Presale:
Flagship Credit Auto Trust 2017-2
!" This presale report is based on information as of May 18, 2017. The ratings shown are preliminary. This
report does not constitute a recommendation to buy, hold, or sell securities. Subsequent information may
result in the assignment of final ratings that differ from the preliminary ratings.
##$
%%
%
" %%
& Preliminary Ratings
"
Class
Preliminary
rating(i)
Type
Interest
rate(ii)
A
AAA (sf)
Senior
Fixed
113.33 July 15, 2021
B
AA (sf)
Subordinate
Fixed
28.84 April 15, 2023
C
A (sf)
Subordinate
Fixed
23.27 July 17, 2023
D
BBB (sf)
Subordinate
Fixed
18.72 July 17, 2023
#" "
E
BB- (sf)
Subordinate
Fixed
11.13 July 15, 2024
0 &%"
(i)The rating on each class of securities is preliminary and subject to change at any time. (ii)The actual
coupons of these tranches will be determined on the pricing date.
%' (
%# )*
+ , - ./* 0(
1234143
$ &( 56.# $
* * 00 78
Preliminary Legal final
amount (mil. $) maturity date
Profile
Expected closing date
May 31, 2017.
Collateral
Subprime auto loan receivables.
Originators
Flagship Credit Acceptance LLC. and CarFinance Capital LLC.
Servicer
Flagship Credit Acceptance LLC.
Issuer
Flagship Credit Auto Trust 2017-2.
Seller, sponsor and performance guarantor FC Funding LLC.
Depositor
FCA Asset Securities LLC.
Indenture trustee and backup servicer
Wells Fargo Bank N.A. (AA-/Negative/A-1+).
Owner trustee
Wilmington Trust N.A.
Custodian
Deutsche Bank National Trust Co. (A-/Negative/A-2).
Lead underwriter
Deutsche Bank Securities Inc.
Primary Credit Analyst:
Ines A Beato, New York (1) 212-438-9372; [email protected]
Secondary Contact:
Robert Jorgensen, New York (212)438-8216; [email protected]
See complete contact list on last page(s)
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Credit Enhancement Summary
FCAT
2017-2
FCAT
2017-1
FCAT
2016-4
FCAT
2016-3
FCAT
2016-2
FCAT
2016-1
FCAT
2015-3
AA (sf)
AA (sf)
AA (sf)
Ratings (preliminary for series 2017-1, final ratings for all other series)
Class A
AAA (sf)
AAA (sf)
AAA (sf)
AAA (sf)
Class B
AA (sf)
AA (sf)
AA (sf)
AA (sf)
A (sf)
A (sf)
A (sf)
Class C
A (sf)
A (sf)
A (sf)
A (sf)
BBB (sf)
BBB (sf)
BBB (sf)
Class D
BBB (sf)
BBB (sf)
BBB (sf)
BBB (sf)
BB- (sf)
BB- (sf)
BB- (sf)
Class E
BB- (sf)
BB- (sf)
BB (sf)
BB (sf)
N/A
N/A
N/A
Subordination (% of the initial collateral balance)(i)
Class A
40.50
41.98
38.00
38.00
25.25
26.00
25.00
Class B
26.25
27.75
25.90
27.25
15.75
15.10
15.25
Class C
14.75
16.25
13.40
13.75
6.25
5.20
6.40
Class D
5.50
7.11
4.25
4.25
0.00
0.00
0.00
Class E
0.00
0.00
0.00
0.00
N/A
N/A
N/A
Initial (% of the initial collateral balance)
3.50
3.75
2.00
2.00
2.00
2.75
1.50
Target (% of the current collateral
balance)
8.25
8.50
7.25
7.25
7.25
8.00
7.25
Floor (% of the initial and prefunded
collateral balance)
0.50
0.50
0.50
0.50
0.50
0.50
0.50
Initial (% of the initial and expected
prefunded collateral balance)
2.00
2.00
2.00
2.00
2.00
2.00
2.00
Target (% of the initial collateral balance)
2.00
2.00
2.00
2.00
2.00
2.00
2.00
Floor (% of the initial and prefunded
collateral balance)
2.00
2.00
2.00
2.00
2.00
2.00
2.00
Overcollateralization
Reserve fund
Total initial hard credit enhancement (% of the initial collateral balance)
Class A
46.00
47.73
42.00
42.00
29.25
30.75
28.50
Class B
31.75
33.50
29.90
31.25
19.75
19.85
18.75
Class C
20.25
22.00
17.40
17.75
10.25
9.95
9.90
Class D
11.00
12.86
8.25
8.25
4.00
4.75
3.50
Class E
5.50
5.75
4.00
4.00
N/A
N/A
N/A
9.18
9.00
10.35
9.88
8.48
7.65
8.27
Excess spread per year (estimated %)(ii)
(i)Principal on the preliminary rated notes will be paid sequentially. (ii)Includes the servicing fee, which is 2.50%. FCAT--Flagship Credit Auto
Trust. N/A--Not applicable.
Rationale
The preliminary ratings assigned to Flagship Credit Auto Trust 2017-2's (FCAT 2017-2's) $195.29 million automobile
receivables-backed notes series 2017-2 reflect our view of:
• The availability of approximately 50.11%, 40.51%, 31.64%, 24.70%, and 19.63% credit support (including excess
spread) for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit
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•
•
•
•
•
support levels provide coverage of approximately 3.50x, 3.00x, 2.30x, 1.75x, and 1.40x our 12.80%-13.30%
expected cumulative net loss (CNL) range for the class A, B, C, D, and E notes, respectively (see the Cash Flow
Modeling section for details). These break-even scenarios cover total cumulative gross defaults (using a recovery
assumption of 40%) of approximately 84%, 67%, 53%, 41%, and 33%, respectively.
The timely interest and principal payments made under stressed cash flow modeling scenarios that are appropriate
to the assigned ratings.
The expectation that under a moderate ('BBB') stress scenario, all else being equal, our ratings on the class A and B
notes would not be downgraded by more than one rating category from our preliminary 'AAA (sf)' and 'AA (sf)'
ratings for the life of the transaction, and our ratings on the class C and D notes would not be downgraded more
than two rating categories from our preliminary 'A (sf)' and 'BBB (sf)' ratings for the life of the deal. The rating on the
class E notes would remain within two rating categories of our preliminary 'BB- (sf)' rating within the first year, but
the class would eventually default under the 'BBB' stress scenario after receiving 42%-55% of its principal. The
above rating movements are within the one-category rating tolerance for 'AAA' and 'AA' rated securities during the
first year and three-category tolerance over three years; a two-category rating tolerance for 'A', 'BBB', and 'BB' rated
securities during the first year; and a three-category tolerance for 'A' and 'BBB' rated securities over three years. The
'BB' rated securities are permitted to default under a 'BBB' stress scenario (see "Methodology: Credit Stability
Criteria," published May 3, 2010).
The credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread
(see the Credit Enhancement Summary table above for details).
The characteristics of the collateral pool being securitized.
The transaction's payment and legal structures.
Significant Changes From FCAT 2017-1 And Prior Pools
This is the company's 19th transaction in five years (the 14th under the Flagship name in addition to five under the
CarFinance name, four of which were rated by S&P Global Ratings).
Structural and credit enhancement changes from the series 2017-1 transaction:
• The prefunding period decreased to two months from three months.
• Total hard credit enhancement for classes A, B, and C decreased by 175 basis points (bps), for class D decreased by
186 bps, and for class E decreased by 25 bps.
• The initial overcollateralization decreased to 3.50% from 3.75% and the target overcollateralization decreased to
8.25% from 8.50%.
• Subordination for class A decreased to 40.50% from 41.98%.
• Subordination for class B decreased to 26.25% from 27.75%.
• Subordination for class C decreased to 14.75% from 16.25%.
• Subordination for class D decreased to 5.50% from 7.11%.
• Estimated excess spread decreased to 9.18% from 9.61% after the FCAT 2017-1 transaction priced.
Total hard credit enhancement for all classes decreased in part as a function of our lower loss expectation for the
2017-2 pool, at 12.80%-13.30%, compared to 13.00%-13.50% for the 2017-1 pool.
The company continues to tighten their originations and continues to reduce the percentage in their higher loss tiers.
This is evidenced by the improved composition of the series 2017-2 pool versus prior pools. The collateral
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composition changes in the initial pool (as of May 10, 2017, initial cut-off date) from the FCAT 2017-1 collateral pool,
as of the Jan. 15, 2017, initial cut-off date, include:
• Direct loans increased to 17.03% of the pool from 13.53%. The company's direct loans have typically experienced
lower losses. Indirect loans fell to 82.97% of the pool from 86.47%.
• Military loans decreased to 0.04% from 0.13%, and are down from a high of 15.6% in the series 2014-1 deal. The
military loans tended to have higher losses than its direct and indirect channels.
• Indirect thin file loans decreased to 0.09% from 4.80% on the 2017-1 transaction, and down from a high of 15.00%
in the series 2015-1 deal.
• The distribution of indirect loans in the pool by credit grade improved. Loans in the top three origination programs
(Platinum, Gold, and Silver) increased to 73.79% from 65.44%. Platinum loans increased to 16.40% from 12.23%,
Gold increased to 22.82% from 18.17%, and Silver decreased slightly to 34.57% from 35.04%.
• Indirect loans in the bottom two programs (Copper and Bronze) decreased to 8.80% from 14.14% and to 0.27%
from 1.96%, respectively.
• The weighted average FICO remained relatively similar at 595, versus 594. However, the distribution improved,
with the percentage of loans with a FICO less than 550 falling to 15.67% from 17.10%, and the percentage of loans
with a FICO greater than 650 increasing to 10.91% from 10.00%. The percentage of loans with original terms
greater than 60 months decreased slightly to 91.30% in this pool versus 92.82% in the FCAT 2017-1 pool; however,
the loans with original terms of 73-78 months increased slightly to 1.49% from 1.43%.
• The weighted average loan-to-value (LTV) decreased to 117.87% from 119.19%.
• The weighted average debt-to-income (DTI) was roughly stable, at 34.11%, compared to 34.16%. The weighted
average payment-to-income (PTI) increased slightly, however, to 10.09% from 9.88% for the 2017-1 pool.
In our view, there is a better collateral mix in this pool compared to series 2017-1. However, we continue to observe
deteriorating performance on a managed portfolio basis and worsening performance in the securitizations. This,
coupled with our forward-looking view of the economy, including our expectation for lower used vehicle values
leading to weaker recovery rates, was a factor in our analysis. We have lowered our expected CNL range on this deal
slightly to 12.80%-13.30% from 13.00%-13.50% on the 2017-1 deal, largely due to the stronger collateral mix
underlying this transaction (see the S&P Global Ratings' Expected Loss section).
Key Rating Considerations
We considered the following key strengths in rating this transaction:
• Flagship is led by a seasoned management team with many years of experience in consumer finance, particularly
subprime auto lending. Furthermore, Michael Ritter, the president, CEO, and founder, has over 37 years of
experience and had been the CEO at Franklin Acceptance Corp. (see the Flagship Credit Acceptance LLC [FCA]
section for additional information).
• The company has completed 19 securitizations (14 under the Flagship name and five under CarFinance), the oldest
of which has paid off with 10.26% losses. The company integrated two business platforms (see the Flagship Credit
Acceptance LLC [FCA] section) without servicing disruptions and while maintaining generally consistent
performance on the FCAT indirect portfolio.
• The company has a centralized underwriting and collection process and, according to management, does
verifications on 100% of their loans.
• Approximately 15% of monthly auto loan origination volume is direct to consumers. Direct lending is marketed
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through different channels, including targeted mailings, an online search function, website aggregators, and
pass-through programs with banks. Historical data show that direct loans have performed better than indirect loans.
• Flagship maintains a $1.0 billion warehouse credit facility provided by five syndicated banks with a two-year term
(matures in May 2018).
• Wells Fargo Bank N.A. will act as indenture trustee and backup servicer. It has already data-mapped the company's
servicing systems, and will receive monthly data tapes and confirm certain data on the monthly servicer reports
during the life of the transaction. Flagship uses a Shaw servicing platform, which is an industry standard. Deutsche
Bank National Trust Co. (DBNTC) is the custodian for all loans in this transaction. DBNTC holds the original
physical contracts for tangible chattel paper and has control of the electronic chattel paper (e-contracts).
In addition to the strengths outlined above, we considered the following concerns:
• Subprime auto finance companies doing business in Flagship's segment of the market continue to face an increased
competitive environment as banks, captives, and credit unions vie for market share and can price loans more
aggressively. This will continue to put pressure on independent companies' profit margins and will make it more
difficult for them to maintain their return on asset margins.
• The company's loan loss provision increased in 2015 following the merger of Flagship and CarFinance and resulted
in a net loss. In 2016, the company again increased its loss provisions due to continued deterioration in performance
and posted a net loss of $27.3 million for full-year 2016.
• The company's ability to grow has been impacted by its lack of profitability and outside capital being less available
than during its formative years. While the company has responded by prudently reducing origination volume and
focusing on better-quality credits, we're concerned about the company's ability to become profitable again.
Transaction Overview
Flagship Credit Acceptance LLC (FCA) and CarFinance Capital LLC (CFC) (the originators), as part of the
forward-flow purchase agreement with FC Funding, will sell the initial automobile loan contracts in the FCAT 2017-2
pool to FC Funding (the sponsor/seller of the transaction; see chart 1). During the prefunding period after the closing
date, FCA will originate and sell approximately $40.5 million in additional auto loan receivables to FC Funding for
subsequent inclusion into the FCAT 2017-2 collateral pool. FCA (as servicer) will service the loans and is obligated to
continue to do so per the transaction documents. Contracts purchased by FC Funding from FCA and CFC are without
recourse. At closing, FC Funding will sell the auto loans to the depositor, FCA Asset Securities LLC, as a true sale. In
turn, FCA Asset Securities LLC will sell or pledge the pool of auto loan contracts to the Flagship Credit Auto Grantor
Trust 2017-2, which will issue a certificate to the issuing entity, FCAT 2017-2, representing the entire beneficial
ownership in the receivables. The issuing entity will pledge its interest in the receivables and its security interest in the
financed vehicles to the indenture trustee on the noteholders' behalf, and will issue five classes of notes: classes A, B,
C, D, and E. Interest and principal on the notes are scheduled to be paid on the 15th of each month or, if that is not a
business day, the next business day, beginning July 17, 2017. We anticipate that each class of notes will have a fixed
interest rate.
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FC Funding will guarantee the performance of the servicer's obligations under the transaction documents. Because we
do not rate the guarantor, we did not assign credit to the servicing guarantee; however, given the guarantor's asset and
equity size (especially in relation to Flagship), we believe this is a qualitative benefit to the transaction. In addition,
because the forward-flow agreement between FCA and the guarantor does not contain a provision requiring the
originator to repurchase any auto loan contract following a breach of any representation and warranty, we believe the
servicer guarantee is a positive factor. In any event, under the transaction sale and servicing agreement, the servicer
and sponsor agree that, if certain representations and warranties are breached, they will repurchase the related
contract.
Similar to FCA and CarFinance's prior transactions, Wells Fargo Bank N.A. will be the backup servicer and indenture
trustee. DBNTC will be the custodian for the series 2017-2 transaction (DBNTC is the custodian for the FCAT 2017-1,
2016-4, 2016-3, 2016-2, 2016-1, 2015-3, and past CFCAT transactions).
In rating this transaction, we will review the legal matters that we believe are relevant to our analysis, as outlined in
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our criteria.
Transaction Structure
The FCAT 2017-2 transaction incorporates the following structural features:
• A sequential pay mechanism among the notes that increases credit enhancement for the rated notes as the pool
amortizes.
• A nonamortizing reserve account that will equal 2.00% of the initial and expected prefunded pool balance.
• Overcollateralization that will initially be 3.50% of the initial pool balance and build to a target level of 8.25% of the
current pool balance by using any excess spread available after covering net losses to pay principal on the
outstanding notes. The overcollateralization floor is set at 0.50% of the initial pool balance. There are no
performance triggers in the transaction that serve to increase credit enhancement.
• The use of excess spread, to the extent available after covering losses, to pay principal on the outstanding notes to
build credit enhancement to the target level.
• A three-month prefunding period.
Prefunding
The FCAT 2017-2 transaction will allow for prefunding of approximately $40.5 million in collateral or 20% of the
aggregate collateral balance (the sum of the initial pool balance as of May 10, 2017, and the expected aggregate
principal balance of the subsequent receivables), over an approximate two-month period after the closing date. The
prefunding period will begin on the closing date and will end on the earliest to occur of:
• July 30, 2017;
• The date on which the amount in the prefunding account is less than $100,000; and
• An indenture event of default or a servicer termination event.
Subsequent transfers of receivables after the closing date, during the prefunding period, is limited to once per week.
In addition to meeting the selection and eligibility criteria similar to that established for the initial receivables pool, the
transaction requires that the subsequent receivables be subject to the following additional criteria:
• No subsequent receivable will cause the weighted average annual percentage rate (APR) of all subsequent
receivables to be less than 15.50%.
• No subsequent receivable will cause the weighted average FICO score of all subsequent receivables to be less than
585.
• No subsequent receivable will cause the weighted average LTV ratio of all subsequent receivables to be greater than
120%.
• No subsequent receivable will cause the weighted average PTI ratio of all subsequent receivables to be greater than
10.50%.
• No subsequent receivable will cause the weighted average original maturity of all receivables in the pool to be
greater than 72 months.
• No subsequent receivable will cause the weighted average remaining maturity of all receivables in the pool to be
greater than 71 months.
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• No subsequent receivable will cause the weighted average concentration of loans with an original term greater than
72 months to be greater than 2% of all subsequent automobile loans.
• No subsequent automobile loan contracts will cause the weighted average concentration (based upon the principal
balance as of the related subsequent cutoff date) of direct loans of all subsequent automobile loan contracts to be
less than 10.00%.
Payment Structure
The class A through E notes' issuance amount will be $195.29 million, and each class of notes will pay a fixed interest
rate. Interest and principal are scheduled to be paid to the notes on each monthly distribution date (the 15th of each
month) or, if that is not a business day, the next business day, beginning July 17, 2017.
Payment distribution before an event of default
Before an event of default, on each payment date, distributions will be made from available funds according to the
payment priority shown in table 1.
Table 1
Payment Waterfall
Priority
Payment
1
The servicing fee (2.50%) and any supplemental servicing fees and reimbursements to the servicer, and the transition fees
(one-time, at an $110,000 cap) to any successor servicer. We modeled the servicing and transition fees in our cash flows.
2
To the extent not previously paid by the sponsor, any unpaid fees, expenses, and indemnities then due (capped at $175,000 per
year) pro rata to the owner trustee and the indenture trustee, custodian, and backup servicer.
3
Class A note interest.
4
The class A principal parity amount (to reduce class A notes' principal balance, if necessary, to equal the sum of the collateral
balance).
5
The remaining principal balance on any class A note on its respective final scheduled distribution date.
6
Class B note interest.
7
The class B principal parity amount (to reduce the aggregate principal balances of the class A and B notes, if necessary, to equal the
sum of the collateral balance).
8
The remaining class B note principal balance on its final distribution date.
9
Class C note interest.
10
The class C principal parity amount (to reduce the aggregate principal balances of the class A, B, and C notes, if necessary, to equal
the sum of the collateral balance).
11
The remaining class C note principal balance on its final distribution date.
12
Class D note interest.
13
The class D principal parity amount (to reduce the aggregate principal balances of the class A, B, C, and D notes, if necessary, to
equal the sum of the collateral balance).
14
The remaining class D note principal balance on its final distribution date.
15
Class E note interest.
16
The class E principal parity amount (to reduce the aggregate principal balances of the class A, B, C, D and E notes, if necessary, to
equal the sum of the collateral balance).
17
The remaining class E note principal balance on its final distribution date.
18
The amount necessary to reach the required level in the reserve account.
19
The principal payment amount to the note distribution account(i).
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Table 1
Payment Waterfall (cont.)
Priority
Payment
20
Any unpaid fees and expenses exceeding the related cap or annual limitation specified in items 1 and 2 above to the indenture
trustee, custodian, owner trustee, backup servicer, the title administration agent, the e-contract system provider and successor
servicer.
21
Any excess amounts to the certificate distribution account.
(i)This item is designed to pay principal to achieve the target overcollateralization amount of 8.50% of the current pool balance. The principal
payment amount will be the lesser of the aggregate principal balance of the notes on the distribution date (after items 1-17 in the waterfall) and the
excess, if any, of the sum of the aggregate principal balance of the notes on the distribution date (after principal payments) plus the target
overcollateralization amount over the current pool balance.
On each payment date before an event of default, the amounts described in items 4, 5, 7, 8, 10, 11, 13, 14, 16, 17, and
19 in table 1 above will be distributed to the noteholders in the priority outlined in table 2.
Table 2
Principal Waterfall
Priority
Payment
1
The class A noteholders until class A outstanding principal balance has been reduced to zero.
2
The class B noteholders until class B outstanding principal balance has been reduced to zero.
3
The class C noteholders until class C outstanding principal balance has been reduced to zero.
4
The class D noteholders until class D outstanding principal balance has been reduced to zero.
5
The class E noteholders until class E outstanding principal balance has been reduced to zero.
Events of default
Any of the following will constitute an event of default:
• A default in the interest payment on the senior-most class of notes that remains uncured for five days.
• A default in the principal payment on any note on its final scheduled distribution date.
• A default in the issuer's observance or performance of any material covenant or agreement or any materially
incorrect representation or warranty of the issuer that is not cured for 45 days (up to 90 days in certain cases). (This
requires the indenture trustee or the holders of at least 25% of the voting rights of the notes outstanding to notify the
relevant parties.)
• The issuer becomes insolvent.
Payment distribution after an event of default
On each payment date following an event of default related to a breach of a covenant, agreement, representation, or
warranty, and the acceleration of the notes, available funds will be distributed as described in table 1. However, the
payment in item 16 will include all available funds until the total note balance has been reduced to zero. In addition,
the fees, expenses, and indemnities in items 1 and 2 will not be limited.
On each payment date following an event of default (other than an event of default solely because of a breach of a
covenant, agreement, representation, or warranty) and the acceleration of the notes, or upon liquidation of the trust
assets, available funds will instead be distributed in the priority shown in table 3.
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Table 3
Payment Waterfall Following An Event Of Default
Priority
Payment
1
To the servicer, owner trustee, indenture trustee, custodian, and backup servicer, certain amounts due and owed to
such entities, without regard to any caps or annual limitations.
2
Class A note interest.
3
Class A note principal until the notes are paid in full.
4
Class B note interest.
5
Class B note principal until paid in full.
6
Class C note interest.
7
Class C note principal until paid in full.
8
Class D note interest.
9
Class D note principal until paid in full.
10
Class E note interest.
11
Class E note principal until paid in full.
12
To the title administrator, its accrued and unpaid fees, expenses and indemnities, if not previously paid.
13
All remaining amounts to the certificateholder.
Servicer termination events
Any of the following will constitute a servicer termination:
• The servicer's failure to deliver any required payment to the indenture trustee that remains unremedied for two
business days.
• The servicer's failure to deliver the servicer's certificate by the first business day before the distribution date or a
breach of the servicer's covenant not to merge, consolidate, or transfer all, or substantially all, of its assets unless the
successor or surviving entity of such merger or consolidation is capable of fulfilling the servicer's duties.
• The servicer's failure to observe or perform in any covenant or agreement materially and adversely affecting the
noteholders' rights that remains unremedied for 45 days.
• The servicer becomes insolvent.
• Any materially incorrect servicer representation, warranty, or statement that remains unremedied for 45 days.
If a servicer termination occurs, the indenture trustee or a majority of the noteholders holding the senior-most class
can terminate the servicer's rights and obligations.
Managed Portfolio
As of March 31, 2017, the managed portfolio was equal to $3.02 billion--a growth of 5.22% year over year, but a drop
of 4.24% from year-end 2016. Delinquencies on a managed portfolio basis were 10.95%, versus 8.25% for the same
time in 2016. Annualized net losses as of March 31, 2017, were 6.61%, up from 5.00% the year prior. As per
management, the higher delinquencies and losses were driven by the increasing weighted average seasoning of the
overall portfolio, which was equal to 17.41 months as of March 31, 2017, up from 13.41 months for the same period
the year prior. In addition, this data has been adjusted to include repossession fees, which are netted against
liquidation proceeds and as an added expense have increased the net loss experienced.
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Table 4
Managed Portfolio(i)
As of March 31
As of Dec. 31
2017
2016
2016
2015
2014
2013
2012
2011
Portfolio at end of period (mil. $)
3,020.28
2,870.32
3,154.11
2,666.21
1,907.24
1,182.20
541.49
89.48
Avg. month-end amount outstanding
(mil. $)
3,068.71
2,794.80
3,007.69
2,331.14
1,595.01
878.25
320.47
39.22
31-60 days
5.34
3.77
6.48
5.48
4.36
3.28
2.74
1.35
61-90 days
1.59
1.17
2.12
1.62
1.27
0.86
0.71
0.22
90+ days
0.55
0.49
1.04
0.90
0.72
0.49
0.26
0.00
7.48
5.44
9.64
8.01
6.35
4.63
3.71
1.58
35.57
37.29
36.48
31.48
18.93
10.14
2.78
0.49
Repossessions as a % of the portfolio at
month end
1.18
1.30
1.16
1.18
0.99
0.86
0.51
0.54
Total delinquency, repossessed, and
bankrupt assets as a % of the portfolio
at period end
10.95
8.25
12.73
10.64
8.32
6.28
4.79
2.41
Net charge-offs (mil. $)
50.71
34.90
159.97
104.12
55.53
22.39
5.06
0.39
6.61
5.00
5.32
4.47
3.48
2.55
1.58
0.99
Delinquencies (%)(ii)
Total delinquencies as a % of the
portfolio at period end
Repossessions (mil. $)
Annualized net charge-off as a % of avg.
month-end amount outstanding (iii)
(i)Excludes bulk portfolio purchases. Includes auto loan contracts originated under the military lending platform beginning in January 2012. The
percentages might not add up to exactly 100% due to rounding. (ii)Delinquencies are as a percentage of the portfolio at the end of the period.
(iii)Net charge-offs equal gross charge-offs minus recoveries. Recoveries include repossession proceeds received from the sale of repossessed
financed vehicles, net of repossession expenses, refunds of unearned premiums from credit life and credit accident and health insurance and
extended service contract costs obtained and financed in connection with the vehicle financing and recoveries from obligors on deficiency
balances.
Pool Analysis
As of the May 10, 2017, initial cut-off date, the FCAT 2017-2 collateral pool comprised 8,026 subprime auto loan
contracts totaling $161.9 million (see table 5). We expect the FCAT 2017-2 issuing entity to purchase approximately
$40.527 million in additional receivables before July 31, 2017. This will equal 20% of the total receivables pool. The
total expected pool balance, including the prefunding collateral, will be $202.38 million. We don't expect the
subsequent receivables pool to differ materially from the initial cut-off pool (see table 5).
Table 5
Original Pool Characteristics(i)
FCAT
2017-2(ii)
FCAT
2017-1(iii)
FCAT
2016-4(iii)
FCAT
2016-3(iii)
FCAT
2016-2(iii)
FCAT
2016-1(iii)
FCAT
2015-3(iii)
FCAT
2015-2(iii)
Receivables
balance ($)
161,901,636
250,612,597
297,012,719
448,979,793
408,163,270
459,183,894
456,852,818
516,946,799
No. of
receivables
8,026
12,742
15,902
23,420
21,752
23,962
23,858
23,468
Avg. loan
balance ($)
20,172
19,668
18,678
19,171
18,764
19,163
19,149
19,368
Weighted avg.
APR (%)
15.31%
15.58
15.81
15.31
15.32
14.60
14.42
14.41
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Table 5
Original Pool Characteristics(i) (cont.)
FCAT
2017-2(ii)
FCAT
2017-1(iii)
FCAT
2016-4(iii)
FCAT
2016-3(iii)
FCAT
2016-2(iii)
FCAT
2016-1(iii)
FCAT
2015-3(iii)
FCAT
2015-2(iii)
Weighted avg.
original term
(mos.)
70.87
70.86
70.76
70.63
70.60
70.67
70.22
70.24
Weighted avg.
remaining
term (mos.)
69.33
69.57
68.99
69.40
69.47
69.15
68.66
68.11
Weighted avg.
seasoning
(mos.)
1.54
1.29
1.77
1.23
1.13
1.52
1.56
2.13
Weighted avg.
FICO
595
594
594
597
590
589
590
590
% of portfolio
with no FICO
0.12
2.65
4.52
4.96
3.64
3.70
3.23
4.59
Weighted avg.
LTV (%)
117.87
119.19
119.04
119.18
118.85
119.83
119.83
117.28
Original term
61-72 months
(%)
89.81
90.75
90.96
84.36
81.33
83.44
85.19
87.88
Original term
73-78 months
(%)
1.49
1.43
1.45
3.03
4.94
6.47
2.87
1.14
% of new
vehicles
29.17
30.85
28.37
24.25
20.26
23.41
22.52
24.29
% of used
vehicles
70.83
69.15
71.63
75.75
79.74
76.59
77.48
75.71
TX=16.51
TX=17.41
TX=15.96
TX: 16.09
TX: 15.07
TX: 15.60
TX: 14.68
TX: 15.60
Top five state concentrations (%)
FL=12.65
CA=11.77
CA=10.91
CA: 10.91
FL: 11.26
FL: 10.38
CA: 10.96
CA: 10.96
AZ=11.87
FL=10.25
AZ=10.57
AZ: 10.71
CA: 10.32
CA: 9.99
FL: 9.84
FL: 8.66
CA=11.28
AZ=10.12
FL=10.10
FL: 10.47
AZ: 9.40
AZ: 8.64
AZ: 8.77
GA: 8.23
GA=5.77
GA=6.38
GA=6.98
GA: 7.32
GA: 7.12
GA: 7.81
GA: 7.88
AZ: 8.01
(i)All percentages are of the principal balance. (ii)Amounts for FCAT 2017-2 as of the May 10, 2017, initial cut-off date. (iii)Amounts for FCAT
2017-1, 2016-4, 2016-3, 2016-2, 2016-1, 2015-3, 2015-2, and 2015-1 are as of the cut-off dates Jan. 15, 2017, Oct. 17, 2016, July 31, 2016, April
30, 2016, Jan. 31, 2016, Oct. 31, 2015, July 31, 2015, and Feb. 28, 2015, respectively. APR--Annual percentage rate. LTV--Loan-to-value.
Securitization Performance
Flagship has 16 outstanding public FCAT and CarFinance Capital Auto Trust (CFCAT) asset-backed securities (ABS)
transactions rated by S&P Global Ratings (see charts 2 and 3). The definition of defaulted receivables for series 2012-1
deal is slightly different than the other deals, which, as a result, has altered the timing of losses but not the ultimate
level of losses. CFCAT transactions and FCAT 2015 and 2016 transactions, on the other hand, have shown some
deterioration from deal to deal.
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Chart 2
Chart 3
FCAT And CFCAT Performance: Surveillance Update
We currently maintain ratings on 12 FCAT transactions and four CFCAT transactions that were issued in 2013 through
2017. In November 2016, we reviewed the outstanding transactions and upgraded 38 classes from five FCAT
transactions and four CFCAT transactions, as well as affirmed one rating (please see "Flagship Credit Auto Trust And
CarFinance Capital Auto Trust Ratings Raised On 38 Classes And Affirmed On One," published Nov. 22, 2016).
The FCAT 2012-1 transaction paid off in full on the September 2016 distribution date with 10.26% CNL, well below
our initial expected CNL of 14%. FCAT 2013-1, FCAT 2013-2, FCAT 2014-1, and FCAT 2014-2 are performing better
than we had initially expected. As a result, we lowered our loss expectation because of lower-than-expected default
frequencies and our view of future collateral performance. For FCAT 2015-1, the performance appears to be in line
with our initial expectation, and we maintained our original expected loss for this transaction pending further collateral
performance. The FCAT 2015 deals, with the exception of 2015-1, are showing higher losses for the same period than
prior FCAT deals; therefore, at this time, we are maintaining our initial loss expectation pending further performance.
CFCAT 2013-2 is CarFinance's best performing transaction and, due to better-than-expected performance, we lowered
our expected loss level. However, we have observed deteriorating performance for each subsequent CFCAT
transaction. CFCAT 2014-1, CFCAT 2014-2, and CFCAT 2015-1 are performing worse than we had initially expected;
as a result, we raised our loss expectation (see table 6).
We will continue to monitor the performance of each outstanding transaction and take rating actions as we deem
appropriate.
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Table 6
FCAT And CFCAT Performance As Of The May 2017 Distribution Date
Current
month
Pool
factor
60+ day
delinq. (%)
Current CNL
(%)
Initial expected
lifetime CNL (%)
Revised/maintained expected
lifetime CNL (%)(i)
FCAT
2013-1
49
10.84
5.42
10.32
12.80-13.30
10.75-11.25
FCAT
2013-2
43
17.62
6.37
10.11
12.50-13.00
11.25-11.75
FCAT
2014-1
37
25.87
4.74
9.06
12.75-13.25
11.50-12.00
FCAT
2014-2
31
34.89
4.67
8.07
12.50-13.00
11.75-12.25
FCAT
2015-1
26
44.58
4.35
7.41
12.50-13.00
12.50-13.00
FCAT
2015-2
21
53.63
3.59
5.95
11.25-11.75
N/A
FCAT
2015-3
18
60.89
3.52
5.13
11.25-11.75
N/A
FCAT
2016-1
15
67.71
3.20
3.92
11.75-12.25
N/A
FCAT
2016-2
12
75.15
2.91
3.32
11.50-12.00
N/A
FCAT
2016-3
9
82.13
2.51
2.45
11.50-12.00
N/A
FCAT
2016-4
6
88.16
2.67
1.27
11.75-12.25
N/A
FCAT
2017-1
3
95.16
1.21
0.15
13.00-13.50
N/A
CFCAT
2013-2
43
15.00
5.95
10.54
12.00-12.50
11.50-12.00
CFCAT
2014-1
38
22.46
6.59
11.00
11.00-12.00
12.75-13.25
CFCAT
2014-2
33
29.80
6.18
10.41
11.00-12.00
13.00-13.50
CFCAT
2015-1
27
39.40
5.83
9.57
11.00-12.00
13.25-13.75
Series
(i)Revised November 2016. CNL--Cumulative net loss. N/A--Not available.
S&P Global Ratings' Expected Loss: 12.80%-13.30%
To derive the base-case expected loss for the transaction, we analyzed the company's quarterly CNL static pool data
by origination channel (see chart 4). For the Flagship channels, we developed a potential loss-timing curve based on
Flagship's fourth-quarter 2010 to third-quarter 2011 originations, which have very low pool factors and appear to have
stopped taking losses. We also used a slow loss timing curve derived from the origination data of another subprime
auto finance company with similar original terms of approximately 70 months. We analyzed the static pool CNL
performance for each origination channel using the loss timing curve to project losses on quarterly vintages from 2011
to first-quarter 2016, excluding monthly vintages with low volume or less than 12 months of performance.
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Chart 4
Chart 5
In addition to analyzing the static pool performance, we compared the company's static pool performance and pool
characteristics with those of prior FCAT and CFCAT transactions, as well as other comparable issuers. We expect
FCAT 2017-2 to experience losses of 12.80%-13.30% based on:
• Our review of the origination static pool performance including repossession fees;
• Loss estimates for the fourth-quarter 2011, 2012, 2013, 2014, 2015, and first-quarter 2016 monthly vintages;
• Collateral characteristics of the securitized pool, including those of the auto loans originated under the military
lending platform;
• The performance of FCAT and CFCAT's outstanding securitizations;
• A peer comparison analysis; and
• Our forward-looking view of the economy, namely our expectation of lower recovery rates.
Cash Flow Modeling: Break-Even Cash Flows
We modeled the transaction to simulate stress scenarios appropriate for the assigned preliminary ratings. For the
stress scenarios, we applied a front-loaded loss curve as well as a back-loaded loss curve because the transaction has
no performance triggers and the structure releases funds back to the seller once it achieves the overcollateralization
target of 8.50% of the current pool balance (see table 7 for the specific assumptions).
Table 7
Cash Flow Assumptions And Results
Class
A
B
C
D
E
Front-loaded loss curve
Scenario (preliminary ratings)
AAA (sf)
AA (sf)
A (sf)
BBB (sf)
BB- (sf)
54/100
36/69/91/100
34/65/85/95/100
35/65/85/95/100
35/65/85/95/100
Voluntary ABS (%)
1.0
1.0
1.0
1.0
1.0
Recoveries (%)
40
40
40
40
40
Loss timing by months outstanding
(12/24/36/48/60) (%)
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Table 7
Cash Flow Assumptions And Results (cont.)
Class
Recovery lag (mos.)
A
B
C
D
E
4
4
4
4
4
2.50
2.50
2.50
2.50
2.50
Approximate break-even net loss levels
(%)(i)
50.11
40.51
31.61
24.70
21.20
Total defaults and prepays
92.36
83.80
74.71
67.13
63.29
AAA (sf)
AA (sf)
A (sf)
BBB (sf)
BB- (sf)
45/100
24/65/97/100
20/53/79/95/100
19/51/75/92/100
19/51/75/92/100
Voluntary ABS (%)
1.0
1.0
1.0
1.0
1.0
Recoveries (%)
40
40
40
40
40
4
4
4
4
4
Servicing fee (%)
Back-loaded loss curve
Scenario (preliminary ratings)
Loss timing by months outstanding
(12/24/36/48/60) (%)
Recovery lag (mos.)
Servicing fee (%)
2.50
2.50
2.50
2.50
2.50
Approximate break-even net loss levels
(%)(i)
50.20
40.86
32.58
24.80
19.63
Total defaults and prepays
92.44
84.27
76.37
67.88
62.07
(i)The maximum cumulative net losses on the pool that the transaction can withstand without a payment default on the relevant classes of notes.
ABS--Absolute prepayment speed.
The break-even results show that the class A, B, C, and D notes can withstand a modestly higher loss level under the
back-loaded loss curve than under the front-loaded loss curve. This is because excess spread is more stressed under
the front-loaded loss curve. There were no substantial releases back to the seller in either the front- or back-loaded loss
curves. However, for the class E notes' break-even scenario, the results were lower under the back-loaded loss curve
due to releases to the seller. Under the front-loaded loss curve, the overcollateralization target is never reached, but
sufficient credit enhancement is available for the class E notes to receive timely interest and full principal payments by
final maturity under stressed net loss levels that are consistent with the preliminary rating. Under the back-loaded loss
curve, the overcollateralization target is reached after seven months, and then cash is released to the seller.
Using the expected net loss of 12.80%-13.30% and applying the above stresses, the break-even results show that under
both front- and back-loaded loss curves, the class A through E notes are enhanced to the degree necessary to
withstand stressed net loss levels that are consistent with the preliminary ratings assigned.
Sensitivity Analysis
In addition to analyzing break-even cash flows, we conducted a sensitivity analysis to see how the preliminary ratings
on the class A, B, C, D, and E notes could be affected by losses that are moderately higher than what we currently
expect. For the sensitivity scenarios, we also applied a front-loaded and back-loaded loss curve (see table 8 and charts
6 and 7).
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Table 8
Sensitivity Analysis Summary: Moderate 'BBB' Stress (1.75x Base-Case)
Front-loaded loss curve
Cumulative net loss level (%)
22.75
Loss timing by months outstanding
(12/24/36/48/60) (%)
35/65/85/95/100
Voluntary ABS (%)
1.00
Recoveries (%)
40
Recovery lag (mos.)
4
Servicing fee (%)
2.50
Haircut to excess spread (%)
10
Coverage of remaining losses
Class A ('AAA (sf)')
One rating category.
Class B ('AA (sf)')
One rating category.
Class C ('A (sf)')
Two rating categories.
Class D ('BBB (sf)')
Two rating categories.
Class E ('BB- (sf)')
The class E defaults at month 74 with 56% of principal paid.
Slower loss curve
Cumulative net loss level (%)
22.75
Loss timing by months outstanding
(12/24/36/48/60) (%)
20/52/77/92/100
Voluntary ABS (%)
1.00
Recoveries (%)
40
Recovery lag (mos.)
4
Servicing fee (%)
2.50
Haircut to excess spread (%)
10
Coverage of remaining losses
Class A ('AAA (sf)')
One rating category
Class B ('AA (sf)')
One rating category
Class C ('A (sf)')
Two rating categories
Class D ('BBB (sf)')
Two rating categories
Class E ('BB- (sf)')
The class E defaults for nonpayment of interest and principal occur in month 74, at which
point 43% of the class has been repaid.
ABS--Absolute prepayment speed.
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Chart 6
Chart 7
Overall, under the 1.75x stress scenario, all else being equal, we expect our ratings on the class A and B notes to
remain within one rating category of our preliminary 'AAA (sf)' and 'AA (sf)' ratings for the life of the deal, and our
ratings on the class C and D notes to remain within two rating categories of our preliminary 'A (sf)', 'BBB (sf)' ratings
for the life of the deal. The rating on the class E notes are expected to remain within two rating categories of our
preliminary 'BB- (sf)' rating within the first year; the class E notes, however, would eventually default under the above
1.75x moderate stress scenario, with approximately 43%-55% of the principal being repaid to class E. This is consistent
with our credit stability criteria, which state the maximum deterioration is equal to a one-category downgrade within
the first year and a three-category tolerance over three years for 'AAA' and 'AA' rated securities, and a two-category
downgrade within the first year and a three-category tolerance over three years for 'A' and 'BBB' rated securities. The
'BB' rated securities are permitted to default under a 'BBB' stress scenario, (for more information, see "Methodology:
Credit Stability Criteria," May 3, 2010).
Legal Final Maturity
To test the legal final maturity dates set for classes A through D, we determined when the respective notes would be
fully amortized in a zero-loss, zero-prepayment scenario, and then added three months to the result. Furthermore, in
the break-even scenario for each respective rating level, we confirmed that there was sufficient credit enhancement to
both cover losses and repay the related notes in full by the legal final maturity date. To test the legal final maturity date
for the class E notes, we determined the latest maturing loan's distribution date and then added eight months to
accommodate extensions. The notes were all paid off by their legal final maturity dates using these modeling
assumptions.
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Flagship Credit Acceptance LLC (FCA)
Overview
As of March 31, 2017, Flagship (the combined company) had 876 employees and originated automobile loan contracts
in 45 states through approximately 10,300 dealerships, approximately 86% of which are franchised. As of March 31,
2017, Flagship's total assets were approximately $3.02 billion, and its members' equity was approximately $289
million. In third-quarter 2015, the company incurred a one-time expense related to the merger and integration. In
addition, as of December 2015, FC HoldCo LLC increased its provision for credit losses (mainly due to the CarFinance
portfolio), and as a result, on a GAAP basis, posted a net loss of $3.7 million for 2015. Management reported that, after
adjusting for one-time expenses, non-GAAP net income was $17.5 million for full-year 2015, compared with $22.6
million for full-year 2014 and $9.4 million in 2013. Due to an increase in loss provisions in 2016, the company posted a
loss of $27.3 million.
Underwriting
Based on the collateral and vehicle statistics Flagship provided, the company appears to be targeting the mid-subprime
market. Unlike deep subprime pools, in which a large portion of the obligors have no FICO scores, the vast majority of
Flagship's customers have FICO scores; loans with no FICO scores constitute 0.12% of the current pool.
The company's underwriting criteria consist of both automatic rejection parameters and policies that have some
underwriter discretion, subject to an internally specified sign-off authority. Other underwriting guidelines include
maximum PTI (18%), maximum DTI (approximately 50%), maximum mileage (indirect: 90,000 miles; direct: 100,000
miles), maximum term (78 months), and maximum advance (for indirect loans: 125%; for direct: 170% for refinancing
and 150% for purchase).
The company originates indirect loans through its dealer network with more than 10,300 dealers, including
mega-dealers, approximately 86% of which are franchised dealers. The company has area sales managers who are
responsible for a relationship with dealers. Underwriting for the indirect loans is conducted at all the offices, but all
underwriting policies and guidelines are set centrally. In January 2016, the company migrated all indirect originations
to the Flagship brand.
In addition, the company originates direct loans through CarFinance.com. Direct lending is expected to be
approximately 10%-15% of the company's monthly originations. The direct loans are originated through different
channels, including online search functions, web aggregators, and pass-through programs with banks. The company
markets directly to consumers by direct mail or advertising on the Internet. All of the direct loan underwriters are
located in Irvine, Calif. The direct loans are either loans used to finance new vehicles or loans used to refinance
existing vehicles. Most of the direct loans are electronic chattel paper.
FCA uses a proprietary credit scoring model in the underwriting process to quantify risk and establish loan pricing. The
model, which was internally built and implemented in April 2008, assigns loan applicants into 10 credit tiers (excluding
one auto rejection tier). According to management, it has continued to develop and refine the scorecards, and
performance data show that they are more reliable future default risk indicators than FICO scores alone. Since August
2015, the FCA scorecard has been used for all indirect loans. CFC developed and implemented its first scorecard for
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direct lending in March 2015. The models incorporate both obligor attributes (bureau data) and contract characteristics
(loan-to-value, down payment, term, etc.).
All indirect loans are underwritten, verified (income, address, and employment), and funded at locations in Chadds
Ford, Pa. and Tempe, Ariz. The CFC direct loans are underwritten at the Irvine location.
Collections
Both portfolios are serviced at all locations; the servicing personnel are separate, but all policies are set centrally in the
company's Chadds Ford headquarters and apply to both platforms. Management expects to maintain the multiple
locations to serve as part of the company's disaster recovery plan. FCA is the named servicer for both platforms. The
servicer handles the collection activities, including extensions, repossessions, and charge-off accounting.
Obligors submit payments on their auto loans through the mail, online automated clearing house, express payment
options offered by Western Union and Money Gram, or over the phone. The servicer directs all obligor payments to
one or more lockbox accounts. This is further specified in the transaction documents, including the servicer's
responsibility to remit any payments received in the lockboxes to the transaction's collection account within two days
of receipt.
According to the company, it does grant extensions, but requires that:
• The obligor has made at least six payments since the loan was originated; and
• The obligor must not have received an extension in the immediately preceding 12 months.
According to the transaction documents, extensions on a receivable may not exceed eight months, and under no
circumstances may a receivable be extended beyond the collection period immediately preceding the latest final
scheduled distribution date unless the loans are repurchased.
Consistent with previous transactions, Flagship will charge off an account for FCAT 2017-2 if:
• More than 10% of any scheduled auto loan contract payment is unpaid for more than 120 days and the related
financed vehicle has not been repossessed;
• The related financed vehicle has been repossessed and liquidated, or the repossessed vehicle has been held in
repossession inventory for more than 90 days, whichever occurs first; or
• According to the servicer's credit and collection policy, the account is required to be charged off or is deemed
uncollectible.
Company background and management
Flagship's CEO started Flagship Credit Corp. (FCC) in 2005 as a specialty auto finance company focused on buying
loan contracts secured by new and used vehicles purchased by consumers with tarnished credit histories. FCA was
formed in August 2010 after its predecessor entity, FCC, was acquired by investment funds affiliated with Perella
Weinberg Partners (PWP) (the acquisition closed in September 2010). With fresh capital and new owners, FCA
restarted its business in November 2010 by acquiring bulk portfolios and organically growing its own originations. CFC
was founded in March 2011 by its former CEO and affiliates of PWP's "Asset-Based Value Strategy."
The merger of FC Holdco LLC and CF Capital Holdings closed on Jan. 1, 2015, and occurred at the HoldCo level. The
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new merged company is headquartered in Chadds Ford, Pa., and Mike Ritter was appointed as president and CEO of
the merged company.
Mike Ritter has more than 37 years of experience and has served as CEO of FCA since the company's inception and
was previously the CEO at Franklin Acceptance Corp. (a former subsidiary of Copelco). During his 1997-2000 tenure,
he oversaw Franklin's transformation into the original FCC, returned the company to profitability, completed three
S&P Global Ratings-rated auto loan ABS transactions, and grew the portfolio to $841 million before selling the lending
platform (but not the Flagship name) to Wells Fargo in 2000.
In October 2015, Flagship hired John Schwab to join the company as CFO. He has over 20 years of experience in
corporate finance, capital markets, and treasury and has experience as CFO of a publicly traded company. Before
joining Flagship, Mr. Schwab served as executive vice president and CFO of the J.G. Wentworth Co. since 2013.
David Bertoncini, the company's chief operating officer, has 19 years of experience and has been with FCA/FCC since
September 2007. Previously, he was chief marketing officer for a private student lending company and partner and
chief financial officer for Bates White LLC, an economic consulting company. In addition, Christopher Keiser, who
joined FCA in May 2014, is the company's chief compliance officer and general counsel. He has 23 years of experience
and has held various managing counsel positions at Wells Fargo & Co., managing attorneys and support staff in the
bank's core consumer lending operations. We believe the company's management team, collectively, is highly
experienced.
In April 2017, Flagship hired Rush Blevins, SVP and Chief Information Officer from Santander Consumer who reports
directly to the President and CEO.
Related Criteria And Research
Related Criteria
• Criteria - Structured Finance - General: Ratings Above The Sovereign - Structured Finance: Methodology And
Assumptions, Aug. 8, 2016
• Criteria - Structured Finance - General: Methodology: Criteria For Global Structured Finance Transactions Subject
To A Change In Payment Priorities Or Sale Of Collateral Upon A Nonmonetary EOD, March 2, 2015
• Criteria - Structured Finance - General: Criteria Methodology Applied To Fees, Expenses, And Indemnifications,
July 12, 2012
• General Criteria: Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012
• Criteria - Structured Finance - ABS: General Methodology And Assumptions For Rating U.S. Auto Loan
Securitizations, Jan. 11, 2011
• Criteria - Structured Finance - General: Standard & Poor's Revises Criteria Methodology For Servicer Risk
Assessment, May 28, 2009
• Legal Criteria: Legal Criteria For U.S. Structured Finance Transactions: Special-Purpose Entities, Oct. 1, 2006
• Legal Criteria: Legal Criteria For U.S. Structured Finance Transactions: Appendix III: Revised UCC Article 9
Criteria, Oct. 1, 2006
• Legal Criteria: Legal Criteria For U.S. Structured Finance Transactions: Criteria Related To Asset-Backed Securities,
Oct. 1, 2006
• Legal Criteria: Legal Criteria For U.S. Structured Finance Transactions: Securitizations By Code Transferors, Oct. 1,
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2006
• Legal Criteria: Legal Criteria For U.S. Structured Finance Transactions: Select Issues Criteria, Oct. 1, 2006
Related Research
• Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic
Factors, Dec. 16, 2016
• Flagship Credit Auto Trust And CarFinance Capital Auto Trust Ratings Raised On 38 Classes And Affirmed On One,
Nov. 22, 2016
• Standard & Poor's Explains Its Approach To Rating Subprime Auto Loan ABS Transactions, Aug. 29, 2011
In addition to the criteria specific to this type of security (listed above), the following criteria articles, which are
generally applicable to all ratings, may have affected this rating action: "Post-Default Ratings Methodology: When
Does Standard & Poor's Raise A Rating From 'D' Or 'SD'?" March 23, 2015; "Global Framework For Assessing
Operational Risk In Structured Finance Transactions," Oct. 9, 2014; "Methodology: Timeliness of Payments: Grace
Periods, Guarantees, And Use of 'D' And 'SD' Ratings," Oct. 24, 2013; "Counterparty Risk Framework Methodology
And Assumptions," June 25, 2013; "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," Oct. 1, 2012;
"Credit Stability Criteria," May 3, 2010; and "Use Of CreditWatch And Outlooks," Sept. 14, 2009.
The analysts would like to thank Jenna Cilento and Aakansha Khandelwal for their analytical contributions on this
transaction and presale report.
Analytical Team
Primary Credit Analyst:
Ines A Beato, New York (1) 212-438-9372; [email protected]
Secondary Contact:
Robert Jorgensen, New York (212)438-8216; [email protected]
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