GLS Auto Receivables Trust is issuing $661.6 million in asset-backed bonds secured by subprime auto loan receivables that sponsor Global Lending Services has originated.
Ratings analysts at S&P Global Markets said GCAR 2024-4's underlying collateral characteristics have improved relative to recent GCAR transactions, including those from 2022 and 2023. Borrowers had a higher (weighted average) WA FICO score, at 582, and a WA higher scores from Global Lending Services' proprietary bands, at 671.
Also, the loans have a lower payment-to-income (PTI) ratio (11.42%) compared with those vintages, according to S&P.
While some of these metrics did change, it left S&P's expected cumulative net loss (ECNL) on the GCAR 2024-4 notes at 17.50%, unchanged from the GCAR 2024-3.
The trust will issue fixed-rate notes through seven tranches that will repay notes on a senior-subordinate basis. Classes A1, A2, A3, B, C, D and E have legal final maturity dates of Nov. 17, 2025, Oct. 15, 2027, July 17, 2028, April 16, 2029, June 17, 2030, July 15, 2030 and Aug. 15, 2031, respectively, S&P said.
Total initial hard credit enhancement on the A, B, C, D and E notes are 53.8%, 39.0%, 25.2%, 12.1% and 5.6%, respectively and decreased across the board from the previous deal, S&P said.
But as investors drill down, they will notice that subordination for the class A notes was unchanged at 48.20%, relative to the previous deal. Subordination for the C,B and D notes increased, the rating agency said.
Initial overcollateralization decreased to 4.60%, from 5.05%, of the initial collateral pool balance and is expected to grow to a target of 9.85% of the current balance, plus 1.50%. Excess spreads, measured on a pre-pricing basis, decreased to an estimated 12.34%, from 12.71% on the GCAR 2024-3 transaction, S&P said.
S&P assigns A1+ to the A1 notes; AAA to the A2 and A3 notes; and AA, A, BBB and BB to the class B, C, D and E notes, respectively.
