Auto ABS

The 144A deals close within a week of each other and both have eight-year maturities. Series 2024-P3 has four class A tranches compared with 2024-N3's three class As.

The notes benefit from total initial hard credit enhancement that represents 8.0% of the pool balance on the class A notes. Classes B, C, D and N benefit from credit enhancement levels representing 5.40%, 2.20%, 0.50% and 0.25%, respectively.

The transaction has a nine-month revolving period. All of the leases are closed end, where the issuer bears the residual value risk, and more of them can be added during that period.

The concentration of electric vehicles also reached 17.8%, an increase from 15.3% in the 2024-B deal.

It is the third deal from the WOART program for the year, and could be upsized to $1.2 billion.

Total initial credit enhancement includes over-collateralization representing 8.95% of the initial pool balance, which is expected to build to a targeted level of 13.95%.

The transaction's notes have increased excess spread, as well as some structural optimization by the issuer, S&P said, which helps account for lower total initial hard credit enhancement levels for all classes of notes.

Yields are expected to range from 5.44% on the P-1 (Moody's) and A-1+ (S&P Global Ratings) notes to 5.74% on the notes rated Baa1 (Moody's) and A+ (S&P).

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.

Yields on the notes are expected to range between 6.36% on the AA- and Aa2 notes--as rated by KBRA and Moody's Ratings, respectively–to 10.08% on the BB notes, as rated by KBRA.

The pool luxury vehicle loans, which represent 5.4% of the pool, an increase from 4.0% from the level seen in VEROS 2023-1. The luxury vehicles had an average balance of $227,457, compared with $17,681 for all the loans in the pool.