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KBRA Places 10 Flagship Credit Auto Trust Ratings on Watch Downgrade and Maintains Watch Downgrade on Four Ratings

21 Oct 2024   |   New York

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KBRA has placed its ratings on 10 classes of notes issued from seven Flagship Credit Auto Trust (“FCAT”) subprime auto loan transactions on Watch Downgrade due to ongoing deterioration in collateral credit performance and, in the cases of FCAT 2022-1, FCAT 2022-2, FCAT 2022-3, FCAT 2022-4, FCAT 2023-2 and FCAT 2023-3, overcollateralization (“O/C”) that is declining and/or below the target level. Concurrently, KBRA is maintaining its Watch Downgrade status on the Class E notes of FCAT 2022-3, the Class E notes of FCAT 2023-2 and the Class D notes and Class E notes of FCAT 2023-3 where they were placed on August 2, 2024.

The table below displays the current capital structures and Watch Placements undertaken in this review. To date, the securities have received timely interest payments.

A 243,130 9,959 4.10% 1.79% 32.70% 97.11% AAA (sf) AAA (sf) -- B 27,770 27,770 100.00% 2.67% 24.80% 73.87% AA+ (sf) AA+ (sf) -- C 37,090 37,090 100.00% 3.06% 14.25% 42.83% A (sf) AA (sf) -- D 26,720 26,720 100.00% 3.64% 6.65% 20.47% BBB (sf) BBB (sf) -- E 15,120 15,120 100.00% 5.37% 2.35% 7.81% BB (sf) BB (sf) BB (sf) / Watch Downgrade A-1 75,400 - 0.00% 1.43% 34.85% -- K1+ (sf) WR -- A-2 189,300 - 0.00% 3.28% 34.85% -- AAA (sf) WR -- A-3 139,160 47,134 33.87% 4.03% 34.85% 80.59% AAA (sf) AAA (sf) -- B 45,150 45,150 100.00% 4.76% 27.45% 62.00% AA (sf) AA (sf) -- C 61,620 61,620 100.00% 5.30% 17.35% 36.63% A (sf) A (sf) A (sf) / Watch Downgrade D 49,410 49,410 100.00% 5.80% 9.25% 16.29% BBB (sf) BB (sf) BB (sf) / Watch Downgrade E 39,960 39,960 100.00% 8.20% 2.70% -0.16% BB (sf) CCC (sf) -- A-1 61,700 - 0.00% 2.95% 34.05% -- K1+ (sf) WR -- A-2 169,100 - 0.00% 4.06% 34.05% -- AAA (sf) WR -- A-3 135,860 60,002 44.16% 4.55% 34.05% 79.10% AAA (sf) AAA (sf) -- B 38,610 38,610 100.00% 4.69% 27.00% 63.27% AA+ (sf) AA+ (sf) -- C 59,150 59,150 100.00% 4.99% 16.20% 39.02% A (sf) A (sf) -- D 38,330 38,330 100.00% 6.00% 9.20% 23.30% BBB (sf) BBB (sf) BBB (sf) / Watch Downgrade E 37,250 37,250 100.00% 7.95% 2.40% 8.03% BB (sf) BB (sf) BB (sf) / Watch Downgrade A-1 48,200 - 0.00% 4.45% 37.70% -- K1+ (sf) WR -- A-2 165,000 5,704 3.46% 6.15% 37.70% 75.37% AAA (sf) AAA (sf) -- A-3 52,660 52,660 100.00% 6.32% 37.70% 75.37% AAA (sf) AAA (sf) -- B 28,140 28,140 100.00% 6.78% 31.00% 62.15% AA+ (sf) AA+ (sf) -- C 45,780 45,780 100.00% 7.71% 20.10% 40.64% A (sf) A (sf) -- D 25,620 25,620 100.00% 8.86% 14.00% 28.61% BBB (sf) BBB (sf) BBB (sf) / Watch Downgrade E 35,700 35,700 100.00% 12.66% 5.50% 11.83% BB (sf) BB (sf) BB (sf) / Watch Downgrade A-1 49,250 - 0.00% 4.92% 37.15% -- K1+ (sf) WR -- A-2 186,190 29,797 16.00% 5.38% 37.15% 69.22% AAA (sf) AAA (sf) -- A-3 55,080 55,080 100.00% 5.01% 37.15% 69.22% AAA (sf) AAA (sf) -- B 37,540 37,540 100.00% 5.05% 28.90% 54.83% AA+ (sf) AA+ (sf) -- C 49,140 49,140 100.00% 5.43% 18.10% 36.01% A (sf) A (sf) -- D 35,030 35,030 100.00% 6.46% 10.40% 22.58% BBB (sf) BBB (sf) -- E 34,810 34,810 100.00% 11.44% 2.75% 9.24% BB (sf) BB (sf) BB (sf) / Watch Downgrade A-1 42,000 - 0.00% 5.42% 37.15% -- K1+ (sf) WR -- A-2 188,000 57,650 30.67% 5.76% 37.15% 61.84% AAA (sf) AAA (sf) -- A-3 58,760 58,760 100.00% 5.22% 37.15% 61.84% AAA (sf) AAA (sf) -- B 37,770 37,770 100.00% 5.21% 28.80% 48.96% AA+ (sf) AA+ (sf) -- C 51,100 51,100 100.00% 5.81% 17.50% 31.53% A (sf) A (sf) A (sf) / Watch Downgrade D 36,180 36,180 100.00% 6.62% 9.50% 19.19% BBB (sf) BBB (sf) BBB (sf) / Watch Downgrade E 36,190 36,190 100.00% 10.89% 1.50% 6.85% BB (sf) BB (sf) BB (sf) / Watch Downgrade A-1 35,800 - 0.00% 5.64% 36.45% -- K1+ (sf) WR -- A-2 145,000 69,760 48.11% 5.89% 36.45% 55.16% AAA (sf) AAA (sf) -- A-3 46,260 46,260 100.00% 5.44% 36.45% 55.16% AAA (sf) AAA (sf) -- B 31,130 31,130 100.00% 5.64% 27.60% 42.76% AA+ (sf) AA+ (sf) -- C 41,330 41,330 100.00% 6.01% 15.85% 26.29% A+ (sf) A+ (sf) A+ (sf) / Watch Downgrade D 31,480 31,480 100.00% 6.58% 6.90% 13.74% BBB+ (sf) BBB+ (sf) BBB+ (sf) / Watch Downgrade E 19,000 19,000 100.00% 9.74% 1.50% 6.17% BB+ (sf) BB+ (sf) BB+ (sf) / Watch Downgrade (1) Data as of October 2024 distribution date. FCAT 2023-3 Current At Closing Current Ratings Watch Status FCAT 2022-3 FCAT 2023-2 FCAT 2022-1 FCAT 2022-2 FCAT 2022-4 FCAT 2023-1 Balance ($'000s) Credit Enhancement KBRA Ratings Transactions (1) Class At Closing Current Note Factor Coupon At Closing

Cumulative net losses and delinquencies for the transactions as of the October 2024 distribution date (September 2024 collection period) are depicted in the table below. Cumulative net losses in all of the transactions are above KBRA’s base case assumptions at comparable months of seasoning.

Transaction Months Seasoned Current CNL Current Delinquencies FCAT 2022-1 32 12.22% 21.12% FCAT 2022-2 29 15.27% 24.74% FCAT 2022-3 26 14.19% 24.36% FCAT 2022-4 23 12.02% 20.43% FCAT 2023-1 20 9.22% 18.36% FCAT 2023-2 17 8.95% 20.46% FCAT 2023-3 14 7.00% 18.80%

KBRA will continue to monitor the performance of the transactions and expects to resolve or update the Watch Placements within 90 days.

For additional information regarding a specific transaction, see the list below to access ratings, reports, and disclosures:

Related Publications

Methodologies

Disclosures

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider.

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