Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to five classes of notes issued by Flagship Credit Auto Trust 2021-1 ("FCAT 2021-1"), an asset-backed securitization collateralized by a pool of auto loans.
FCAT 2021-1 will issue five classes of notes totaling $265 million. The transaction includes a two-month prefunding feature that allows up to 20% of the collateral pool to be funded after closing. The preliminary ratings reflect the initial credit enhancement levels of 36.60% for the Class A notes, 27.45% for the Class B notes, 15.65% for the Class C notes, 8.85% for the Class D notes, and 4.75% for the Class E notes. Credit enhancement consists of overcollateralization, subordination of junior notes, cash reserves and excess spread.
KBRA applied its Auto Loan ABS Global Rating Methodology and Global Structured Finance Counterparty Methodology as part of its analysis of the transaction’s underlying collateral pool, the proposed capital structure and Flagship’s historical static pool data. KBRA also conducted an operational assessment on the originator and servicer, as well as a review of the transaction’s legal structure and transaction documents. KBRA will also review the operative agreements and legal opinions for the transaction prior to closing.
Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.
A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.
Information on the meaning of each rating category can be located here.
Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.
Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority pursuant to the Temporary Registration Regime. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider.
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Brendan Carter, Director (Lead Analyst)
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William Carson, Senior Director
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Eric Neglia, Managing Director (Rating Committee Chair)
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Ted Burbage, Managing Director
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