Auto ABS

This deal appears to be the first since the Netherlands-headquartered multinational acquired First Investors in an all-cash transaction finalized last November.

The collateral pool is comprised of receivables assets based in Japan, and several classes of the transaction will issue dollar-denominated notes.

RAC Asset Holdings, a related entity, has been purchasing older vehicles with more mileage, and spent more on reconditioning, to make up for the squeeze on supply of vehicles.

The collateral of CPSART 2022-A reflects key changes including a decrease in the percentage of called collateral, and a drop in the months of seasoning on the notes.

The main risk to the repayment of notes is that Hertz will not be able to recoup enough funds, through used vehicle sales, to fund the payments to bondholders.

While the mix of vehicle types in GMF originations is shifting, Chevrolet remains the top vehicle make in the 2022-1 deal, comprising about 57.5% of the pool.

ABS issuance performance is largely neutral, with exceptions for stepped up volume, including auto. Inflation and COVID-related risks could overhang the industry.

Increased subordination and initial hard credit enhancement throughout the tranches, plus a slightly higher borrower profile help bolster the credit on the notes.

The initial principal note balance could be either $1.3 billion or $1.8 billion in notes the Volkswagen Auto Loan Enhanced Trust (VALET).

The deal’s sponsor has issued a small rated portion to investors and sold the remainder back to loan-originator.