Finance

The A5 through A21 notes have credit enhancement levels amounting to 15.00%, while the rest of the notes are covered by levels ranging from 8.65% to 0.55%.

The $39 billion 10-year note sale was awarded at 4.438%, compared with a yield of 4.458% in pre-auction trading at 1 p.m. New York time, the bidding deadline.

Class A notes benefit from total hard credit enhancement equal to about 31.50% of the portfolio balance, while enhancement levels range from 23.75% on the class B notes to 2.00% on the class G notes.

Much of that growth appears to have happened since the beginning of the year. JAAA's AUM was $5.3 billion at the end of 2023, suggesting a 94% increase.

The latest round of global capital rules, known as Basel III endgame, is expected to make a whole slew of loans more expensive for banks to hang onto, so the lenders are bundling more auto loans, and other kinds of debt into asset-backed securities.

Rate locks have increased every month this year, but May's pace came in more subdued than early-year numbers, according to Mortgage Capital Trading.

Notes are expected to pay investors yields of 5.6% on the F1+ rated A1 notes to 5.6% on the A-rated C notes.

All the notes benefit from total hard credit enhancements built into the structure, representing 3.5% of the pool balance, which includes an initial reserve of 1.0%. and non-declining 2.5% in overcollateralization.

Treasury yields surged across the curve on Friday, while traders — as well as economists at JPMorgan Chase & Co. and Citigroup Inc. — pushed out their expectations for the Fed's first rate reduction.

Another positive is that 87.3% of the leases are open-ended contracts, where the lessee bears the residual value risk of the vehicle when the leases mature.