.46%, 4.14% and 3.48%, respectively.
