| Class | Size ($MM) | % of Pool | Sub % | CPN / Spread | WAL | Legal Final | S&P | Fitch |
|---|---|---|---|---|---|---|---|---|
| Class A-1 | 278.0 | 21.7% | 78.3% | — | — | 2026-12-15 | — | — |
| Class A-2A | 184.5 | 14.4% | 64.0% | +46 bps | — | 2026-12-15 | — | — |
| Class A-2B | 280.0 | 21.8% | 42.1% | +44 bps SOFR | — | 2026-12-15 | — | — |
| Class A-3 | 464.5 | 36.2% | 5.9% | +66 bps | 1.89 | 2028-02-15 | AAA | AAA |
| Class A-4 | 76.2 | 5.9% | 0.0% | +77 bps | 2.67 | 2030-06-15 | AAA | AAA |
| Sponsor | Mercedes-Benz Financial Services USA LLC |
|---|---|
| Servicer | Mercedes-Benz Financial Services USA LLC |
| Depositor / Transferor | Mercedes-Benz Financial Services USA LLC |
| Indenture Trustee | U.S. Bank Trust Company, National Association |
| Owner Trustee | Wilmington Trust, National Association |
| Asset Rep. Reviewer | Clayton Fixed Income Services LLC |
| Underwriters | BNP Paribas Securities, BofA Securities, MUFG Securities Americas, Citigroup Global Markets, SMBC Nikko Securities |
| MBALT 2024-B | MBALT 2024-A | |
|---|---|---|
| Collateral (pool at cut-off) | ||
| Closing date | 2024-09-25 | 2024-05-23 |
| Pool balance | $1,135.8MM | $1,161.6MM |
| WA Lessee Credit Score | 786 | 787 |
| WA original term mo | 42.2 | 41.6 mo |
| WA Residual % MSRP | 44.3% | 45.0% |
| ALG-marked residuals | 94.0% | 89.4% |
| WA Securitization Value | $41,735 | $44,141 |
| Top-3 model concentration | 21.6% | 21.7% |
| Geo top-3 | CA 29.3% NY 13.8% FL 13.5% | CA 29.3% FL 14.8% NY 13.1% |
| Structure (at issuance) | ||
| AAA spread | +66 bps | +44 bps |
| AAA % of pool | 42.1% | 87.8% |
| Initial OC | 11.50% | 12.25% |
| Target OC | 13.00% | 12.25% |
| Subordination below AAA | 0.0% | 0.0% |
| Total Hard CE (Initial) | 11.75% | 12.50% |
| Total Hard CE (Target) | 13.25% | 12.50% |
| Discount rate | 10.95% | 11.35% |
| Tranches | 5 | 5 |
| MBALT 2024-B | NALT 2024-B | FCALT 2024-B | GMALT 2024-2 | WOALT 2024-A | |
|---|---|---|---|---|---|
| Collateral (pool at cut-off) | |||||
| Closing date | 2024-09-25 | 2024-07-24 | 2024-07-23 | 2024-05-16 | 2024-04-17 |
| Pool balance | $1,135.8MM | $1,601.0MM | $1,560.5MM | $1,654.1MM | — |
| WA Lessee Credit Score | 786+25 | 758 | 764 | 781 | 747 |
| WA original term mo | 42.2+5.8 | 37.0 mo | 35.8 mo | 35.0 mo | 38.3 mo |
| WA Residual % MSRP | 44.3% | 52.5% | 49.2% | 53.1% | 54.5% |
| ALG-marked residuals | 94.0% | 100.0% | 81.3% | 96.0% | — |
| WA Securitization Value | $41,735 | $27,991 | $32,312 | $29,527 | $991,177,615 |
| Top-3 model concentration | 21.6% | 51.8% | 52.8% | 38.5% | — |
| Geo top-3 | CA 29.3% NY 13.8% FL 13.5% | FL 11.6% CA 11.6% TX 7.3% | MI 38.7% NY 11.6% CA 6.7% | MI 29.3% NY 16.1% FL 8.5% | FL 62.5% NC 15.7% GA 7.7% |
| Structure (at issuance) | |||||
| AAA spread | +66 bps+24bps | +41 bps | +40 bps | +42 bps | +43 bps |
| AAA % of pool | 42.1%−25.6pp | 63.4% | 72.2% | 63.2% | 81.8% |
| Initial OC | 11.50% | 13.25% | 7.00% | 8.00% | — |
| Target OC | 13.00% | — | 9.80% | 10.50% | — |
| Subordination below AAA | 0.0%−7.7pp | 3.7% | 12.9% | 10.0% | 5.4% |
| Total Hard CE (Initial) | 11.75% | 18.55% | 22.65% | 19.37% | — |
| Total Hard CE (Target) | 13.25% | — | 25.45% | 21.87% | — |
| Discount rate | 10.95% | 10.00% | 10.25% | 9.50% | — |
| Tranches | 5 | 6 | 8 | 8 | 6 |
Anchor expectations in empirical base rates from the sponsor's prior series and FICO-tier peer set.