Auto ABS

The cumulative net loss expectation is unchanged from CPSART 2023-D, even after considering the performance record of certain outstanding CPS program note series, like 2022 and 2023 in particular.

Almost half of the loans, 49.6% did not have an associated FICO score, and the pool had a non-zero weighted average (WA) FICO score of 704.

While the deal has a lot of positive characteristics, Moody's noted that the managed portfolio and 2022 and 2023 origination vintages are showing some deteriorating performance.

BLAST 2024-1 collateral pool exhibits a few key differences from BLAST 2023-1, such as a higher WA interest rate, at 23.4%, compared with 22.5%.

The trust will repay principal to investors sequentially, so that non-declining enhancement will grow as a percentage of remaining assets as the pool amortizes.

SFS' legacy company, First Investors Financial Services, securitized its first of 34 auto ABS deals in 2000, giving the SFS management team its experience in auto financing.

The reasons for BofA's success vary, but in a year when the auto ABS sector experienced a surge in issuance in the second half of the year, several banks appeared to benefit.

Over-collateralization in the form of vehicles provides most of the deal's credit enhancement on the notes, which also has a higher concentration limit for Teslas.

Throughout the year, auto ABS was a stronger performer than other consumer ABS asset classes, with $141.1 billion in new securitization business.

This is the program's third transaction, according to ASR's deal database. The notes have about 8.57% in credit support for all five tranches, which are all class A notes.