De Lage Landen Financial Services, a Rabobank subsidiary, is preparing to sponsor a $813.9 million mid-ticket equipment asset-backed securities deal, selling notes through the DLLMT 2024-1 trust.
The transaction is slated to issue notes through four tranches of class A notes. Ratings analysts at Moody's Ratings set a cumulative net loss expectation of 1.50%, an increase of 25 basis points from the level seen in the series DLLMT 2023-1. Yet a 1.50% residual value risk, down 1.50% from the prior transaction; and an Aaa loss of level 8.50%, an increase of 50 bps, puts expected losses at a Aaa is 10.0%, down 1.0% from the prior transaction.
Worsening performance in the managed portfolio and a shift to loans with longer original terms has resulted in an increase in expected losses before the residual value adjustment, Moody's said.
Slated to close in mid-August, the deal counts BofA Securities as the lead underwriter, Moody's said. Meanwhile, Asset Securitization Report's deal database notes that, along with Bank of America Merrill Lynch, JPMorgan Securities, RBC Capital Markets and Société Générale are managers. Yields on the notes are expected to range from 5.3% on the Prime-1/F1+ (Moody's and Fitch Ratings, respectively) to 5.0% on the Aaa/AAA A4 notes.
The collateral pool, composed of 10,189 loans and leases on equipment in the construction, transportation and industrial sectors, and the equipment is almost all new (92.7%). The contracts have an average balance of $79,879 and on a weighted average basis they have a remaining term of 44.7%.
De Lage Landen is an experienced servicer, with delinquencies and net losses of originated collateral staying at low levels since 2012, Moody's said. Also, the pool is diversified by industry and obligor. The top borrower and the top 10 borrowers account for 0.6% and 3.9% respectively, the rating agency said.
Credit enhancement includes a non-declining reserve of 0.5% of the initial pool balance, initial overcollateralization of 7.9%, building to 8.9%. Overall, the notes benefit from 8.4% in credit enhancement levels on the notes.
The notes, which have legal final maturity dates that range from Aug. 20, 2025 on the A1 notes through April 20, 2032, have ratings of Aaa/AAA from Moody's and Fitch.
