A pool of subprime consumer loans will secure about $350 million in asset-backed securities (ABS) to be marketed to investors through the Lendmark Funding Trust 2024-1.
The transaction is slated to close at the end of the month, according to the Asset Securitization Report's deal database. All of the notes are slated to price over the three-month interpolated yield curve, the database says. Early pricing talk says the class A, AAA notes should price at 155-160 basis points over the benchmark. Meanwhile the class D notes are expected to price at 350-360 over the benchmark.
Lendmark Financial Services originates consumer loans and purchases sales finance contracts, and for this deal the company is also originator and servicer, according to DBRS Morningstar. The collateral for the deal, which will revolve for three years, is composed mainly of nonprime and subprime consumer loans.
Initially, the class A notes benefit from credit enhancement of 41.15%, which includes a 0.50% reserve account, overcollateralization of 12.70%, and 27.95% of subordination, according to the rating agency. Following that the classes B and C notes, respectively enjoy initial credit enhancement levels of 16.45% and 9.80%, respectively.
DBRS analysts sets its cumulative net loss at 12.15%, an assumption that reflects an increase in portfolio losses throughout 2022, coupled with the worst-case loss pool.
Barclays, BMO Capital Markets, Citigroup Global Markets, Goldman Sachs, Mizuho Securities and RBC Capital Markets are managers on the deal, according to ASR's database.
DBRS notes that as of the initial cut-off date, the collateral has a weighted average (WA) remaining term of 44 months, a WA current bureau score of 623, and a WA coupon of 26.13%. The trust also includes a reinvestment criteria event if the WA coupon is less than 24.50%.
DBRS assigns ratings of AAA, AA, A and BBB to classes A, B, C and D, respectively; while S&P Global Ratings assigns ratings of AAA, AA-, A- and BBB- to the A, B, C and D, respectively.
