Auto ABS

The $35 million, class A-1 notes on the current deal have total initial credit enhancement of 7.50%, compared with 8.80% on the class A notes on the CRVNA 2023-P2.

The 2023-P1 collateral pool, which finances new and used auto purchases, has a weighted (WA) average credit bureau score of 736, WA seasoning of 24 months, and a WA loan-to-value ratio of 111.31%.

Classes A, B, C, D and E are expected to have credit support of 64.4%, 57.6%, 46.4%, 37.7% and 33.1%, respectively. Those support levels include hard credit enhancement and a haircut to excess spread.

Scores between 601-650 account for 72.02% of the FICO distribution on FCRT 2023-1, compared with 46.65% on the FCRT 2023-1, according to KBRA.

BofA's first auto loan securitization since 2012 will be backed by a pool of new and used automobile and light truck loans originated by the bank.

Executives at both companies warned that softening car prices will likely fall further as inventory grows, a welcome sign for inflation-weary buyers but worrisome for dealers facing new pressure on profit margins.

Prime quality U.S. vehicle leases back an issue comprising 91% class A notes.

The deal has a slightly higher weighted-average FICO and slightly lower exposure to longer-term loans than its predecessor but a slightly worse FICO tier distribution.

The dollar-denominated auto loan notes are protected by currency swaps.

The underlying portfolio of car, utility vehicle and light-duty truck loans has a weighted average FICO score of 782.