Auto ABS

The deal includes some structural changes, such as subordination levels of 41.05%, 32.25%, 19.45% and 6.10% on classes A, B, C and D, respectively, and all those levels increased from the previous deal.

A reserve account is in place, although its percentage of the pool balance decreased compared with the previous deal. Also, pre-pricing excess spread was 13.89%.

Canyon Partners sees opportunities in corners of the mortgage, with tightened due diligence, and the auto ABS markets.

While Westlake's customer accounts usually have credit bureau scores ranging from 500 to 700, the WLAKE 2026-1 collateral pool's non-zero weighted average credit bureau score was 620.

Discrepancies were ultimately flagged not by regulators or auditors, but by a junior analyst at Waterfall Asset Management, one of Tricolor's lenders

The indictment accuses Daniel Chu and other executives who had worked at Tricolor of operating the company through "systemic fraud."

The senior notes will build hard credit enhancement levels over time because classes B through G will be locked out of principal payments for eight months.

The trustee asked a Dallas federal judge to limit Chu's access to $15 million worth of insurance that normally kicks in when directors and officers of a company are facing legal problems related to their corporate duties.

Most of Merchant's Fleet Funding 2025-1's underlying leases are open-end, and the underlying assets have limited residual value risk.

Merchant's notes have several key credit strengths, including that vehicle fleet lease securitization pools have had very low delinquencies and losses historically.

ABCLN 2025-B also benefits from a line of credit sized to cover up to five months of missed interest payments in the event Ally defaults on its interest obligations.

The issuance can be expanded to $1.2 billion, with virtually the same capital structure characteristics.

WFLOOR 2025-1's annualized monthly yield, which averaged 20% since 2018, has been consistently higher than most other dealer floorplan trusts that Moody's rates.

Each manufacturer commits to repurchasing unsold new vehicles in inventory when the dealer terminates the agreement—if they are undamaged and unused.

Up to 75% of the class A2 notes pay a coupon based on the Secured Overnight Financing Rate (SOFR). Also, since the assets pay a fixed rate, interest rate spikes could eat away at excess spread.

Ford Credit Floorplan pays a fixed rate to ABS investors, while the dealers' assets pay a rate pegged to the flexible prime rate, so there is the potential of eroding excess spread.

Subordination and a reserve account are among the protections on notes supported by subprime loans on primarily used vehicles.

The class A notes, which KBRA assigns a AAA rating, and which have the bulk of the outstanding note balance, $259.3 million, benefits from an enhancement level of 61.10%.

Goldman Sachs and Obra Capital are providing loan funding, and the Crescent Auto Finance acquisition brings a technology platform and loan portfolio.

Performance in recent vintages of Tesla leases, specifically 2024, had weakened recently, leading to increased credit loss expectation for the deal by 0.75%.