GLS floats $300 million in first deal after Assured Guaranty acquisition

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Subprime auto finance company Global Lending Services brought $300 million in notes to the asset-backed securities market GLS Auto Receivables Issuer Trust 2019-4.

The flotation comes less than a month after Global Lending’s owner, BlueMountain Capital Management, was acquired by a subsidiary of Assured Guaranty Ltd.

The deal’s underlying pool is expected to include a pool of fixed-rate retail automobile contracts on new and used non-commercial vehicles. They were made to subprime obligors, with credit bureau ratings ranging from 470 to 620, according to a presale report from Kroll Bond Rating Agency.

The deal features a couple of differences from Global Lending’s prior issuance, GLS Auto Receivables 2019-3. Its base case loss range, for instance, is lower than that of GLS Auto Receivables 2019-3, and the initial credit enhancement is lower for all classes, according to KBRA.

The deal is slated to close around Nov. 5.

The collateral pool has not changed dramatically from previous deals - the weighted average loan-to-value is 118.8 percent for the current deal, largely unchanged from 118.1 percent in GLS Auto Receivables 2019-3, according to KBRA.

GLS Auto 2019-4’s underlying loans have a slightly lower weighted average coupon, at 18.13 percent, compared with 18.44 percent.

In terms of FICO scores, the collateral pool for the GLS AUTO 2019-4 had a weighted average FICO score of 563, very similar to the 561 score from GLS AUTO 2019-3, according to KBRA.

Some structural features appear to have restricted credit enhancements to the collateral pool. For instance, GLS AUTO 2019-4 has an excess spread of 65 basis points lower after the pricing of the deal than pre-pricing, according to KBRA. Initial and target credit enhancement levels are between 0.65 percent and 2.05 percent lower for each class, compared with the notes in the previous deal.

Overcollateralization, a reserve account and excess spread provide the deal with its credit enhancement. While credit enhancements are lower, the expected loss for the pool is also 60 basis points lower, according to KBRA.

Rating agencies assessed four classes of notes. For its part, KBRA gave preliminary ratings of ‘AA’ to Class A; ‘A’ to Class B; ‘BBB’ to Class C; and ‘BB’ to Class D.

S&P Global gave the same ratings to Classes A, B, and C, while giving a ‘BB-minus’ to the D class of notes.

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