Another big-ticket, prime auto loan securitization deal is being prepared for investors, as the Bank of America Auto Trust prepares to offer $1 billion to investors through the 2023-2 series.
Revenue from prime retail loans on new and used cars and light duty trucks will provide collateral for the notes, according to ratings analysts from Fitch Ratings. They believe the portfolio quality is very strong, with a weighted average (WA) FICO score of 795, and what it calls super-prime obligors—borrowers with FICO scores greater than 800—comprising 50% of the pool.
Not all borrower qualifications are perfectly stellar, though. Fitch points out that a majority of the pool, 71%, has extended terms, specifically a WA original term of 68 months. Also, used cars comprise 59% of the pool, no doubt due to the sharp supply shortage of new vehicles. That percentage is a higher representation than previous deals and its most recently issued prime auto loan ABS deals, Fitch said.
Known as BAAT 2023-2, the transaction will sell notes through seven tranches. They have final maturity dates ranging from Dec. 13, 2024 on the A1 notes through June 17, 2030 on the class D notes, Fitch said. Classes A1, A2 and A3 contain the bulk of the deal, with $239.4 million, $353.4 million and $353.4 million in outstanding notes, respectively.
All of the four tranches of class A notes have initial hard credit enhancement representing 3.75% of the pool balance, and is made up of subordination, 2.50%; a reserve account, 0.25%, and 1.00% in initial (and target) overcollateralization. A yield supplement overcollateralization amount (YSOC) representing 5.94% of the adjusted pool balance also helps boost the positive credit characteristics.
Fitch assigns a 'F1+' rating to the A1 notes and 'AAA' to the A2 through A4 notes.
BofA Securities is the lead arranger on the deal, and several other Bank of America entities serve in key roles, such as depositor, seller, servicer and administrator.
The pool contains 44,724 loans a bit less than the 50,189 that secured the BAAT 2023-1, according to Fitch. They have an average current principal balance of $25,842, and on a WA basis the loans have an annual percentage rate of 5.05% and loan-to-value ratio of 91.23%, Fitch said.
