ABS

Set up as a forward flow deal, will allow Castlelake to buy Pagaya-originated loans for a period spanning one year, with an option to extend the agreement further.

The pool consists of 2,384 contracts that Commercial Credit Group (CCG) and Keystone Equipment Finance (KEF) have extended to a customer base in the transportation, construction and waste industries.

The change in tone was obvious on Monday, when SBA Communications Corp. postponed the repricing of a $2.3 billion term loan.

The transaction includes a three-year revolving period, when collection proceeds can be used to purchase new assets. The revolving period can be terminated in an Early Amortization Event.

The notes are expandable so that at any time during that revolving period the issuer can upsize the notes, to a maximum of $500 million in the deal.

The class A and class B notes benefit from credit enhancement levels of 12.50% and 8.75%, respectively, and the class A notes benefit from the subordination of class B certificates.

Compared with transactions from other issuers with similar collateral characteristics, the underlying pool has a relatively higher weighted average FICO score, Moody's Ratings says.

Fitch Ratings views home price values in the non-prime mortgage pool as being 11.3% above a long-term sustainable level.

Securitizations face fewer complications under the Corporate Transparency Act (CTA) but missed filings can incur stiff penalties.

High quality consumer loans enhance the collateral pool.

The inaugural sub-prime auto loan ABS is primarily backed by used car and light-truck/sports utility vehicle loans.

The securitization from the Boston-based fintech was "significantly oversubscribed," according to the company.

The deal benefits from excess spread, overcollateralization, and senior/subordinate enhancements.

Westgate will repay principal on a pro rata basis, if there are no performance-related trigger events. Should a performance-based trigger event happen, the transaction will switch to a sequential-pay structure.

Initially, the reserve account starts at 0.0%, but it will be funded to either 1.00%, 2.00% or 3.00%, depending on the level of the notes' three-month average excess spread.

The trust will repay on a pro rata basis each month until the collateral's aggregate principal value is 50% of the aggregate principal value of the collateral obligations at closing.

Class A notes benefit from total hard credit enhancement equal to about 31.50% of the portfolio balance, while enhancement levels range from 23.75% on the class B notes to 2.00% on the class G notes.

Much of that growth appears to have happened since the beginning of the year. JAAA's AUM was $5.3 billion at the end of 2023, suggesting a 94% increase.

All the notes benefit from total hard credit enhancements built into the structure, representing 3.5% of the pool balance, which includes an initial reserve of 1.0%. and non-declining 2.5% in overcollateralization.

The latest note sale is within the February securitization's two-year revolving period. It brings the total issuance to $1 billion and the notes have a maturity date of February 15, 2029.