Prime auto ABS

Moody's, S&P and DBRS take divergent views of riskiness of €500 Driver Italia One; key concerns are the concentration of loans with balloon payments and lack of recourse to cars being financed.

But GMF's deeper dive into long-term loans for a pool increasingly dominated by pricier trucks and SUVs caused a slight bump in expected ABS credit losses.

The weighted average FICO of 750 is the highest of any post-recession securitization from Hyundai Capital Americal, the joint captive-finance lender for U.S. Hyundai and Kia dealers.

The regional captive-finance lender for Toyota dealers has boosted the credit quality of the collateral in response to rising delinquencies in recent transactions; sub-650 FICOs have been excluded.

Moody's thinks that the risk of early lease terminations is "marginal," since only 0.5% of the vehicles in the collateral pool are old enough to be impacted by bans in place in several European cities.

From efforts to fix the London interbank offered rate to changes in online lenders' funding programs, here are some of the highlights of the Structured Finance Industry Group's 2018 confab in Sin City.

The transaction is the second this year involving Santander's Chrysler Capital preferred-lender unit; in January Santander sold bonds on its first-ever deal backed by Fiat Chrysler leases.

Despite riskier terms, rising delinquencies and falling used car values, investors keep buying bonds backed by prime and subprime auto loans and leases.

Credit support on the senior tranche of the $800 million transaction is 19.25%, up 250 basis points on the comparable tranche of the sponsor's previous deal to offset the impact of falling used car prices.

Timothy Bowler, president of the ICE Benchmark Administration, which has been responsible for calculating the index since mid-2013, argues that there is a strong case for keeping it going.