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KBRA Places Ratings on Flagship Credit Auto Trust 2022-3, Flagship Credit Auto Trust 2023-2 and Flagship Credit Auto Trust 2023-3 on Watch Downgrade

2 Aug 2024   |   New York

Contacts

KBRA places the ratings of the Class E notes of Flagship Credit Auto Trust 2022-3 (“FCAT 2022-3”) and Flagship Credit Auto Trust 2023-2 (“FCAT 2023-2”), and the Class D and Class E notes of Flagship Credit Auto Trust 2023-3 (“FCAT 2023-3”) on Watch Downgrade due to the ongoing deterioration in collateral credit performance evidenced by increased cumulative net loss volumes and FCAT 2022-3 experiencing a decrease in overcollateralization (“O/C”).

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

Credit Enhancement A-1 61,700 0 0.00% 2.95% 34.05% -- K1+ (sf) WR -- A-2 169,100 0 0.00% 4.06% 34.05% -- AAA (sf) WR -- A-3 135,860 84,929 62.51% 4.55% 34.05% 72.24% AAA (sf) AAA (sf) -- B 38,610 38,610 100.00% 4.69% 27.00% 58.11% AA+ (sf) AA+ (sf) -- C 59,150 59,150 100.00% 4.99% 16.20% 36.48% A (sf) A (sf) -- D 38,330 38,330 100.00% 6.00% 9.20% 22.46% BBB (sf) BBB (sf) -- E 37,250 37,250 100.00% 7.95% 2.40% 8.83% BB (sf) BB (sf) BB (sf) / Watch Downgrade A-1 42,000 0 0.00% 5.42% 37.15% -- K1+ (sf) WR -- A-2 188,000 86,396 45.96% 5.76% 37.15% 56.58% AAA (sf) AAA (sf) -- A-3 58,760 58,760 100.00% 5.22% 37.15% 56.58% AAA (sf) AAA (sf) -- B 37,770 37,770 100.00% 5.21% 28.80% 44.92% AA+ (sf) AA+ (sf) -- C 51,100 51,100 100.00% 5.81% 17.50% 29.15% A (sf) A (sf) -- D 36,180 36,180 100.00% 6.62% 9.50% 17.98% BBB (sf) BBB (sf) -- E 36,190 36,190 100.00% 10.89% 1.50% 6.81% BB (sf) BB (sf) BB (sf) / Watch Downgrade A-1 35,800 0 0.00% 5.64% 36.45% -- K1+ (sf) WR -- A-2 145,000 94,171 64.95% 5.89% 36.45% 50.54% AAA (sf) AAA (sf) -- A-3 46,260 46,260 100.00% 5.44% 36.45% 50.54% AAA (sf) AAA (sf) -- B 31,130 31,130 100.00% 5.64% 27.60% 39.29% AA+ (sf) AA+ (sf) -- C 41,330 41,330 100.00% 6.01% 15.85% 24.36% A+ (sf) A+ (sf) -- D 31,480 31,480 100.00% 6.58% 6.90% 12.99% BBB+ (sf) BBB+ (sf) BBB+ (sf) / Watch Downgrade E 19,000 19,000 100.00% 9.74% 1.50% 6.12% BB+ (sf) BB+ (sf) BB+ (sf) / Watch Downgrade (1) Data as of July 2024 distribution date. Balance ($'000s) KBRA Ratings Transactions (1) Class At Closing Current Note Factor Coupon At Closing FCAT 2023-3 Current At Closing From To FCAT 2022-3 FCAT 2023-2
Source:

As of the July 2024 distribution date (June 2024 collection period), the cumulative net loss for FCAT 2022-3, FCAT 2023-2 and FCAT 2023-3 were 12.54%, 6.91% and 4.96% respectively which are all above KBRA’s base case CNL assumptions at comparable months of seasoning. The current delinquency levels for FCAT 2022-3, FCAT 2023-2 and FCAT 2023-3 were 21.49%, 18.84% and 14.91% respectively and are depicted in the below charts.

Cumulative Net Losses
12.54% 6.91% 4.96% 0% 2% 4% 6% 8% 10% 12% 14% 1 3 5 7 9 11 13 15 17 19 21 23 25 FCAT 2022-3 FCAT 2023-2 FCAT 2023-3
Source:
Delinquencies
21.49% 18.84% 14.91% 0% 5% 10% 15% 20% 25% 1 3 5 7 9 11 13 15 17 19 21 23 25 FCAT 2022-3 FCAT 2023-2 FCAT 2023-3
Source:

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

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.

Doc ID: 1005277

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