Donna M. Mitchell

Prime quality auto loans secure the pool, although recent rapid origination growth put some strain on and deterioration on the notes in the 2022 and 2023.

Analysts' base-case assumption is for the pool to see net losses of about 8.25%, and the AAA rating stress assumption is for a 36.0% loss.

Spreads are expected to come in ranging from 15 basis points over the 3M I-Curve on the A1 notes to 160 bps over the benchmark on the class D notes.

The inclusion of reclassified HECMs was seen as a potential credit shortcoming, as a small number had exceptions that are potentially meaningful, such as an expired or unapproved appraisal.

Vervent acts backup servicer, which will first make pro rata payments to the administrator and servicers. Then CRB 2024-1G will repay interest and principal to investors on a senior-subordinate basis.

Diversification is just one of the deal's strengths, which includes higher excess spread than comparable floorplan transactions. The largest dealer accounts for 0.72% of the pool balance.

The structure calls for the trust to reallocate principal so that interest is paid on the AAA through AA rated notes before other principal distributions.

If the proportion of non-program vehicles increases, or if the proportion of vehicles from non-investment grade manufacturers increases, then credit enhancement levels will rise.

A vast majority of the pool, 86.9%, are contracted to be paid over 12 months. The remaining receivables are paid over six to 18 months.

The weighted average (WA) credit line was $10,874, which Moody's said is low relative to other large card issuers, and in fact 69.5% of the pool has a credit limit of $10,000 or more.

The collateral pool has 2,701 loans, which have a WA original term of 91 months, and an average balance of $76,737, and an average rate of 17.26%.

Stickier inflation and deteriorating budget estimates "could start to reverse the 40-year downtrend" of a key measure of how much bond investors are compensated for holding long-term debt.

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.