Toyota Auto Receivables is preparing to issue at least $1.3 billion in asset-backed bonds that will repay investors from a pool of prime retail installment loan contracts, with the possibility of upsizing the deal to $1.7 billion.
Whether Toyota Auto Receivables 2024-B Owner Trust issues the original amount or upsizes it, the transaction's capital structure and essentials are the same. TAOT 2024-B is composed of five tranches of class A notes, and one class B tranche, according to Moody's Investors Service.
SMBC Nikko Securities America is the lead underwriter on the deal, according to Moody's.
The most senior notes, the A1 tranche, are slated to mature on May 15, 2025. The A2 and A2-a and A2b tranches, meanwhile, will mature on March 15, 2027, and the rest of the notes in the pool have maturity dates ranging from January 2029 through October 2030. Also, Moody's analysts note that all of the class A notes have a total hard credit enhancement level of 2.75%.
Credit enhancements include a reserve fund of 0.25% of the pool balance, overcollateralization, subordination and excess spread. Moody' spread. Asset Securitization Report finds that the notes are priced over the three-month I-curve, for the most part, except for the A-2b notes, which could be pegged to the one-month I-curve. The most senior notes are slated to price at spreads of 12 basis points over the three-month, I-curve to 64 bps over the benchmark on the A4 notes.
Moody's took note of several credit strengths in the portfolio, including the fact that Toyota is a financially strong and experienced servicer, and the underlying contracts are of high credit quality. On a weighted average (WA) basis, the contracts have a weighted average FICO score of 767 and only a point higher for the upsized pool, Moody's said.
The pool is composed of 54,194 loans—87% of which are new—in the intended pool (70,254 if upsized). and have a WA annual percentage rate of 5.70%, original term of 66 months, and 55 months remaining, regardless of the pool size.
Moody's assigns ratings of P1 to the A1 notes and Aaa to the rest of the notes. S&P rates the notes, too, assigning A1+ to the A1 notes, AAA to the rest of the A notes. Neither rating agency rated the class B notes.
