Donna M. Mitchell

The $120 million deal is larger than the inaugural transaction from 2023, and includes expandable notes, plus a 36-month revolving period.

The trust features early amortization event triggers, including excess spread percentages falling below the required amount for that period or principal payment rates falling below 10%.

Underlying borrowers have accumulated significant amount of home equity in their homes, to a weighted average (WA) original cumulative loan-to-value (CLTV) ratio of 69.5%.

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.

The collateral has subprime credit attributes, the credit quality of the Westlake 2024-3 pool was incrementally better than the 2024-2 transaction, and notably better than the 2023-4 deal.

Marine and recreational vehicles account for 64.7% of the pool, with home improvement accounting for the rest. The A, B, C and D notes benefit from total initial hard credit enhancement levels of 37.7%, 27.2%, 17.5% and 7.5%, respectively.

The bonds exist with several redemption provisions, including the first maturity date, a special redemption option from excess revenues, and a special mandatory redemption from excess revenues.

This is the inaugural deal from Cherry Technology, formerly known as Mason Finance. Its capital structure includes a 24-month revolving period and a strong contingent of credit enhancements.

All the three senior class A notes benefit from 60.95% in total initial hard credit enhancement. A reserve fund representing 1.00% of the total balance helps provide the credit enhancement to the notes.

For one, the deal is expected to include only Japanese foreign obligors—historically strong and comparable to U.S. obligors—from the pool of 9,333 loans.

This is ECMC's first securitization of a pool of rehabilitated loans since 2021.