A pool of prime automobile loans will secure a pool of $958.2 million in asset-backed securities (ABS), through the World Omni Auto Receivables Trust, series 2024-C.
It is the third deal from the WOART program for the year, and could be upsized to $1.2 billion, according to ratings analysts at Fitch Ratings and S&P Global Ratings. It appears that the notes are all priced against the three-month interpolated yield curve, according to Asset Securitization Report's deal database. Expected yields range from 5.3% on the A1 notes, rated A1+ and F1+ from S&P and Fitch, respectively, to 4.8% on the class C notes, with A and A+ ratings, from S&P and Fitch.
WOART, 2024-C issues notes through six tranches, most of them class A, with expected legal final maturity dates that range from Aug. 15, 2025 through May 15, 2031, according to S&P.
MUFG Securities Americas is the lead underwriter on the deal, according to Fitch, while SunTrust Robinson Humphrey Capital Markets, U.S. Bancorp and Wells Fargo Securities are managers, according to the deal database.
In one positive credit highlight, Fitch set the notes' cumulative net loss at 1.40%, which is where it was on the 2023-D series, and lower than the 1.45% seen on the six previous series, suggesting greater credit stability. Fitch also noted that the WOART 2024-C series benefits from initial credit enhancement of 4.75%, which is consistent with the level seen on the 2024-B series.
Credit enhancement includes 3.52% in excess spread and subordination on the four tranches of classes A notes, and the B notes, according to the rating agencies.
There is yield supplement overcollateralization on the notes, but S&P notes that the initial YSOA was 10.1%, down from 10.7% on the WOART 2024-B, the rating agency said. The note structure includes the possibility to issue tranche A-2b notes, the YSOA discount rate will step down to 9.8%, from 10.1%, after the class A-2 notes are paid off.
Most loans in the collateral pool are new (96.3%), but they included some changes from the WOART 2024-B deal. For one, cleaned-up remaining collateral from the prior series that was recently redeemed was 5.6%, from 5.3%. That level would be 5.5% if the transaction upsizes the notes, S&P said.
Fitch assigns AAA to the A2 through A4 notes; AA+ to the class B notes and A+ to the class C notes. S&P assigns AAA to the A2 through A4 notes; AA+ to the class B notes and AA to the class C notes.
