Auto ABS

Prime quality U.S. vehicle leases back an issue comprising 91% class A notes.

The deal has a slightly higher weighted-average FICO and slightly lower exposure to longer-term loans than its predecessor but a slightly worse FICO tier distribution.

The dollar-denominated auto loan notes are protected by currency swaps.

The underlying portfolio of car, utility vehicle and light-duty truck loans has a weighted average FICO score of 782.

The concentration of FICO scores over 750 in the collateral pool is the highest for Hyundai auto ABS transactions since 2017.

The underlying collateral pool is smaller than in the automaker's comparable ABS transaction in 2022, but with larger principal balances and higher APRs.

Both credit card and student loan issuers made up for tepid starts to 2023 by leaping over their first-quarter production numbers, but it wasn't enough to overcome an overall slide.

DriveTime's latest has initial hard credit enhancement that ranges from 55.70% for the class A notes to 15.40% for the class E notes, and the company just bumped up its warehouse commitment.

Tesla features prominently in the collateral, representing 41.73% of receivables from borrowers with higher FICO scores than the overall pool.

The percentage of loans in ACM's top customer score, 6, was 33.24%, a decrease from 35.17%, but deal's WA loan-to-value ratio was 113.83%, up from 112.72%.

The sales come as investors are becoming increasingly wary of rising delinquencies and search for higher quality debt, such as prime auto ABS. In just a few months, Bayview has been able to place roughly $8 billion of such debt.

The GFORT 2023-1 series added an extra $250 million class, with notes to be priced over the three-month SOFR. Other elements, such as collateral and credit enhancement, are almost exactly alike.

Newer cars account for the highest percentage of the collateral pool over a two-year period, while FICO and proprietary credit scores are also up a few ticks.

NALT 2023-B will operate with several forms of credit enhancement, including initial hard credit enhancement of 22.91%, and initial overcollateralization (OC) of 22.51%.

Santander will provide a letter of credit, which is sized to cover up to five months of missed interest payments should the trust default on its interest obligations or fall under FDIC receivership.

The deal has a 9.25% discount rate on the yield supplement overcollateralization amount (YSOA), a, liquidity risk mitigation tool, which is significantly higher than the 4.00% from the 2021-1 transaction.

The undiscounted residual value composition is 77.54%, higher than prior GCOLT deals, such as the GCOLT 2021-1, which was 70.50%.

The National Credit Union Administration, a government-backed insurer of credit unions classifies Veridian as "well capitalized," which helps mitigate some risks associated with its lack of securitization experience.

The deal is the second one for this year, a different tack for a program that has appeared once annually in the past.

Two issuances will fund revolving pools of leases from various vehicle companies even as a looming recession may dampen travel demand.