A multitude of automatic securitizations fill the post-holiday ABS pipeline
Several auto ABS deals fill the ABS pipeline as the asset class gains momentum in the post-holiday week. Both the prime and non-prime auto loan ABS sectors are active.
One of the agreements is GM Financial Consumer Automobile Receivables Trust 2021-3. GMCAR 2021-3 is backed by loans for new and used automobiles, light trucks and commercial vehicles that were created and managed by General Motors Financial Co. (GMF), according to a pre-sale report from Fitch Ratings. This is GMF’s 18th blue chip loan ABS transaction.
Another transmitter in the market is Santander Drive Auto Receivables Trust 2021-3. According to a pre-sale report from Fitch, this is the third series released by Santander Consumer (SC) USA this year. The Notes are backed by a pool of non-senior loans for new and used automobiles, light trucks and commercial vehicles issued and purchased by SC.
Meanwhile, another deal this week is World Omni Automobile Lease Securitization Trust 2021-A. The deal will be backed by a pool of open-ended vehicle leases on new vehicles manufactured by Toyota Motor Corporation and initiated by World Omni Financial Corp., the maintenance agent and sponsor of 2021-A.
Fitch says the trade’s residual value (RV) maturity profile is less concentrated compared to the last two trades, although it is more concentrated compared to previous pools. Taking into account this concentration risk as well as the potential future volatility of the wholesale vehicle market, the rating agency used the worst residual disposal losses of the past nine months to derive its “BBsf” RV proxy, in accordance with the 2020-B transaction.
JPMorgan Chase Bank’s fourth auto credit linked note transaction, called Chase Auto Credit Linked Notes, Series 2021-2, is also in the works. The previous Chase Auto Credit Linked Notes, Series 2021-1 transaction was issued in March 2021. Class A certificates will be held by the issuer and will not be rated by Fitch. The ratings will be general unsecured obligations of JPMCB and directly linked to the issuer’s default rating. The deal will be managed by JPMCB through its Chase Auto Finance Corp. unit, according to a pre-sale from Fitch.
Another deal is Foursight Capital Automobile Receivables Trust 2021-2. This is Foursight Capital’s second transaction this year and is backed by non-senior auto loans. based on a pre-sale report from Moody’s Investors Service. The deal is backed by retail installment auto loan contracts created by Foursight.
According to Moody’s, one of the credit concerns for the deal includes Foursight’s financially weak and unrated position. The rating agency said that an agreement with a financially weak provider and sponsor results in increased variability in the expected loss scenario. The weak sponsor-servicer will probably be less able to limit non-collateral risks on behalf of ABS holders. Additionally, if maintenance is transferred to the backup server, performance will likely suffer.
Moody’s also said that the initial pool includes non-premium auto loans that have a weighted average FICO (WA) of 648. Additionally, the concentration limits in the pre-funding period allow for a pool that may be worse than transactions. previous ones.
KBRA, in its pre-sale report, noted that Foursight purchases insurance policies that cover certain quasi-prime and subprime loans to cover any deficit balances on the defaulting contract and the related vehicle liquidation proceeds that the company calls Greenlight. Loans. Any proceeds from these insurance policies would be treated as a collection on auto loan contracts and deposited into a collection account in accordance with the sales and service contract.