Auto ABS

While debt outstanding and performance issues are up, and new securitizations are down as expected, only auto ABS showed early signs of issuance growth.

S&P views the transaction's exposure to environmental credit factors as above average, given that the collateral pool primarily comprises vehicles with ICEs.

Similar to recent transactions, the collateral pool includes loans with an original term greater than 72 months, which Ford adjusted for in the underwriting.

The residual value loss is one percentage point higher than the previously rated 2021-2 transaction, due to an increase in the notes' base residual settings.

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.