Continental Finance Credit Card ABS Master Trust, series 2024-A, is preparing to issue $400 million in asset-backed securities collateralized from a pool of 1.2 billion revolving, general-purpose consumer accounts with higher initial credit limits than the master trust's 2022-A series.
The consumer finance company sponsoring the deal, Continental Finance, serves consumers with predominantly non-prime credit scores and thin credit files. On a weighted average (WA) basis, Continental Finance customers have a Vantage Score of 595, and a WA annual income of $67,890, according to ratings analysts at Kroll Bond Rating Agency.
CFCCMT Series 2024- A will issue notes through five tranches of class A, B, C, D and E notes, KBRA said. All the notes have a Dec. 15, 2032 legal final maturity date, the rating agency said.
There is a three-year revolving period when the transaction will not make any principal payments to the notes unless an early amortization event occurs. Early amortization and trust early amortization circumstances include overcollateralization falling below 8.0%, a three-month average net excess spread percentage is less than zero percent or the deal's three-month principal payment rate falling below 4.0%, KBRA said.
Also, the trust will only contain accounts that are no more than 30 days delinquent as of the initial cut-off date, KBRA said.
Initially, the notes benefit from credit enhancement levels of 50.0%, 41.0%, 33.5%, 20.5%, and 8.0% to the A, B, C, D and E notes, respectively, the rating agency said. A reserve account starts off at 0% of the pool balance, but builds to a 1.0% target of the current aggregate receivables amount.
Also, the pool has high-yielding assets, which generates excess spread of about 38.4% before defaults, KBRA said.
KBRA intends to assign ratings of AA-, A-, BBB, BB and B to classes A, B, C, D and E, respectively.
