Donna M. Mitchell

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.

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.