Chase Auto Owner Trust, 2024-2 is coming to market to sell $1.2 billion in bonds with revenue from prime-quality retail installment loans pledged to repay them.
Several Chase entities are on the transaction, from JPMorgan Chase, which originated the loans and services them to J.P.Morgan Securities, which will be the lead underwriter, according to ratings analysts from Moody's Investors Service and Fitch Ratings.
CHAOT 2024-2, is a 144a securitization, and is JPMorgan Chase Bank's since 2006, Moody's said. The deal issues seven tranches of class A, B, C and D notes, with legal final maturity dates that range from April 25, 2025 through Aug. 25, 2031. The class A notes benefit from 5.10% in total initial hard credit enhancement, while the class B notes have 3.60%; the class C notes have 2.25%; and 0.35% on the class D notes, Moody's said.
The deal closes soon, with spreads ranging from 16-18 basis points over the three-month, interpolated yield curve on the P1 (Moody's) and F1+ (Fitch) notes, to 160 to 170 over the benchmark on the class D notes.
The deal's general credit outlook seems fairly strong. Moody's expects a 1.50% cumulative net loss on the deal, which is flat from CHAOT 2024-1, the company said.
Fitch points out that the reference pool has a weighted average (WA) FICO score of 762, according to Fitch. It's such a high-quality pool that scores below 650 represents 4.11% of the pool, a little lower than 4.33% on the series 2024-1. After assessing the bank's managed portfolio performance data, including COVID-19 era dips, it set its CNL expectations at 1.40%.
Fitch notes that the hard credit enhancement levels are actually higher, slightly, compared with the series 2024-1 notes, where the classes A, B, C and D notes benefitted from 5.00%, 3.50%, 2.15% and 0.25%, respectively. Initially, overcollateralization stands at 0.35%, and will build to a target of 1.00% of the initial collateral balance. This is also higher than the previous series, when it was 0.25%, but comes in lower than the 0.60% on the 2023-A notes.
The notes also benefit from 1.90% in excess spread, down from 2.28% on the 2024-1.
Fitch assigns AAA to the A2 through A4 notes; AA to the class B notes; A to the class C notes and BBB to the class D notes. Moody's assigns Ass to the A2 through A4 notes; and Aa1, A1 and Baa3 to the classes B, C and D tranches, respectively.
