Barclays

Second-lien loans make up virtually the entire pool, which carries some risk of poor recovery rates. Yet 78% of the pool is also considered safe-harbor mortgages.

Excess cash flow will pay timely interest and protect against realized losses in the rated certificates before being paid out to the class X notes.

Servicers—Citadel, NewRez and Selene Finance—will not advance any delinquent principal and interest. Eventually, that should reduce loss severities to the deal.

Amortization will start after the deal's two-year revolving period, when the trust will deposit revenue including collections and upgrades into the acquisition account.

Affirm grade A loans account for 34.8% of the pool and have historically produced the lowest defaults in the sponsor's managed portfolios.

Aside from the assets' credit quality, the bank's 60 years of experience originating and servicing auto loans is a boost to the notes' credit.

Atlas SP structures deal with a "meaningful" concentration of investment properties. Still, it meets investor demand.

The market expects 5.2% yields on the AAA-rated tranche, slightly tighter than the 5.1% seen on the AAA-rated notes on an earlier deal, the Affirm Asset Securitization Trust, 2024-B series.

Slated to close later this week, the transaction can be upsized to $1.6 billion.

The assets are composed of seasoned mortgage loans financing a range of residential property types.