Donna M. Mitchell

This is the program's third transaction, according to ASR's deal database. The notes have about 8.57% in credit support for all five tranches, which are all class A notes.

The trust distributes scheduled principal on a pro rata basis. There is also a specified lockout period during which the subordinate classes do not receive any unscheduled principal.

For the most part the underlying loans have very low default rates. Almost the entire pool, 91.8%, is clean current, and appear to have performed well into the period where they were expected to experience greater losses.

Classes A, B, C, D, E, and F have initial credit enhancement levels of 67.25%, 49.00%, 33.50%, 17.90%, 8.55% and 1.50%, respectively.

Retail properties account for 44.1% of the pool, the collateral pool's largest portion. Multifamily, lodging office and other properties account for 12.5%, 11.5%, 8.9% and 23.0%, respectively.

It is the first securitization for the company, and represents only a subset of the types of loans that the company has originated.

Some 73.1% of the loans had disqualifying deficiencies related to origination or documentation guidelines, which prevented Fannie Mae or Freddie Mac from purchasing them.

Loans had a FICO score of 753 on a WA basis, an original term of 87 months, an average original balance of about $16,249 and a WA annual percentage rate of about 11.43%.

Initial hard credit enhancement ranges from 24.40% on class A notes to 7.70% on the class D notes. At closing, overcollateralization will be 6.70%, building to a target of 12.50%.

The A1 and A2 notes have a revolving period during which investors will receive fixed-rate and floating-rate payments, respectively.

Williams co-founded financial advisory and consulting firms Simatree and Galway Holdings, and is a retired NBA player and ESPN host.

Overall, the loans also have a weighted average (WA) FICO score of 742, an original cumulative loan-to-value ratio of 77.9%, and debt-to-income ratio of 37.5%.

A cash collateral account secures the principal payments, which makes SBNA's credit-linked notes deal a bit different from other bank-sponsored credit-linked note deals—albeit similar to SBCLN 2023-A.

The loans have strong borrower characteristics, such as a weighted average (WA) FICO score of 733, and WA seasoning of 10 months.

Classes A, B and C benefit from hard credit enhancement levels of 60.80%, 42.80% and 24.57%, respectively, an increase from the comparison deal.

Originators funded 72.6% of the loans in 2023, while 16.7% of the loans were funded in 2022 and originators funded the rest between 2021 and 2018.

ABS for 2023 is expected to drop 21.2% from 2022 volume, but the industry total for 2024, could give it a 4.1% increase.

The underlying mortgage is a two-year, floating-rate commercial mortgage loan that is slated to mature on Dec. 9, 2025, and the loan has three one-year extension options.

Some 54 contracts and 39 obligors, with an average contract balance of about $14.46 million, and the average exposure to an obligor is about $22.79 million.

The National Credit Union Administration insures Space Coast's deposits, with the power to repudiate the prime retail auto contracts or re-characterize receivables, potentially reducing or delaying note payments.