J.P. Morgan Securities

Banks and Congressmen alike see U.S. regulators' version of Basel III as overly stringent for the securitization market.

The AAA ratings also stem from a 5.5% base-case loss rate, a 22.5% base-case payment rate, a 15.0% base-case yield, and a 3.0% purchase rate assumption.

The reasons for BofA's success vary, but in a year when the auto ABS sector experienced a surge in issuance in the second half of the year, several banks appeared to benefit.

A cash collateral account secures the principal payments, which makes SBNA's credit-linked notes deal a bit different from other bank-sponsored credit-linked note deals—albeit similar to SBCLN 2023-A.

All of the class A notes have total hard credit enhancement levels of 22.35%, and notes have legal final maturity dates ranging from Nov. 15, 2024 through Dec. 15, 2032.

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.

Vervent is on the deal as the backup servicer and Deutsche Bank National Trust as custodian, to help offset any risks stemming from First Help Financial's shortcomings as servicer.

The notes benefit from several credit boosters. At closing credit enhancement to the class A notes will be 21.70% of the initial pool balance, plus the pre-funding amount, and could build to 24.30% or greater.

S&P Global Ratings has an expected cumulative net loss (ECNL) of 1.0% on the class A notes, and a 2.0x loss level on the 'BBB' notes.

A vast majority of the pool, 92.02%, was underwritten to the properties' actual or estimated rental incomes, and not the mortgagors' incomes.