The obligors' non-investment grade credit quality could present challenges to the timely repayment of notes. Yet PREF focused on high-revenue obligors backed by private equity sponsors.

The senior certificates get credit protection from a specified lockout period, when the subordinate classes will receive no unscheduled principal payments from the collateral mortgages.

Despite shifts in work habits after COVID-19, the office building was 93.8% leased at the start of the month.

Alternative income documentation underwriting accounted for 61.9% of the collateral, compared with 55.2% of the underlying loans in the previous deal.

Some recent performance deterioration in Volkswagen's managed portfolio vintages and securitization pools helped account for the increase in expected CNL losses.

The underlying assets have an original weighted average CLTV ratio of 70.4%. Assets with original CLTV ratios exceeding 80% represent 26.1% of the pool's balance.

The megabank's scale hasn't made it immune from the deposit wars that have crimped bank profits. But the "stabilization" that Wells Fargo flagged is a positive sign as other banks start reporting earnings.

The collateral has subprime credit attributes, the credit quality of the Westlake 2024-3 pool was incrementally better than the 2024-2 transaction, and notably better than the 2023-4 deal.

For one, the deal is expected to include only Japanese foreign obligors—historically strong and comparable to U.S. obligors—from the pool of 9,333 loans.

Since 2019, the portfolio has recorded five defaults—driven by bankruptcies—and each was resolved with a 100% recovery rate, Fitch said.