Fitch Ratings, a global credit rating agency, has issued a presale report for Westlake Automobile Receivables Trust (WLAKE) 2023-4, a securitization of subprime auto loans originated by Westlake Financial Services, Inc. The report provides an overview of the transaction structure, the collateral characteristics, the credit enhancement levels, and the rating rationale for each class of notes.
WLAKE 2023-4 is backed by a pool of 28,000 loans with a total balance of $600 million. The loans have a weighted average (WA) FICO score of 619, a WA original term of 66 months, and a WA seasoning of six months. The pool is diverse in terms of vehicle models and state concentrations, with new vehicles accounting for only 2.8% of the pool.
The transaction has eight classes of notes, ranging from class A-1 with a short-term rating of F1+ (EXP)sf to class E with a long-term rating of BB (EXP)sf. The initial hard credit enhancement (CE) for the notes varies from 40.80% for class A to 9.50% for class E. The CE consists of overcollateralization, subordination, a cash reserve account, and excess spread. The CE is sufficient to cover the respective multiples of Fitch’s rating case credit net loss (CNL) proxy of 14.00%, which is based on the historical performance of Westlake’s portfolio and securitizations, as well as the current and expected macroeconomic and wholesale market conditions.
Fitch considers Westlake as an adequate originator, underwriter, and servicer of subprime auto loans, with a track record of more than 30 years in the industry. Fitch has also conducted an operational review of Westlake’s servicing capabilities and found them to be satisfactory.
The ratings assigned to WLAKE 2023-4 are subject to change based on the final transaction documents and legal opinions. Fitch will also monitor the performance of the transaction on an ongoing basis and may take rating actions if warranted by changes in the credit quality of the notes.
