Donna M. Mitchell

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%.

The underlying leases have an average contract balance of $18,129. The top borrower accounts for 0.8% of the pool balance, while the top 10 borrowers represent 4.2%.

The collateral has a high principal payment rate, 63.1%, for the eleven months ended November 2023. It also had payment rates of 66.7% and 59.0% for the twelve-month averages for 2022 and 2021, respectively.

The class A notes to price between 150-160 basis points over the three-month interpolated yield curve. The class C notes might also price within a range of 300-325 bps over the 3M I-Curve.

The AAA ratings also stem from a 5.5% base-case loss rate, a 22.5% base-case payment rate, a 15.0% base-case yield, and a 3.0% purchase rate assumption.

FCALT 2024A has a lower ratio of leases with an original term of 48 months, at 8.17%, compared with 6.85% on FCALT 2023B.

A substantial majority of obligors have investment-grade credit qualities and that, payments from the U.S. government account for the largest concentration, 26.75%.

Credit to the notes is bolstered by a cash reserve account, funded at closing, that equals 1.00% of the initial discounted contract balance, as well as annual excess spread amounting to 1.76%

The cumulative net loss expectation is unchanged from CPSART 2023-D, even after considering the performance record of certain outstanding CPS program note series, like 2022 and 2023 in particular.