BBVA Rides Back Into Auto ABS — First Time Since 1998

BBVA Compass has come to market with its first auto ABS issuance since 1998, backed by $494.25 million of prime auto loans, according to a presale report from Standard & Poor’s released yesterday.

“The pool, while geographically diverse, has a high concentration in Texas (40%), a weighted average FICO score of 714, a weighted average LTV ratio of 111.58%, and weighted average seasoning of approximately 10 months,” S&P wrote in the report. “About 61% of the loans are backed by new vehicles. Only 6.05% of the pool has a FICO less than 650 and approximately 6.10% of the pool has a FICO greater than or equal to 800.”

The longest loan term in the trust is 84 months, according to S&P. In fact 96% of the receivables have an original term of 61-84 months, and more than 70% of the receivables have an original term of 73-84 months.

“We generally consider loans with longer terms to have greater risk,” S&P said. “However, some of the risk associated with the 76-84 month loans is mitigated by the higher weighted average FICO of 748.”

In a similar report by Moody’s rating the BCART 2015-A trust, the agency cited the lack of a “recent history of securitization portfolio performance to compare with the performance of Compass’s managed portfolio,” a cause for concern. Moody’s said that factor introduced uncertainty in determining expected performance, but Moody’s concluded that despite the lack of securitization history, Compass has decades of experience in originating auto loans.

As of June 30, Compass Bank‘s managed retail auto portfolio was approximately $3.2 billion, up 32.7% from $2.4 billion the same time a year prior, according to S&P. Total delinquencies were 1.98% of the principal balance outstanding, as of June 30, up from 1.31% at the same time a year prior, but delinquencies appear to be in the early to mid-stage (30-59 days), the agency said, while delinquencies in the “later stage” appear stable.

S&P also attributed the rise in delinquencies to the bank’s lending to a slightly weaker obligor base over the last four and half years. Compass Bank’s weighted average Fico has dropped steadily to 702 for the six months ended June 30, down from 740 in 2010, according to S&P.

“Based on our analysis of the BCART 2015-A pool’s credit quality, the origination static pool analysis, our consideration of comparable pools from peer issuers, and our forward-looking view of the economy, we expect the BCART 2015-A pool to experience a 2.35%-2.45% cumulative net loss,” S&P concluded.

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