ABS

Only loans from the Achieve Personal Loan product line are in the current collateral pool.

Overcollateralization, subordination of the junior notes, a non-declining cash reserve account and excess spread provide credit enhancement to the notes.

There is no subordination for the class A notes, but managers opted for much more overcollateralization, which stands at 18.0% as a percentage of the initial pool balance.

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.

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.