Auto ABS

Pagaya's artificial-intelligence model utilizes more data points in assessing whether a consumer is creditworthy than the handful typically used by traditional auto lenders, so it can find more consumers who would have previously been denied a loan.

Some 24% of the pool has 76- to 84-month contracts. This deprives observers and investors of robust performance data, because of the lack of seasoning.

The level of seasoning dropped to 18 months, from 21 months, while loans with remaining terms of 73-84 months increased to approximately 7.49%, up from 2.6%.

S&P Global Ratings has an expected cumulative net loss (ECNL) of 1.0% on the class A notes, and a 2.0x loss level on the 'BBB' notes.

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%.

The $35 million, class A-1 notes on the current deal have total initial credit enhancement of 7.50%, compared with 8.80% on the class A notes on the CRVNA 2023-P2.

The 2023-P1 collateral pool, which finances new and used auto purchases, has a weighted (WA) average credit bureau score of 736, WA seasoning of 24 months, and a WA loan-to-value ratio of 111.31%.

Classes A, B, C, D and E are expected to have credit support of 64.4%, 57.6%, 46.4%, 37.7% and 33.1%, respectively. Those support levels include hard credit enhancement and a haircut to excess spread.

Scores between 601-650 account for 72.02% of the FICO distribution on FCRT 2023-1, compared with 46.65% on the FCRT 2023-1, according to KBRA.

BofA's first auto loan securitization since 2012 will be backed by a pool of new and used automobile and light truck loans originated by the bank.

Executives at both companies warned that softening car prices will likely fall further as inventory grows, a welcome sign for inflation-weary buyers but worrisome for dealers facing new pressure on profit margins.