Donna M. Mitchell

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%.

Small Business Act 7(a) loans will secure the notes. Interest will be repaid through subordination and interest will be repaid on a pro rata basis.

The market expects 5.2% yields on the AAA-rated tranche, slightly tighter than the 5.1% seen on the AAA-rated notes on an earlier deal, the Affirm Asset Securitization Trust, 2024-B series.

There is a three-year revolving period when the transaction will not make any principal payments to the notes unless an early amortization event occurs.

The deal comes about 18 months after Maritime Partners completed its securitization of Jones Act shipping business revenue, raising $235.3 million.

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.

Initially, the notes benefit from a reserve fund that equals 0.50% of the pool balance; overcollateralization, which represents 10.60% of the pool balance; and subordination.

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

Pivot-HASI's portfolio consists of 96 projects, most of which are community solar facilities. Single off-take power purchase agreements for commercial clients make up the rest.

The collateral pool is static, with no reinvestment period. There are no concentration limits, and the loans have a weighted average remaining term of 4.6 years.