Donna M. Mitchell

The collateral pool has some 2,950 assessments. They have a WA original term of 26.39 years, an assessment loan-to-value ratio of 6.26%, and a mortgage LTV of 44.50%.

The deal has total leverage of 7.81%, and par subordination of 40% on the AAA notes, with 14% on the BBB-rated notes. The notes have a weighted asset (WA) spread of 4.39%, excluding floors.

The transaction is a reset CLO, where the maximum weighted average life on the deal is reset to nine years, in that case, and the non-call period is reset to 2.2 years as of the refinancing date.

Initial overcollateralization is 11.3%, up from 8.50% of the initial collateral pool balance. Aside from that adjustment, target overcollateralization is 22.45%, compared to 13.00% on Westlake 2023-4 deal.

The mortgages have an average balance of $70,312, and an average coupon, on a weighted average (WA) basis, of 10.06%. Also on a WA basis, the borrowers have an original credit score of 739.

The deal will repay investors sequentially and through a shifting interest payment structure, according to ratings analysts from Moody's Investors Service. On a weighted average (WA) basis, the rating agency notes, the mortgages have a FICO score of 773.

Two trusts, the Sunnova Sol VI 2024-1 Issuer and the Sunnova Helios XIII, 2024-A will issue the notes, both with Atlas SP at the helm.

Time Investment Company, a first-time issuer, offers loans that mostly finance home water treatment systems, and its customers approach prime quality.

Although the notes are supported by non-prime assets, Banco Santander sits at the top of the transaction's ownership chain and has a stable long-term, senior unsecured debt rating of A2.

Kobalt's notes benefit from an overcollateralization level of 35%, and a debt service reserve account initially sized to cover six months of fees and interest on the notes.

The latest securitization coincides with the company announcing a partnership with U.S. Bank to provide personal loans to borrowers.

: A1 notes are expected to price at par, with a 13 basis-point spread over the 3-month, I-curve, and 44-77 basis points on the A2 through A4 notes, according to Asset Securitization Report's deal database.

DBRS assumes a base-case net cash flow of $15.8 million on the portfolio, about 28% lower than the issuer underwritten net cash flow amount of $21.9 million.

The deal has a relatively high exposure to commercial and industrial customers. Non-residential ratepayers account for 55% of its customers and about 47% of its revenue.

HBAN will service the transaction, with an A3 rating for long-term, senior unsecured debt, an A2 long-term credit assessment, and P-1 for short-term deposits.

The notes benefit from total hard target credit enhancement of 16.50%, with an estimated 4.02% in estimated excess spread per year.

Like a growing number of auto ABS deals, the pool has more battery electric vehicles, which represent 10.6% of the pool, compared with 3.8% on the previous deal, FCAOT REV 2023-1.

Consumer obligors represent a slight majority of the pool, 54%, while loans to commercial obligors represent the remaining 46%.

In the current pool, some 77.4% for all three pools are composed of tier A loans. This is slightly higher than the concentrations of tier A loans seen in several previous deals.

The plurality of the pool, 47%, having no credit score. After that, loans with scores that fall within 651-700 make up 16% of the pool.