Auto ABS

Pricing ranges between 20 basis points, over the three-month Interpolated yield curve, on the A1 notes to 400 bps over the class E, at almost par, between 99.98% and 99.99%.

There are two series, 2024-1 and 2024-2, that have revolving periods—three for the 2024-1 and five for the 2024-2—during which noteholders will not receive any principal.

The trust employs a 24-month revolving period. There is an increased risk that collateral quality could deteriorate as the transaction evolves with new collateral.

Four tranches of class A notes make up the capital structure, and they all benefit from 3.00% in total initial hard credit enhancement.

Raising $344 million, the deal securitizes revenues from loans with lower balances and a higher weighted average loan-to-value ratio compared with the previous deal.

Used car loans support the notes, where the two class A tranches benefit from 59.90% in total credit enhancements, while classes B, C, D and E have 51.88%, 42.54%, 33.23%, and 26.96% respectively.

The underlying loans have 8.32 months in seasoning, which is higher than the amount seen on Arivo Acceptance securitizations going back to the series 2021-1 deal.

Revenue from auto dealer floorplan receivables will secure $920.2 million in class A notes from the Nissan Master Owner Trust Receivables, both series 2024-A and 2024-B, according to Moody's Investors Service.

FCAOT, in its first issuance of the year, could upsize the deal to $1.5 billion

Prime quality auto loans secure the pool, although recent rapid origination growth put some strain on and deterioration on the notes in the 2022 and 2023.