Barclays

Affirm Asset Securitization benefits from overcollateralization in several forms. Target overcollateralization during the revolving period will equal 2.65% of the initial adjusted pool balance.

Retail properties account for the largest portion, at 23.5%, according to KBRA. Lodging follows, with 22.1% of the pool.

The deal brings Kiavi's half-year issuance to almost $1 billion, and after selling all its offered notes, was open to potentially selling rated RTL securitizations in future offerings.

Royalty revenues account for virtually all the program's incoming securitized collections, at 95.5%, with fees on initial contracts and other income accounting for 4.5%.

Amid the housing market's challenges, the pool still has borrowers with strong credit profiles, including a 48% debt-to-income (DTI) ratio, and low leverage of 63%, for a sustainable loan-to-value ratio.

The wireless infrastructure industry has positive fundamentals, with all major U.S. carriers making further network infrastructure investments to boost coverage and capacity to meet growth in wireless data traffic.

Data center and fiber investments are growing for a host of reasons, including employees working from home more since the pandemic.

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.

Only tangible, high-value works of art or collectible items will be allowed in the Sotheby's ArtFi Master Trust asset pool, and Sotheby's Financial Services eschews originating loans funded by NFTs or other intangible assets.

The fixed-rate loans are divided into three sub-pools that relied on rating methods from the RMBS, CMBS and ABS sectors to assess their risks.

Pricing ranges between 20 basis points, over the three-month Interpolated yield curve, on the A1 notes to 400 bps over the class E, at almost par, between 99.98% and 99.99%.