J.P. Morgan Securities

Borrowers' high incomes and the abundance of monthly free cash flow speed up repayments and mitigate the transaction's exposure to economic downturns.

The current pool has smaller exposures to the construction and turf sectors compared to the 2024-2 series, which have seen higher loss rates than the agriculture sector.

All the class A notes benefit from total initial hard credit enhancement totaling 21.0% of the pool balance. Classes B, C and D benefit from 17.0%, 11.5% and 6.5%, respectively.

Residential customers made up 70.1% of NYSEG's sales revenue, while commercial and industrial customers account for the other 30% of sales. The latter is a relatively high exposure for such deals.

KBRA notes that commercial obligors with an investment grade rating make up 76% of MassMutual's customer base. Within that group, payments from the U.S. government account for 14.4%, the largest concentration.

Classes A through E, do not allow for payment-in-kind, which allows borrowers to use assets other than cash—such as equity or shares—to make interest payments.

After a double-digit increase, analysts expect sectors to continue to grow in 2025, albeit with some credit deterioration.

One of the subordinate tranches, the BX is exchangeable, while credit enhancement levels on the notes range from 35.70% on the A1 notes to 3.5% on the B3 tranche.

The assets have a weighted average (WA) FICO score of 801, including a minimum FICO of 660. Also on a WA basis, they have an original term of 74 months and a loan-to-value ratio of 86.8%.

Treasury yields surged across the curve on Friday, while traders — as well as economists at JPMorgan Chase & Co. and Citigroup Inc. — pushed out their expectations for the Fed's first rate reduction.

The 2024-5 series are secured by a pool of loans purchasing primary residences, with an original, cumulative LTV of 73.9%, and a debt-to-income ratio of 35.5%.

Spreads ranging from 16-18 basis points over the three-month, interpolated yield curve on the P1 (Moody's) and F1+ (Fitch) notes, to 160 to 170 over the benchmark on the class D notes.

Raising $344 million, the deal securitizes revenues from loans with lower balances and a higher weighted average loan-to-value ratio compared with the previous deal.

FCAOT, in its first issuance of the year, could upsize the deal to $1.5 billion

The deal will repay investors sequentially and through a shifting interest payment structure, according to ratings analysts from Moody's Investors Service. On a weighted average (WA) basis, the rating agency notes, the mortgages have a FICO score of 773.

The underlying leases have an average contract balance of $18,129. The top borrower accounts for 0.8% of the pool balance, while the top 10 borrowers represent 4.2%.

The collateral has a high principal payment rate, 63.1%, for the eleven months ended November 2023. It also had payment rates of 66.7% and 59.0% for the twelve-month averages for 2022 and 2021, respectively.

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.