Auto ABS

In sessions on Tuesday, panelists said although inflation is sticky, long-term inflation expectations are very well anchored and he consumer picture is not as dire as previously thought, allowing certain risk markets to embrace a soft landing.

The class A-2 notes may consist of a fixed-rate A-2-A and a floating-rate A-2-B. After issuance, up to 75% of the class A-2 notes could be allocated to the class A-2-B.

Citing auto sales as a potential leading indicator, observers say the labor market's health might be overstated, while auto ABS assets start to underperform.

The current transaction will sell the most in securitized bonds since the 2022-1 series came to market with $850 million in notes.

Pricing guidance suggests the A1+ and F1+ notes are expected to yield 5.5% over the three-month interpolated yield curve, pricing at par. Yields are expected to vary from 5.49% to 5.42% on the AAA notes over three-month, interpolated yield curve.

As of Dec. 31, 2023, according to Moody's, the portfolio's delinquency rate was higher than the rating agency had observed in previous MBFS-sponsored transactions dating back to 2019, but it was still extremely low, at 1.46%.

All four of the class A tranches benefit from total initial hard credit enhancement of 13.80%, while the B and C classes of notes are covered by 10.6% and 6.0% in initial hard credit enhancement.

Both pools have exposures to large dealers, so losses could be more pronounced if one dealer goes bankrupt, while both series have revolving periods, when noteholders will not receive any principal.

Moody's took note of several credit strengths in the portfolio, including that on a weighted average (WA) basis, the contracts have a weighted average FICO score of 767 and only a point higher for the upsized pool.

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.