Donna M. Mitchell

Just one previous transaction had experienced a loss, the rating agency said. That was the ARI 2021-A, and that transaction experienced a loss of just 0.02%.

Issuance has been scant since DRIVE 2021-3 closed in November 2021. A lack of comparison deals from recent years makes it more difficult to forecast losses.

CCCRT 2024-1's pool is fragmented by obligor, with the top obligor, for instance, accounting for only 0.84% of the pool by balance.

The deal has an underwriting debt-service coverage ratio (DSCR) of at least 1.0, and Morningstar says the issuer reports a loan-to-value ratio of 81.00%.

The underlying loans are fixed rate, and they are financing a lower percentage of new vehicles, 22.8%. The loans also have a lower weighted average front-end loan-to-value (LTV) of 95.5%.

With a potential upsize to $1.3 billion, series 2024-1 features a potential floating-rate tranche benchmarked to the 30-day compounded Secured Overnight Financing Rate (SOFR).

The loans have a weighted average (WA) score of 781, the highest to date for the platform, and the deal also has several key positive credit highlights, including the lowest concentration of leases with terms greater than 36 months.

On a weighted average basis the loans have a 7.03% coupon and a remaining term of 4.9 years. All 24 loans are full-term, interest-only loans.

Some 630 residential mortgages provide the collateral for the deal, and that includes a substantial majority, 81.0%, that the rating agencies consider to be non-prime.

Most borrowers are small- and medium-sized companies that have a lot of incentive to service the debt from loans on property and casualty policies.

Credit strengths include a relatively fast amortization period, which can reduce exposure to loss risks, plus a collateral pool composed of frequently used, affordable smart phones.

The percentage of obligors in the pool with no credit history amounts to about 81.5%, and that is actually higher than prior transactions from the TAST program.

The VPFS trust offers two AAA-rated, class A tranches to investors, which have legal final maturity dates of May 1, 2029 and May 1, 2033.

Only loans that have made at least one payment were included in the collateral pool. At a weighted average (WA) 574, the pool's FICO score is slightly lower than that of recent pools.

Early pricing talk for the notes ranges from 26-28 basis points over the three-month interpolated yield curve on the A1 notes, putting it at par.

The portfolio of new auto leases will support notes with an expected base case loss proxy of 1.0%.

The transaction, secured by non-prime consumer loans, has a three-year revolving period with initial credit enhancement of 41.15% on the class A notes.

Its first of 2024, the collateral has an average loan balance of $368,691, a combined loan-to-value ratio of about 71.7%, a WA household income of $596,633, and liquid reserves of $172,562.

The underlying transactions pay on a pro-rata basis, but that can switch to sequential pay if performance triggers, which can be addressed, are breached.

In many ways the pool exhibits prime characteristics that are in line with other transactions from the MSRM platform, with an original FICO score of 772, an original loan-to-value ratio of 73.9%, and an original cumulative LTV of 74.2%.