Donna M. Mitchell

The notes can withstand breakeven default levels of 73.38%, 57.8%, 40.71% and 34.17%, respectively. Those levels surpass the loss multiples of its expected 20.7% in cumulative gross defaults.

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.

Further, the assets have a loan-to-value ratio of about 52%, with a cashflow that can withstand large haircuts.

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.

The collateral pool is the largest in a year from the securitization program, whose yields are expected to range from 4.75% to 5.35%.

All the notes, which are fixed rate, have an Aug. 18, 2031 final maturity date, DBRS said. The transaction will repay investors sequentially.

The class A and B notes will receive cash distributions to reduce the interest payment amount and any interest carryforward. Principal payments will follow interest payments.

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%.

Credit enhancement on the notes includes 3.5% in excess spread, subordination of the class M notes equaling 3.%, and a liquidity reserve that will equal 0.45% of the closing PACE assets balance.

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.