Donna M. Mitchell

Almost half of the loans, 49.6% did not have an associated FICO score, and the pool had a non-zero weighted average (WA) FICO score of 704.

While the deal has a lot of positive characteristics, Moody's noted that the managed portfolio and 2022 and 2023 origination vintages are showing some deteriorating performance.

BLAST 2024-1 collateral pool exhibits a few key differences from BLAST 2023-1, such as a higher WA interest rate, at 23.4%, compared with 22.5%.

The A1 and a2 notes receive interest on a pro rata basis, while, the A1 notes receive ultimate principal before the A2 notes, unless certain conditions are met.

The coupons on the class A notes steps up after four years by 100 basis points, but the coupons are subject to a net weighted average coupon (WAC) cap.

The trust will repay principal to investors sequentially, so that non-declining enhancement will grow as a percentage of remaining assets as the pool amortizes.

SFS' legacy company, First Investors Financial Services, securitized its first of 34 auto ABS deals in 2000, giving the SFS management team its experience in auto financing.

The sponsor sourced the mortgage collateral from a range of originators, but none of them accounts for more than 10% of the pool balance.

The reasons for BofA's success vary, but in a year when the auto ABS sector experienced a surge in issuance in the second half of the year, several banks appeared to benefit.

Over-collateralization in the form of vehicles provides most of the deal's credit enhancement on the notes, which also has a higher concentration limit for Teslas.

Throughout the year, auto ABS was a stronger performer than other consumer ABS asset classes, with $141.1 billion in new securitization business.

The synthetic securitization leaves the assets on Deutsche Bank's portfolio—the originator and arranger—making the investor syndicate a critical risk counterparty.

This is the program's third transaction, according to ASR's deal database. The notes have about 8.57% in credit support for all five tranches, which are all class A notes.

The trust distributes scheduled principal on a pro rata basis. There is also a specified lockout period during which the subordinate classes do not receive any unscheduled principal.

For the most part the underlying loans have very low default rates. Almost the entire pool, 91.8%, is clean current, and appear to have performed well into the period where they were expected to experience greater losses.

Classes A, B, C, D, E, and F have initial credit enhancement levels of 67.25%, 49.00%, 33.50%, 17.90%, 8.55% and 1.50%, respectively.

Retail properties account for 44.1% of the pool, the collateral pool's largest portion. Multifamily, lodging office and other properties account for 12.5%, 11.5%, 8.9% and 23.0%, respectively.

It is the first securitization for the company, and represents only a subset of the types of loans that the company has originated.

Some 73.1% of the loans had disqualifying deficiencies related to origination or documentation guidelines, which prevented Fannie Mae or Freddie Mac from purchasing them.

Loans had a FICO score of 753 on a WA basis, an original term of 87 months, an average original balance of about $16,249 and a WA annual percentage rate of about 11.43%.