CRT deals involving auto loans typically have a pro rata structure, which can create more risks for investors than the sequential pay structure in ABS transactions. Structures are also evolving, including a deal issued by a nonbank in partnership with a bank.
Regulators are pushing higher capital requirements on banks and looking favorably at credit-risk transfer transactions, helping to increase CRT issuance. Investor demand for bank CRT is also outstripping supply.
Huntington National Bank is in the market with its first auto ABS since 2016. The bank completed a credit-risk transfer transaction in late December involving a $3.0 billion pool of auto loans.