A pool of unsecured consumer loans will secure a portfolio of $157.5 million in asset-backed securities coming to market from the ACHV ABS Trust 2023-4CP.
Atlas SP Securities, Jeffries & Company, and SunTrust Robinson Humphrey Capital Markets are managers on the deal, which has an October 27 closing date, according to the Asset Securitization Report's deal database. The trust will issue notes through five tranches, all of which are benchmarked to the three-month interpolated yield curve. Pricing guidance ranges from 140 to 150 basis points over the three-month I-Curve on the class A notes to 725 bps over the benchmark on the class E notes, according to the ASR database.
Proceeds from the sale of the notes will purchase loans and related rights from FREED ABS Master Depositor Trust, plus repay related transaction expenses, KBRA said Ultimately the loans were originated through Freedom Financial Asset Management, part of the Freedom Financial Network based in San Mateo, Calif.
Ratings analysts from DBRS Morningstar and Kroll Bond Rating Agency expect to assign ratings to the notes.
This transaction has the smallest pool balance from the ACHV program this year, according to rating agencies. DBRS notes that the transaction has an aggregate current principal balance of $177.8 million. The collateral pool contains 14,141 loans, with an average current loan size of $12,577. On a weighted average (WA) basis the loans have an original term of 48 months, and 39 remaining, ratings analysts said. On a non-zero WA basis, the loans have an annual percentage rate (APR) of 26.01%, DBRS said, adding that the underlying loans have a WA original FICO score is 565.
ACHV ABS Trust 2023-4CP will repay investors through a sequential-pay structure, where the class A note holders will get principal payments in full before holders of the more junior notes will begin to receive principal. All of the notes have the same final maturity date, Nov. 25, 2030.
In other collateral characteristics, the pool appears to be well diversified by the state where obligors are located. California has the largest ratio of borrowers,13.9%, while Texas and Florida have the second and third largest percentages of the pool balance, 12.32% and 9.45%, respectively, according to KBRA.
Improved recovery trends on consumer loans prompted KBRA to boost its assumptions on the notes' recovery rates, it said.
KBRA intends to assign ratings of 'AAA' to the class A notes; 'AA' to the class B notes; 'A' to the class C notes; and 'BBB' and 'BB' to classes D and E, respectively. DBRS says it will assign ratings to three classes of notes: 'AAA', 'AA' and 'A' to classes A, B, and C.
