Auto ABS

Only loans that have made at least one payment were included in the collateral pool. At a weighted average (WA) 574, the pool's FICO score is slightly lower than that of recent pools.

The portfolio of new auto leases will support notes with an expected base case loss proxy of 1.0%.

The underlying transactions pay on a pro-rata basis, but that can switch to sequential pay if performance triggers, which can be addressed, are breached.

FCALT 2024A has a lower ratio of leases with an original term of 48 months, at 8.17%, compared with 6.85% on FCALT 2023B.

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.