| Class | Size ($MM) | % of Pool | Enhancement | WAL | Coupon | Spread | Legal Final | S&P | Fitch |
|---|---|---|---|---|---|---|---|---|---|
| Class A-1retained | 278.0 | 19.2% | 11.75% | 0.83 | — | +46 I-curve | 2026-12-15 | — | — |
| Class A-2A | 184.5 | 12.7% | 11.75% | — | 4.57% | +46 I-curve | 2026-12-15 | AAA | AAA |
| Class A-2B | 280.0 | 19.3% | 11.75% | — | floating | +44 SOFR | 2026-12-15 | AAA | AAA |
| Class A-3 | 464.5 | 32.0% | 11.75% | 1.89 | 4.23% | +66 I-curve | 2028-02-15 | AAA | AAA |
| Class A-4 | 76.2 | 5.3% | 11.75% | 2.67 | 4.22% | +77 I-curve | 2030-06-15 | AAA | AAA |
Enhancement: subordinate notes, overcollateralization and reserve beneath the class, as a share of the pool net of any yield supplement (the adjusted pool, as the issuers and rating agencies measure it); the Class A notes share losses pari passu, so each carries the same figure. Spread: basis points over the benchmark named beside it, from the pricing term sheet — the interpolated curve for fixed-rate classes, 30-day average SOFR for floaters; the two are not comparable. A class marked retained was kept by the depositor, as the prospectus states.
| Sponsor | Mercedes-Benz Financial Services USA LLC |
|---|---|
| Servicer | Mercedes-Benz Financial Services USA LLC |
| Depositor / Transferor | Mercedes-Benz Trust Leasing 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 | Source | |
|---|---|---|---|
| Collateral (pool at cut-off) | |||
| Closing date | 2024-09-25 | 2024-05-23 | 424B5 |
| Pool balance | $1,450.0MM | $1,450.0MM | 424B5 |
| WA Lessee Credit Score | 786 | 787 | 424B5 |
| WA original term mo | 42.2 | 41.6 mo | 424B5 |
| WA Residual % MSRP | 44.3% | 45.0% | calc |
| ALG-marked residuals | 94.0% | 89.4% | calc |
| WA Securitization Value | $49,171 | $55,129 | calc |
| Top-3 model concentration | 22.0% | 21.3% | calc |
| Geo top-3 | CA 29.3% NY 13.8% FL 13.5% | CA 29.3% FL 14.8% NY 13.1% | 424B5 |
| Enhancement beneath the AAA term notes | |||
| Enhancement, initial | 11.75% | 12.50% | calc |
| Enhancement, target | 13.25% | 12.50% | calc |
| Subordinate notes | 0.0% | 0.0% | calc |
| Initial OC | 11.50% | 12.25% | 424B5 |
| Target OC | 13.00% | 12.25% | 424B5 |
| Reserve account | 0.25% | 0.25% | 424B5 |
| Pricing | |||
| AAA spread | +66 bps A-3 · 1.9y | +63 bps A-3 · 2.3y | FWP |
| Terms | |||
| Discount rate | 10.95% | 11.35% | 424B5 |
| Tranches | 5 | 5 | FWP |
Enhancement: subordinate notes, overcollateralization and the reserve account as a share of the cutoff-date pool — the losses the pool can absorb before the AAA term notes are touched. AAA spread: the pricing spread over the interpolated curve for the fixed-rate AAA class whose weighted-average life is nearest two years, with that class and its WAL shown; floating-rate classes are never used. Source: 424B5 = final prospectus, FWP = pricing term sheet, calc = derived from the above. Deltas are against the peer median; green means more protection, or a cheaper price for it, for the noteholder.
| MBALT 2024-B | NALT 2024-B | FCALT 2024-B | GMALT 2024-2 | WOALT 2024-A | Source | |
|---|---|---|---|---|---|---|
| Collateral (pool at cut-off) | ||||||
| Closing date | 2024-09-25 | 2024-07-24 | 2024-07-23 | 2024-05-16 | 2024-04-17 | 424B5 |
| Pool balance | $1,450.0MM | $1,383.3MM | $1,560.5MM | $1,521.8MM | $991.2MM | 424B5 |
| WA Lessee Credit Score | 786+25 | 758 | 764 | 781 | 747 | 424B5 |
| WA original term mo | 42.2+5.8 | 37.0 mo | 35.8 mo | 35.0 mo | 38.3 mo | 424B5 |
| WA Residual % MSRP | 44.3% | 52.5% | 49.2% | 53.1% | 57.4% | calc |
| ALG-marked residuals | 94.0% | 100.0% | 81.3% | 96.0% | 100.0% | calc |
| WA Securitization Value | $49,171 | $29,865 | $34,117 | $32,378 | $29,019 | calc |
| Top-3 model concentration | 22.0% | 51.8% | 52.2% | 37.9% | 34.1% | calc |
| 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% | 424B5 |
| Enhancement beneath the AAA term notes | ||||||
| Enhancement, initial | 11.75%−6.78pp | 17.90% | 20.15% | 19.15% | 17.00% | calc |
| Enhancement, target | 13.25% | — | 22.95% | 21.65% | 18.75% | calc |
| Subordinate notes | 0.0%−7.8pp | 4.3% | 12.9% | 10.9% | 4.7% | calc |
| Initial OC | 11.50% | 13.25% | 7.00% | 8.00% | 11.75% | 424B5 |
| Target OC | 13.00% | — | 9.80% | 10.50% | 13.50% | 424B5 |
| Reserve account | 0.25% | 0.40% | 0.25% | 0.25% | 0.50% | 424B5 |
| Pricing | ||||||
| AAA spread | +66 bps+4bps A-3 · 1.9y | +61 bps A-3 · 2.4y | +60 bps A-3 · 2.0y | +62 bps A-3 · 2.0y | +64 bps A-3 · 2.3y | FWP |
| Terms | ||||||
| Discount rate | 10.95% | 10.00% | 10.25% | 9.50% | 10.80% | 424B5 |
| Tranches | 5 | 6 | 8 | 8 | 6 | FWP |
Enhancement: subordinate notes, overcollateralization and the reserve account as a share of the cutoff-date pool — the losses the pool can absorb before the AAA term notes are touched. AAA spread: the pricing spread over the interpolated curve for the fixed-rate AAA class whose weighted-average life is nearest two years, with that class and its WAL shown; floating-rate classes are never used. Source: 424B5 = final prospectus, FWP = pricing term sheet, calc = derived from the above. Deltas are against the peer median; green means more protection, or a cheaper price for it, for the noteholder.
Anchor expectations in empirical base rates from the sponsor's prior series and FICO-tier peer set.