Bank of America has come to the market with its first auto loan securitization since 2012. The $1.17 billion in notes issued by Bank of America Auto Trust (BAAT) 2023-1 will be backed by a pool of new and used automobile and light truck loans originated by Bank of America.
The transaction's servicer and administrator is Bank of America, and the lead arranger is BofA Securities. The final legal maturity dates for the notes range from August 2024 to February 2030.
The collateral pool's aggregate loan balance is $1.32 billion, compared to BAAT 2012-1's $2.37 billion, with 50,189 loans (116,536) and an average current principal balance of $26,265 ($20,689). The weighted-average APR is 4.56%, compared to BAAT 2012-1's 4.12%, and the weighted-average loan-to-value is 91.29%, Fitch Ratings said.
According to Fitch, BAAT 2023-1 is a prime portfolio with a very strong weighted average FICO score of 792, compared to BAAT 2012-1's 780. Super-prime obligors with FICO greater than 800 comprise 47% of the pool. Other positives include strong seasoning at 14.9 months and strong vehicle brand, model and geographic diversification.
However, 71% of the pool have extended terms (original terms greater than 60 months) and the weighted average original term of 68 months is at the high end of peer prime auto loan ABS pools, Fitch says. Also, used vehicles comprise 58% of the pool.
Initial hard CE of 3.75% for the class A notes comprises subordination (2.50%), a reserve account (0.25%), and initial over-collateralization (1%), all as a percentage of the adjusted pool balance, Fitch said. The initial hard credit enhancement is lower compared to the prior transactions on the platform, which were issued between 2008 and 2012, Fitch said.
Fitch expects to rate the class A-1 notes as F1+ and the A-2, A-3 and A-4 notes as AAA. Moody's Investors Service has provisionally rated the class A-1 notes as P-1, and the A-2, A-3 and A-4 notes as Aaa.
