Prime auto ABS

Moody's says its cumulative net loss expectation for the PFAST 2024-1 pool is 0.70%, and puts its losses on the Aaa stress level at 4.75%.

Slated to close later this week, the transaction can be upsized to $1.6 billion.

The current COPAR transaction has a FICO score of 782, an increase from 780 from the COPAR 2023-2, and loans with an original term greater than 72 months, as a percentage of the pool balance was 19.24%, a decrease from 22.9%.

Moody's says it expects a 0.60% loss on the 2024-A pool, with a 3.0% loss at the Aaa stress, and the notes have legal final maturity dates ranging from July 15, 2025 through Nov. 17, 2031.

: A1 notes are expected to price at par, with a 13 basis-point spread over the 3-month, I-curve, and 44-77 basis points on the A2 through A4 notes, according to Asset Securitization Report's deal database.

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.

The deal could be upsized to $1.3 billion in issuance, and benefit from several layers of credit enhancement, including a reserve fund, excess spread and overcollateralization.

BAAT's four class A tranches have initial hard credit enhancement representing 3.75% of the pool balance, made up of subordination, 2.50%; a reserve account, 0.25%, and 1.00% in initial (and target) overcollateralization.

The potentially upsized deal could see a cumulative net loss (CNL) proxy of 1.20%, and all of the notes have the same initial hard credit enhancement level of 3.25%.

Total initial hard credit enhancements to vary, however, with levels of 8.85% and 6.85% on the class A and B notes, respectively.