Exeter is back with another securitization of revenue from a pool of subprime auto loan receivables—mostly on used vehicles—this time looking to raise $622.78 million in notes.
The deal, known as Exeter Automobile Receivables Trust, 2023-4, will issue notes and repay investors through a senior-subordinate structure. The A-1, A-2 and A-3 notes have 61.3% in hard credit enhancement and haircut to excess spread. The classes B, C, D and E notes have 53.4%, 44.4%, 33.5% and 26.8%, respectively, in credit support, according to ratings analysts at S&P Global Ratings.
The credit support levels provide coverage of at least 2.70x, 2.40x, 2.00x, 1.50x and 1.20x of its cumulative net loss of 22,00% for classes A, B, C, D and E, respectively, S&P said.
The levels of initial hard credit enhancement had dropped on the class A notes to 61.90%. For the classes B, C and D notes, initial hard credit enhancement is 48.20%, 34.75%, and 21.55%, respectively, up from 47.75%, 34.65%, and 21.30%, respectively. Class E notes remained unchanged at 9.35%, the rating agency said.
A reserve fund helps provide credit enhancement to the notes, and are at a level of 1.50%, down from 1.75% on EART 2023-3. As for excess spread, that came in at 11.16%, also a decrease compared with 11.39% on the EART 2023-3, according to S&P.
In terms of collateral characteristics, some 31,161 receivables make up the pool, the rating agency said, which has a principal balance of $19,784, according to S&P. CarMax accounts for about 28.37% of the loans in the pool, the rating agency said.
The underlying auto loan contracts have an average non-zero FICO score of 577, up slightly from 575, compared with the EART 2023-3 transaction. Loans that had an original maturity of 73-78 had increased slightly to 40% of the pool, from 39.17%.
