Revenue from a large pool of prime auto loan receivables will support $1.3 billion in securitized bonds, sold to investors through the Toyota Auto Receivables 2026-B Owner Trust.
TAOT 2026-B's four class A tranches—which make up most of the capital structure—will get credit support equaling 6.9% of the note balance, according to analysts at S&P Global Ratings.
The A1 tranche has an expected legal final maturity date of April 15, 2027, S&P said. After that, the A2A/A2B, A3, A4 and class B notes have legal final maturity dates of Feb. 15, 2029; Dec. 16, 2030, Aug. 15, 2031 and Oct. 15, 2032, respectively.
The deal is expected to close on April 21, S&P analysts said, with Bank of America Merrill Lynch, Barclays, Mizuho Securities, SMBC Nikko Securities America, and U.S. Bancorp as managers.
The underlying collateral pool is composed of 45,323 receivables, which have an average remaining loan balance of $30,210, and an average percentage rate (APR) 5.56%, S&P said.
On a weighted average (WA) basis, the loans had an original term of 66 months, and 54 months remaining, according to S&P. Borrowers had a FICO score of 770 on a WA basis, and a large majority of borrowers, 83.7%, had scores of more than 700.
S&P assigned A1+ to the A1 tranche; and AAA to the A2 through A4 tranches, S&P said. It did not rate the class B notes. Moody's Ratings also assessed the notes, according to Asset Securitization Report's deal database, assigning P1 to the A1 notes; Aaa to the A2A through A4 notes.
There were several notable changes to credit enhancement levels on the TAOT 2026-B compared with the previous, 2026-A series.
On a per annum and pre-pricing basis, excess spread decreased to 3.01%, from 3.10%, S&P said. The yield supplement overcollateralization amount (YSOA), as a percentage of the initial adjusted pool balance, increased to about 5.32% for the small pool, from 5.02%, S&P said.
The deal's sequential pay mechanism confers subordination protection to the class A notes, representing 2.50% of the note balance, S&P said.
