Bank of Montreal

GFORT 2024-4 has an interest rate mismatch between the assets and the issued notes, which could reduce excess spread in the trust to the point where it is negative.

Used cars make up virtually American Credit Acceptance entire collateral pool, and while observers said recoveries in this asset group have been lower, the pool includes a higher percentage of better performing called collateral.

The trust employs a 24-month revolving period. There is an increased risk that collateral quality could deteriorate as the transaction evolves with new collateral.

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 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.

The pool has lower leverage compared to recent multi-borrower transactions rated by Fitch Ratings.

Slightly more than half of the borrowers in the collateral pool, 54.74%, have a FICO score that is higher than 740, and just 3.06% of the borrowers have a score below 661.

Full-term, interest-only loans account for 98.4% of the pool, while just two loans, or 1.6% are financed with an amortizing balloon. Analysts expect a cap rate of 9.19% capitalization rate to the underlying properties.

CEO Scott Thomson has said that changes to the bank's operations may include "end-to-end digitization" as well as centralization of its international unit, rather than running it on a "country by country by country" basis.

BMO is part of a trend-setting 2017 parade of Canadian auto lenders pooling their loan, lease and dealer floorplan receivables to the U.S. investor market.