ABS

Underlying variable-rate loans were underwritten to the Chicago Mercantile Exchange (CME) Term SOFR or the average SOFR. Also, SMB 2026-A will not hedge the rated notes or the student loans in the trust.

Many credit drivers are stable; agencies are being vigilant about several macroeconomic factors that might destabilize borrowers' ability to keep servicing their auto loan debt. One is student loan debt.

Total initial credit enhancement increased to 11.40% for the class D notes, from 11.25%. It also decreased for classes B, C and E, and levels on the class A notes stayed the same.

The deal includes some structural changes, such as subordination levels of 41.05%, 32.25%, 19.45% and 6.10% on classes A, B, C and D, respectively, and all those levels increased from the previous deal.

A reserve account is in place, although its percentage of the pool balance decreased compared with the previous deal. Also, pre-pricing excess spread was 13.89%.

Canyon Partners sees opportunities in corners of the mortgage, with tightened due diligence, and the auto ABS markets.

Transactions from 2024 are performing better than deals issued in 2023, and deals from 2025 and 2024 are performing well with in expectations.

While Westlake's customer accounts usually have credit bureau scores ranging from 500 to 700, the WLAKE 2026-1 collateral pool's non-zero weighted average credit bureau score was 620.

Initially, all the class A notes will benefit from total hard credit enhancement that represents 6.10% of the note balance, and the components give the notes a strong credit boost.

Discrepancies were ultimately flagged not by regulators or auditors, but by a junior analyst at Waterfall Asset Management, one of Tricolor's lenders

The indictment accuses Daniel Chu and other executives who had worked at Tricolor of operating the company through "systemic fraud."

The senior notes will build hard credit enhancement levels over time because classes B through G will be locked out of principal payments for eight months.

The trustee asked a Dallas federal judge to limit Chu's access to $15 million worth of insurance that normally kicks in when directors and officers of a company are facing legal problems related to their corporate duties.

Most of Merchant's Fleet Funding 2025-1's underlying leases are open-end, and the underlying assets have limited residual value risk.

Merchant's notes have several key credit strengths, including that vehicle fleet lease securitization pools have had very low delinquencies and losses historically.