Barclays

Also, 3.3% of the pool are closed-end loans with second lien priority underwritten with various documentation methods.

Although used cars with borrowers of non-prime credit quality comprise the asset pool, it benefits from 9.00% in overcollateralization, subordination, a reserve account representing 1.00% of the pool balance, and excess spread.

Pricing guidance on the deal puts yields on the AAA notes at 5.9% and they range to 9.1% on the B- notes, and all of the certificates are priced over the three-month interpolated yield curve.

The class A-2 notes may consist of a fixed-rate A-2-A and a floating-rate A-2-B. After issuance, up to 75% of the class A-2 notes could be allocated to the class A-2-B.

The deal includes subordination in the form of class B notes, a rarity for whole business securitization deals.

Yields are expected to range from 6.3% on the AAA notes to 7.4% on the BBB notes, which are priced against the three-month interpolated yield curve, and have a final schedule payment date of May 15, 2029.

Subway has asked Morgan Stanley and Barclays Plc to put together the debt package in the form of a whole business securitization, arranging in-person events in Boston, New York and Los Angeles starting May 8.

Under the capital structure the senior notes will be repaid on a pro rata basis. Otherwise, the notes in the structure will benefit from excess spread and a senior-subordinate structure.

Both pools have exposures to large dealers, so losses could be more pronounced if one dealer goes bankrupt, while both series have revolving periods, when noteholders will not receive any principal.

Subordination provides credit enhancement to the notes, as well as deposits in the reserve and redemption accounts.