Auto ABS

The reference pool that supports the credit-linked notes contain 97,444 fully amortizing, fixed-rate prime auto loans that have a total balance of $2.46 billion.

Classes B, C, D and E benefit from credit enhancement levels amounting to 41.35%, 28.45%, 15.30% and 6.15%, and enhancements include a reserve account, excess spread and subordination.

Expectations are for the notes to price at 18 basis points over the three-month interpolated yield curve on the A1 notes, which get 'A1+' and 'F1+' from S&P and Fitch.

Ratings analysts say the A1 through A3 tranches benefit from total hard credit enhancement of 43.00% of the deal's initial principal balance, which includes subordination and a non-declining reserve account of 1.00%.

The company is coming off of a recent period of performance improvements, with gains in net income, cash and cash equivalents.

In one of the deal's positive credit attributes, none of the underlying loans in the collateral have terms longer than 72 months. Such longer-term loans have historically performed worse than shorter-term loans.

Subprime auto loans will repay the outstanding notes, and the collateral pool includes changes such as 85.67% of originated loans in the current pool, with a cutoff date of September 30, falling within CPS' top five credit tiers.

All of the class A notes, of which there are four tranches of notes, have a credit enhancement level of 7.55%, while classes B and C have credit enhancement levels of 5.75% and 2.75%.

As interest rates rise and delinquencies among borrowers with poor credit scores soar, investors are increasingly scrutinizing the riskiest slices of asset-backed securities sold by some subprime auto lenders. That's forced certain issuers to postpone deals or sweeten terms.

Regardless of HAROT 2023-4's issuance amount, which could reach $1.8 billion, all of the notes have total initial hard credit enhancement levels of 2.75%, and a reserve fund of 0.25%.

ACAR 2023-4 pool has a weighted average (WA), non-zero FICO score of 551, noticeably higher than the 535 FICO score of 2023-2.

S&P sets out to rate $83.85 million in several subordinate notes, all of which are secured by auto loans, and which are expected to mature in January 2034.

DriveTime is a longtime issuer, but Bridgecrest Lending Auto Securitization is the first securitization of the sponsor's assets that Bridgecrest Acceptance services.

The transaction could be upsized to $1.25 billion, from $1 billion, but the 4.00% overcollateralization level is expected to remain constant through the life of the deal.

Vervent is on the deal as the backup servicer and Deutsche Bank National Trust as custodian, to help offset any risks stemming from First Help Financial's shortcomings as servicer.

Enhancement includes initial over-collateralization of 19.15% of the pool balance, which is expected to build to 27.50% of the outstanding pool balance, plus 2.00% of the initial pool balance.

The notes benefit from several credit boosters. At closing credit enhancement to the class A notes will be 21.70% of the initial pool balance, plus the pre-funding amount, and could build to 24.30% or greater.

At some point the company hopes to become a full-credit spectrum lender, so funding the Select Program is another step toward that, according to ratings analysts.

Lendbuzz appears to be on the upswing, according to KBRA. On a year-to-year basis ending in Q2 2023, originations grew 37.6%, and revenues were up 94.6% from a year ago.

The newest deal from the program could be upsized to $1.6 billion from $1.1 billion, with the structure and pool characteristics remaining the same.