ABS

GFORT 2024-4 has an interest rate mismatch between the assets and the issued notes, which could reduce excess spread in the trust to the point where it is negative.

Some recent performance deterioration in Volkswagen's managed portfolio vintages and securitization pools helped account for the increase in expected CNL losses.

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%.

Total initial hard credit enhancement decreased compared with GCAR 2024-3, subordination for class A notes was unchanged at 48.2%.

All AHART 2024-1's assets are backed by a pool of prime-quality auto loans and retail installment sales contracts, which the lender originated either directly or through relationships with franchised motor dealer channels.

Any risk of mis-matching of fixed and floating rates among the assets and transaction notes is minimal. Between 80%-90% of the notes pay a fixed rate, while 78% of the loans are fixed rate.

PAID 2024-PT1 follows a repayment sequence where funds are released to certificate holders after the control class has been paid down to maintain required levels of overcollateralization to the deal.

The fixed-rate notes are expected to yield 4.90% on the A1 notes through 5.29% on the class D notes.

The current pool has the largest proportion of longer-term loans, at 49.8%. While this is a concern for analysts, the rest of the industry has seen this kind of increase.

The senior tranche will sell a mix of floating and fixed-rate notes, benefiting 22.5% in credit support. The class B notes are covered to a level of 15.0% and the tranche sells all fixed-rate notes.

Consumer credit is deteriorating, but structured credit is well suited to weather the slide.

The note balance can be upsized to $1.2 billion in auto ABS, according to Moody's Ratings, and the pool size can be increased to 26,514 contracts.

Notes benefit from overcollateralization of 2.60% of the initial pool. Subordination and a sequential payment priority will cause enhancement to be built up in the transaction, with overcollateralization reaching 4.5%.

In a potential credit drawback, TALT 2024-B has a residual value setting of 51.3% of the manufacturer's price. It was less than 50% in all the 2023 lease securitizations.