Auto ABS

The underlying loans are fixed rate, and they are financing a lower percentage of new vehicles, 22.8%. The loans also have a lower weighted average front-end loan-to-value (LTV) of 95.5%.

With a potential upsize to $1.3 billion, series 2024-1 features a potential floating-rate tranche benchmarked to the 30-day compounded Secured Overnight Financing Rate (SOFR).

The loans have a weighted average (WA) score of 781, the highest to date for the platform, and the deal also has several key positive credit highlights, including the lowest concentration of leases with terms greater than 36 months.

The percentage of obligors in the pool with no credit history amounts to about 81.5%, and that is actually higher than prior transactions from the TAST program.

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.

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.

COVID-19 largesse enabled subprime borrowers to pay down debt and boost credit scores. Then interest rates rocketed up in 2022, and new subprime auto borrowers felt the pinch.

Credit enhancement consists of overcollateralization, excess spread of about 6.09%, subordination (except for the class D and class N notes), and a reserve account.