Auto ABS

Levels of initial hard credit enhancement had dropped on the class A notes to 61.90%, but had increased on the B, C and D classes.

Consumer ABS adapts to an environment where total U.S. household debt reaches a record high of $17.06 trillion, while observers say credit performances could reach pre-pandemic levels by 2024.

Credit enhancement is dynamic and depends on certain market value tests, as well as the composition of vehicles in the fleet.

Comprised of fixed- and floating-rate notes, one of the A classes, the A-2-B tranche, will issue notes benchmarked to he Secured Overnight Financing Rate (SOFR).

Borrowers have a FICO score of 739, which is the highest of prior LADAR transactions. There is also a non-declining reserve account of 1.00% of the initial adjusted pool balance.

The issue has the potential to be upsized to $1.84 billion, and rating agencies say it has about 7.4% in credit support from hard credit enhancement and excess spread.

The required yield supplement overcollateralization (YSOA) is 9.65%, up from 9.30% in YSOA on the TAOT 2023-A.

The collateral had a WA FICO score of 780. Classes A, B, and C notes had credit enhancement levels of 23.5%, 19.5%, and 16.1%, respectively.

The deal has the lowest concentration of leases with 37- to 48-month original terms, according to Fitch Ratings, at 34.6%.

Underlying loans have an average balance of $25,853, which is in line with balances on previous deals. On a weighted average (WA) basis, the deal's loan-to-value on FCAT 2023-3 was 119.4%.