KBRA Assigns Ratings to Tricolor Auto Securitization Trust 2024-1
31 Jan 2024 | New York
KBRA assigns ratings to six classes of notes issued by Tricolor Auto Securitization Trust 2024-1 (“TAST 2024-1”), a subprime auto loan ABS transaction.
TAST 2024-1 issued six classes of notes totaling $271.32 million, where credit enhancement consists of overcollateralization, subordination of junior note classes (except for the Class F notes), a cash reserve account, and excess spread. The transaction has initial credit enhancement ranging from 50.65% for the Class A notes to 24.75% for the Class F notes. As of the November 30, 2023 final cut-off date, the notes are collateralized by a pool of fixed rate installment automobile loans with a non-zero weighted average FICO score of 602, an average principal balance of $25,556, and a weighted average APR of 15.66%.
TAST 2024-1 represents the fifth rated ABS securitization for Tricolor Auto Acceptance, LLC (“Tricolor” or the “Company”). The Company has closed five unrated securitizations for a total of approximately $545 million as well as four rated securitizations for a total of approximately $772.1 million. TAST 2024-1 represents Tricolor Auto Acceptance, LLC’s (“Tricolor” or the “Company”) third ABS aligned with the 2021 Social Bond Principles administered by the International Capital Market Association (“ICMA”), as the Issuer intends to utilize the proceeds of the issuance for an eligible social project that provides or promotes access to essential services and/or socioeconomic advancement and empowerment.
KBRA applied its Auto Loan ABS Global Rating Methodology, as well as its Global Structured Finance Counterparty Methodology and ESG Global Rating Methodology as part of its analysis of the static pool data and the underlying collateral pool and stressed the capital structure based upon its stress case cash flow assumptions. KBRA considered its operational review of Tricolor, as well as several business updates with the Company since that time. Operative agreements and legal opinions will be reviewed prior to closing.
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