Auto ABS

For the current securitization the collateral pool includes 0.6% of loans extended to marginally qualified borrowers.

The FCRT 2023-1 has significantly reduced the concentration of both called assets and Greenlight Loans in the pool, with mixed credit implications.

FCAT 2023-1 has a stronger collateral pool composition than a recent transaction, with a lower concentration of loans from indirect origination sources.

Initially, the notes have 25.50% of over-collateralization (OC) of the initial pool balance, and that is expected to build to a target OC level of 35.00%.

Of the leases underpinning the deal’s collateral, just 0.2% are closed-end, wherein the trust would bear the wholesale market risk.

The current deal has a discounted residual value of securitization of 54.8%, lower than the 56.8% present in the 2015-A pool.

Dealers are in solid financial health, school buses secure 20%-35% of notes, and Navistar Financial has never had a bus dealer bankruptcy in its history.

First Help Financial is a small, niche auto lender with less than $500 million in assets, adding variability to expected loss scenarios on the notes.

The offering is the latest securitization in the fertile automobile ABS market

Both used and new cars make up the collateral in COPAR 2022-1