KBRA assigns preliminary ratings to four classes of notes issued by Foursight Capital Automobile Receivables Trust 2022-2 (“FCRT 2022-2”), an asset backed security collateralized by a pool of auto loans.
FCRT 2022-2 represents the twelfth rated term ABS securitization for Foursight Capital LLC (“Foursight” or the “Company”). This transaction will be collateralized by approximately $232.76 million of mostly near-prime automobile loans secured by new and used vehicles. As of the June 30, 2022 statistical cutoff date, the weighted average credit score, interest rate, original term and remaining term were 639, 13.46%, 72 months and 63 months, respectively. The average loan amount was $22,386, and 90.88% of the loans were secured by used vehicles.
Credit enhancement for the notes consists of subordination (except for the Class D Notes), overcollateralization, a reserve account funded at closing and with each additional funding, and excess spread. Foursight will use the net proceeds from the issuance of the notes to pay down existing warehouse debt and for general operating purposes.
KBRA applied its Auto Loan ABS Global Rating Methodology, as well as Global Structured Finance Counterparty Methodology and ESG Global Rating Methodology as part of its analysis of the transaction’s underlying collateral pool, the proposed capital structure and Foursight’s historical static pool data. KBRA also conducted an operational assessment on the originator and servicer, as well as a review of the transaction’s legal structure and transaction documents. KBRA will also review the operative agreements and legal opinions for the transaction prior to closing.
- Auto Loan ABS Global Rating Methodology
- Global Structured Finance Counterparty Methodology
- ESG Global Rating Methodology
Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.
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.
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 pursuant to the Temporary Registration Regime. 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.
Scharon Gordon, Associate Director (Lead Analyst)
+1 (646) 731-1328
Melvin Zhou, CFA, Senior Director
+1 (646) 731-2412
Juhi Paranjape, Senior Analyst
+1 (646) 731-1252
Eric Neglia, Senior Managing Director (Rating Committee Chair)
+1 (646) 731-2456
Business Development Contact
Ted Burbage, Managing Director
+1 (646) 731-3325