Returning for its second securitization of 2022, and its twelfth auto securitization overall, the Foursight Capital Automobile Receivables Trust is set to raise some $209.1 million in asset-backed securities (ABS), in a deal that will have an improved mix of prime collateral, and so-called Greenlight loans.
Greenlight loans refer to certain loans, mostly in the subprime and near-prime segments, for which Foursight has purchased insurance policies, to cover any deficiency balance on the defaulted contracts and the related vehicle’s liquidation proceeds, according to Kroll Bond Rating Agency.
JPMorgan Securities is the structuring lead manager on the deal, with Vervent acting as backup servicer and Foursight Capital, as originator, sponsor, custodian and servicer. The latter is a wholly owned subsidiary of Jefferies Financial Group that provides automobile installment loans.
A mix of prime, nonprime and subprime retail automobile installment contracts collateralizes the deal, with FICO scores that range from 580 to 680, according to S&P Global Ratings.
Foursight Capital, 2022-2, will issue fixed-rate notes from a senior-subordinate capital structure, and unlike the Foursight Capital, 2022-1, the deal has no prefunding in place, S&P said.
In another change from previous deals, initial hard credit enhancement for classes A, B, C and D notes, increased to 30.7%, 24.3%, 16.4% and 8.7%, respectively. That compares with initial hard credit enhancement rates of 26.7%, 19.7%, 15.9% and 4.4%, also respectively on the same classes.
In terms of credit enhancements, the deal has an initial overcollateralization level of 8.0%. Foursight Capital, 2022-2, also has a cash reserve account equal to about 0.74% of the initial pool balance, as well as subsequent loan balances. Further, the deal is expected to have excess spread of 5.75%, according to KBRA.
S&P expects to assign ratings ranging from ‘A-1+’ on the $34.3 million, class A-1 notes; and ‘AAA’ on both the $88.7 million, A-2 notes and the $40 million, A-3 notes, all of which are the senior notes.
Ratings range from ‘AA’ on the B notes to ‘BBB’ on the D notes, according to S&P.
For its part, KBRA expects to assign ratings of ‘K1+’ on the A-1 notes; ‘AAA’ on the A-2 and A-3 notes; and ‘AA+’ through ‘BBB’ on classes B through class D.
