World Omni Auto Receivables Trust is preparing to issue $879.7 million in auto asset-backed securities (ABS), through the 2023-B transaction, a deal that will reference two potential securitization pools.
The $879.7 million deal will reference a $979.9 million collateral pool, according to a pre-sale report from Fitch Ratings, and an issuance of $1 billion will reference an asset pool of $1.1 billion. Both collateral pools are comprised of auto loans on new vehicles, mainly, and they share many other characteristics, the rating agency said.
Prime quality assets comprise the two pools. About 76.4% of obligors have FICO scores of 700 or higher, and the weighted average (WA) FICO score of 754, which is similar to previous series of notes from the World Omni program, according to Fitch.
Virtually all of the loans, 95.3%, are financing new cars, while used vehicles account for 4.7% of the loans, Fitch said.
For its part, S&P Global Ratings noted a number of structural changes on 2023-B, compared with 2023-A. For one, the current deal has a 10.3% initial yield supplement overcollateralization (YSOA) discount rate, up from 10.2% on the 2023-A deal. Initial YSOA increased to 10.0%, up from 9.7%.
Wells Fargo Securities is the lead underwriter on the deal, which will issue six classes of predominantly fixed-rate notes, according to Fitch Ratings. Some 37,536 loans are in the collateral pool, with an average principal balance of $26,107.
The class A-2b tranche can issue floating-rate notes. Should that happen, the YSOA discount rate would step down from 10.30% to 10.05% after the class A-2 notes are paid off, S&P said.
Aside from structural changes in the trust, there are also differences in the underlying collateral, according to S&P. The percentage of called collateral is 8.22%, lower than the WOART 2023-A of 9.89%. Loans have slightly shorter terms, as well. The percentage of loans with original terms of 63-75 months decreased to 32.17%, down from 33.9%, the rating agency said.
Fitch expects to assign ratings of 'F1+' to the A-1 notes; 'AAA' to the A-2 through A-4 notes (including the potential A-2b floating rate tranche); 'AA+' to the class B notes and 'A' to the class C notes. S&P plans to assign ratings of 'A-1+' to the A-1 notes; 'AAA' to the A-2/A-2b through A-4 notes; 'AA+' to the class B notes and 'AA' to the class C notes.
The notes have expected legal final maturities of April 15, 2024 through Jan. 15, 2030.
