Prime auto ABS

BAAT Auto Trust series 2025-1, has a super-prime underlying borrower base, as FICO scores exceeding 800 made up 55.2% of the pool.

The WA original term is about 68 months for all three pools. That is shorter than the term on the previous series, but within the range of terms on recent deals.

The deal can be upsized to $2 billion, and the transaction will repay principal sequentially, growing non-declining enhancement as the notes amortize.

Yields, are expected to come in ranging from 4.4% on the class A notes, to 4.5% on the class A4 notes.

Loans on used cars, extended to borrowers with prime credit characteristics, make up the reference pool of assets.

GM Financial Revolving Receivables Trust, 2025-1 has a five-year-long revolving period, risking exposure to assets with longer terms.

The A2B notes in TAOT 2025-A will make up 75% of total class A2 notes, a much higher percentage of floating-rate A2B notes than recent deals.

The prime pool can be upsized to $1.7 billion, and the base pool amount has a lower securitization discount rate of 9.60%, lower than the previous deal from this program.

Moody's says its cumulative net loss expectation for the PFAST 2024-1 pool is 0.70%, and puts its losses on the Aaa stress level at 4.75%.

Slated to close later this week, the transaction can be upsized to $1.6 billion.

The current COPAR transaction has a FICO score of 782, an increase from 780 from the COPAR 2023-2, and loans with an original term greater than 72 months, as a percentage of the pool balance was 19.24%, a decrease from 22.9%.

Moody's says it expects a 0.60% loss on the 2024-A pool, with a 3.0% loss at the Aaa stress, and the notes have legal final maturity dates ranging from July 15, 2025 through Nov. 17, 2031.

: A1 notes are expected to price at par, with a 13 basis-point spread over the 3-month, I-curve, and 44-77 basis points on the A2 through A4 notes, according to Asset Securitization Report's deal database.

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.

The deal could be upsized to $1.3 billion in issuance, and benefit from several layers of credit enhancement, including a reserve fund, excess spread and overcollateralization.

BAAT's four class A tranches have initial hard credit enhancement representing 3.75% of the pool balance, made up of subordination, 2.50%; a reserve account, 0.25%, and 1.00% in initial (and target) overcollateralization.

The potentially upsized deal could see a cumulative net loss (CNL) proxy of 1.20%, and all of the notes have the same initial hard credit enhancement level of 3.25%.

Total initial hard credit enhancements to vary, however, with levels of 8.85% and 6.85% on the class A and B notes, respectively.

Total sales of new asset-backed securities are projected to reach $280 billion next year, edging out the $277 billion forecast for this year, strategist Powell Eddins wrote in an Oct. 31 note.

Slated to close by September 29, the deal has total initial hard credit enhancement that amounts to 87.7% on the most senior class of notes.