Auto ABS

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.

Over-collateralization in the form of vehicles provides most of the deal's credit enhancement on the notes, which also has a higher concentration limit for Teslas.

Throughout the year, auto ABS was a stronger performer than other consumer ABS asset classes, with $141.1 billion in new securitization business.

This is the program's third transaction, according to ASR's deal database. The notes have about 8.57% in credit support for all five tranches, which are all class A notes.

COVID-19 largesse enabled subprime borrowers to pay down debt and boost credit scores. Then interest rates rocketed up in 2022, and new subprime auto borrowers felt the pinch.

Credit enhancement consists of overcollateralization, excess spread of about 6.09%, subordination (except for the class D and class N notes), and a reserve account.

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.

The loans have strong borrower characteristics, such as a weighted average (WA) FICO score of 733, and WA seasoning of 10 months.

Classes A, B and C benefit from hard credit enhancement levels of 60.80%, 42.80% and 24.57%, respectively, an increase from the comparison deal.

The National Credit Union Administration insures Space Coast's deposits, with the power to repudiate the prime retail auto contracts or re-characterize receivables, potentially reducing or delaying note payments.