Prime auto ABS

The WA FICO of 710 contrasts with the range of 554 to 635 in recent Carvana securitizations centered on subprime borrowers.

Auto-loan securitizations from AmeriCredit and Santander add to a briskly flowing 2020 subprime-deal pipeline, while Ford and JPMorgan are marketing notes backed by prime-loan receivables.

Market conditions allowed for a larger bond issuance, as well as interest rate pricing that was less than half that of the coupons the captive-finance lender offered investors from its prior May issuance of auto loan asset-backed securities.

JPMorgan Chase, which has an $18.4B prime auto-loan portfolio, has not ventured into the securitization market with publicly rated auto-loan collateral since 2006, according to ratings agency reports.

Seven-year loans make up over 10% of the latest pool of originations from Santander's Chrysler Capital division, nearly a tenfold increase from the prior issuance from the shelf.

The Fed's TALF program to support AAA-rated ABS securities issuance continues to resonate in the prime auto securitization space.

S&P Global Ratings has projected slightly higher investor loss levels for BMW Financial Services' first 2020 auto-loan securitization, compared to the captive-finance auto lender's previous deal in 2019. But that loss range (0.9%-1.11%) still remains minimal.

The captive-finance lender for General Motors is providing lower expectations for the vehicles' future residual values, compared to its prior lease ABS deals, in recognition of the likely severe recessionary impact of the coronavirus outbreak.

Ratings agencies are projecting slightly increased bond losses for American Honda Finance Co.’s next billion-dollar auto-loan securitization.

VW Credit becomes the seventh lender to offer asset-backed bonds since the Federal Reserve announced TALF backing of prime auto ABS notes to support stimulus efforts for the COVID-19 ravaged market.