Auto ABS

Used cars make up virtually American Credit Acceptance entire collateral pool, and while observers said recoveries in this asset group have been lower, the pool includes a higher percentage of better performing called collateral.

Known for subprime financing, the sponsor has been making inroads lending to near-prime customers in the last couple of years.

Spreads ranging from 16-18 basis points over the three-month, interpolated yield curve on the P1 (Moody's) and F1+ (Fitch) notes, to 160 to 170 over the benchmark on the class D notes.

Lendbuzz sells the notes as it juggles mixed performance results from 2023. Originations and revenues saw huge jumps, but so did operating expenses.

The bank is a top auto lender, with a managed portfolio of $7.1 million through December 2023, and has a strong servicing track record.

The current levels of credit enhancement are a reduction from levels of 58.0%, 48.7%, 35.9%, 22.5% and 17% on the classes A, B, C, D and E on the BLAST 2024-1 deal.

A pool of open-end vehicle fleet lease and loan contracts for cars, trucks and other vehicles provide the revenues to the bonds.

Aside from overcollateralization and subordination, the notes get support from a reserve account representing 0.96% of the pool and an incremental reserve account maintain 1.00%.

Series 2024-2 can be upsized to $1.5 billion from the base pool amount, but regardless of the increase, pricing guidance, total credit enhancements and legal final maturities are expected to remain the same.

Pricing ranges between 20 basis points, over the three-month Interpolated yield curve, on the A1 notes to 400 bps over the class E, at almost par, between 99.98% and 99.99%.

There are two series, 2024-1 and 2024-2, that have revolving periods—three for the 2024-1 and five for the 2024-2—during which noteholders will not receive any principal.

The trust employs a 24-month revolving period. There is an increased risk that collateral quality could deteriorate as the transaction evolves with new collateral.

Four tranches of class A notes make up the capital structure, and they all benefit from 3.00% in total initial hard credit enhancement.

Raising $344 million, the deal securitizes revenues from loans with lower balances and a higher weighted average loan-to-value ratio compared with the previous deal.

Used car loans support the notes, where the two class A tranches benefit from 59.90% in total credit enhancements, while classes B, C, D and E have 51.88%, 42.54%, 33.23%, and 26.96% respectively.

The underlying loans have 8.32 months in seasoning, which is higher than the amount seen on Arivo Acceptance securitizations going back to the series 2021-1 deal.

Revenue from auto dealer floorplan receivables will secure $920.2 million in class A notes from the Nissan Master Owner Trust Receivables, both series 2024-A and 2024-B, according to Moody's Investors Service.

FCAOT, in its first issuance of the year, could upsize the deal to $1.5 billion

Prime quality auto loans secure the pool, although recent rapid origination growth put some strain on and deterioration on the notes in the 2022 and 2023.

Spreads are expected to come in ranging from 15 basis points over the 3M I-Curve on the A1 notes to 160 bps over the benchmark on the class D notes.