ABS

SLR series 2026-1 benefits from initial overcollateralization of 8.00%, with a target of either 13% of the pool's aggregate ABS value or 8.00% of the securitization value on May 31.

The Additional Tax Lien Account is Acacia 2026-1's prefunding account, which will buy assets in the deal's first six months, up to $33.5 million, and is one of the deal's two investment accounts.

A cash trap provision calls for half of available funds to be deposited into the cash trap reserve sub-account if the debt service coverage ratio (DSCR) is between 1.35x and 1.275x.

The initial overcollateralization level was 14.50%, an increase from 14.00%. Target overcollateralization, meanwhile, increased to 18.75, compared with 16.50% on the previous deal.

Figure Lending originated the HELOCs using the FICO 9 scoring model, which treats medical debt, rental payments and repaid collection accounts differently.

Analysts at KBRA estimate a base case loss of 4.8%, down from the estimated loss of 5.6% on the 2025-1 series.

Classes A, B and C benefit from credit enhancement levels of 26%, 17% and 13%, respectively and have an initial loan-to-value ratio of 74%, 83% and 87%, respectively.

Foundation had introduced Version 3 of its credit risk model, using the most recent delinquency data, to improve loan performance predictions.

The deal includes a three-year revolving period when collections can be used to buy new collateral if it meets eligibility and reinvestment criteria.

A delinquency test requires that excess cash pay down the notes sequentially if the aggregate delinquent loans represent more than 5.0% of the portfolio balance's average loan balance.

The collateral pool includes more than 1.1 million passings across 10 states, with Georgia accounting for the largest percentage (31%).

Defaults have also bumped up, another problematic indication of stress for investors in securitizations of consumer loans.

A revolving pool of business loans and merchant advances secures the deal, and the revolving period ends on May 31, 2029, about 36 months after the initial closing date.

The transaction's debt service coverage ratio (DSCR) was calculated from a three-month lookback window of cash flows, shorter than the ABS transactions pre-COVID 19.

The market for so-called collateralized fund obligations could top $30 billion of new volume this year, up 50% from last year.

As lenders explore the adoption of FICO 10T and VantageScore 4.0, setbacks and data limitations remain.

Kapitus funds receivables through two revolving securitizations totaling $575 million, and a $230.1 million warehouse line of credit from Truist, which matures in June 2027.

Any additional securities that the transaction issues will rank equally with the class that has the same class designation.

Initially, the transaction will follow a sequential repayment structure that requires each note class to reach a required overcollateralization percentage before the next subordinate class begins receiving principal.

Notes will be backed by royalties from a music catalog containing more than 3,750 works from top artists and songwriters, including Diplo and ZZ Top.