A pool of subprime auto loan receivables will back $1.1 billion in asset-backed securities (ABS) from sponsor GLS Auto Receivables Issuer Trust, series 2026-2.
The three class A notes, A1, A2 and A3, of GCAR 2026-2 notes will all benefit from hard credit enhancement levels, plus haircut to excess spread of 56.07%, according to S&P Global Ratings. Classes A, B, C, D and E, will benefit from initial credit enhancement levels of 47.37%, 36.81%, 28.11% and 24.22%, respectively, S&P said.
GCAR 2026-2's seven tranches of notes have legal final maturity dates ranging from April 15, 2027 on the class A1 notes through June 15, 2033, the rating agency said.
BMO Capital Markets, J.P.Morgan Securities and Wells Fargo Securities are managers on the deal, which is slated to close on May 8.
The deal will repay noteholders on a senior-subordinate basis, and benefits from a cash reserve account. Notes have legal final maturities ranging from April 15, 2027 on the A1 through June 15, 2033 on the class E notes.
S&P finds that the credit support levels provide at least 3.20x, 2.70x, 2.10x, 1.60x, and 1.38x of its estimated 17.50% cumulative net loss for the notes.
Initial hard credit enhancement increased on all the notes across the board, the rating agency said. Other forms of credit enhancement includes initial overcollateralization of 4.80%, from 3.55% of the initial collateral pool balance, and will increase to a target level of 12.45%, compared with 11.25% of the current collateral pool balance.
The deal also benefits from pre-pricing excess spread, estimated at 11.97%, S&P said.
In terms of the collateral, borrowers have a non-zero FICO score of 571 on a weighted average (WA) basis, a slight decrease from 574.
The pool has 40,569 receivables, with an average principal balance of $22,944, S&P said.
Although the overall FICO score decreased, other characteristics of the collateral pool showed some improvement. For instance, the percentage of the pool without a FICO score or a VantageScore decreased to 7.29%, from 8.36%, S&P said.
Also, the portion of collateral with an original term of 73-75 months, decreased to 17.06%, from 17.73%. Also, the percentage of loans with an original term of 67-72 months dropped to 56.82%, from 57.74%, the rating agency said.
S&P assigns ratings of A1+ on the A1 notes and AAA to the A2 and A3 notes; and AA, A, BBB and BB to the B, C, D and E classes, respectively.
Asset Securitization Report's deal database notes that Moody's assigns P1 to the A1 notes; Aaa to the A2 through class B notes; and Aa3 and Baa3 to classes C and D, respectively.
