Toyota Auto Receivables Owner Trust is preparing to issue $1.6 billion in asset-backed securities, from a pool of prime, fixed-rate auto loan receivables.
The current deal has a required yield supplement overcollateralization amount (YSAO) of 10.00%, up from 9.65% on the TAOT 2023-C, according to a pre-sale report from S&P Global Markets' ratings analysts. In other structural changes the initial YSOA as a percentage of the initial adjusted pool balance decreased to 10.8% on the current transaction, from the initial 11.35% level on the deal.
J.P.Morgan Securities, Mitsubishi UFJ Securities, SMBC Nikko Securities and US Bancorp are managers on the transaction, which will issue five classes of notes, according to Asset Securitization Report's deal database. Expectations are for the notes to price at 18 basis points over the three-month interpolated yield curve on the A1 notes, which get 'A1+' and 'F1+' from S&P and Fitch, respectively. Beyond that price talk puts the spreads at 57 basis points over on A2A notes through 92 bps over the benchmark on the A4 notes, according to ASR's deal database.
The deal is expected to close on November 30.
Aside from the top ratings, both S&P and Fitch expect to assign ratings of 'AAA' to all of the notes throughout the rest of the deal, according to the database.
All of the notes are benchmarked to the three-month I-Curve, except the A2B tranche, which will price the notes to the three-month Secured Overnight Financing Rate (SOFR), the database said.
Aside from the structural changes mentioned earlier, the TAOT 2023-D has some collateral changes from the TAOT 2023-C deal. S&P said. For one, the number of receivables is initially expected to be 49,059, significantly smaller than the 65,736 on the 2023-C series. If the securitization amount is upsized, the number of receivables could reflect that and actually amount to 65,406, which is a bit more in line with previous deals.
New cars dominate the portfolio, accounting for 82.5% of the collateral pool, where borrowers have a FICO score of 767.
The current deal's weighted average (WA) annual percentage rate (APR) was 5.11%, an increase from 4.64% on the previous deal, the TAOT 2023-C, according to S&P. The percentage of loans with an original term of 61-72 months was 62.64%. While that is a majority of the collateral, it is still a decrease from 63.31%, S&P said.
