Prime auto ABS

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.

Citizens Financial Group announced the deal just weeks after saying that it would stop making car dealer financings.

The initial $1.31 billion pool may be potentially upsized to $1.53 billion.

The $1.28 billion securitization includes a collateral pool with a higher WA FICO, lower LTV and shorter original terms that its previous loan ABS deal issued last October.

Deals, trends and research in structured finance and asset-backed securities for the week of April 2-8

The deal will be Ford's 14th securitization from its FordREV shelf, which has eight outstanding deals that remain in their revolving periods.

A continuing macroeconomic recovery fueled by the federal government's stimulus payments to consumers has benefited GMF as well.

The $1.18 billion deal is also the first to include Tesla’s mid-range Model Y vehicle (with an MSRP of $54, 119) that makes up 36% of the securitized value of the TALT 2021-A pool, according to a presale report from Moody’s Investors Service.

Unify Financial is sponsoring a $300M securitization of prime auto loans. The $3.3 billion-asset institution is only the second CU to sell securities backed by auto loans since the NCUA gave the green light for credit-union securitizations nearly four years ago.