Auto ABS

Most of the notes, classes A1 through A4, have a total initial hard credit enhancement of 9.19%. Classes B, C and D have initial credit enhancement levels of 6.09%, 2.50% and 125%.

Known at BLAST 2024-3, the deal will issue five classes of notes with subprime auto loans serving as collateral, even if the pool is upsized to $680 million.

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

The deal structure also features a two-year revolving period, followed by a full-turbo amortization phase.

Notes are expected to experience a lifetime cumulative net losses of 5.10% on the higher FICO segments, down 0.35% from the series 2024-1 transaction.

The previous TALNT transactions, while still revolving, are still performing within the rating agency's expectation and net loses have remained below overcollateralization step-up trigger levels.

The assets have a weighted average (WA) FICO score of 801, including a minimum FICO of 660. Also on a WA basis, they have an original term of 74 months and a loan-to-value ratio of 86.8%.

Although used cars with borrowers of non-prime credit quality comprise the asset pool, it benefits from 9.00% in overcollateralization, subordination, a reserve account representing 1.00% of the pool balance, and excess spread.

Notes are expected to pay investors yields of 5.6% on the F1+ rated A1 notes to 5.6% on the A-rated C notes.

Another positive is that 87.3% of the leases are open-ended contracts, where the lessee bears the residual value risk of the vehicle when the leases mature.