Auto ABS

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.

Spreads are expected to come in ranging from 15 basis points over the 3M I-Curve on the A1 notes to 160 bps over the benchmark on the class D notes.

Initial overcollateralization is 11.3%, up from 8.50% of the initial collateral pool balance. Aside from that adjustment, target overcollateralization is 22.45%, compared to 13.00% on Westlake 2023-4 deal.

Although the notes are supported by non-prime assets, Banco Santander sits at the top of the transaction's ownership chain and has a stable long-term, senior unsecured debt rating of A2.

HBAN will service the transaction, with an A3 rating for long-term, senior unsecured debt, an A2 long-term credit assessment, and P-1 for short-term deposits.

The notes benefit from total hard target credit enhancement of 16.50%, with an estimated 4.02% in estimated excess spread per year.

Like a growing number of auto ABS deals, the pool has more battery electric vehicles, which represent 10.6% of the pool, compared with 3.8% on the previous deal, FCAOT REV 2023-1.