Fitch Ratings: European auto ABS asset performance was broadly stable in 2Q25

Fitch Ratings: European auto ABS asset performance was broadly stable in 2Q25

Stellantis Financial Services has successfully raised $1 billion through the issuance of asset-backed securities (ABS) collateralized by a pool of prime auto leases on sport utility vehicles. The Stellantis Underwritten Enhanced Lease Trust, series 2025-B, is funded by revenue from 30,929 leases, with notes issued through four senior tranches of class A notes, plus one class each of B and C notes, according to S&P Global Ratings [1].

The notes in the SFUEL 2025-B deal, as the deal is called, are structured to pay a fixed rate, with expected legal final maturity rates ranging from Aug. 20, 2026 for class A1 notes to Jan. 22, 2030 for class C notes. Losses are mitigated by credit support, including subordination levels of 25.3%, 21.7%, and 17.6% for class A, B, and C notes, respectively, as well as initial overcollateralization of 10.25% that builds to a target of 12.65%, and a non-amortizing reserve account representing 0.25% of the pool balance. Expected net credit losses for the securitization value are 1.00%, with stress scenarios showing expected credit losses of 5.0% for AAA, 4.0% for AA, and 3.3% for A+ ratings [1].

Comparatively, the SFUEL 2025-B deal features structural changes, including higher subordination levels for classes A and B, at 7.80% and 7.70%, respectively, up from 3.90% and 3.80% in the SFUEL 2025-A deal. The pool includes new vehicles, such as the RAM, Grand Cherokee, and Wrangler models, with leases having a weighted average original term of 30 months and borrowers with a FICO score of 779 on average. The vehicles have an average base residual value of $27,695 [1].

Geographically, the underlying lease assets are concentrated, with about 69.56% tied to lessors in Michigan, New York, Ohio, and New Jersey. S&P Global Ratings assigned ratings of A1+ to class A1 notes, AAA to A2 through A4 notes, and AA and A+ to classes B and C, respectively [1].

References:
[1] https://asreport.americanbanker.com/news/stellantis-financial-raises-1-billion-from-prime-auto-leases