Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to three classes of notes issued by Veros Auto Receivables Trust 2021-1 ("VEROS 2021-1"), an asset-backed securitization collateralized by a pool of auto loans.
VEROS 2021-1 will issue three classes of notes totaling $220.44 million, collateralized by a pool of fixed rate retail automobile contracts, made to subprime obligors and secured by primarily used automobiles. VEROS 2021-1 includes a three-month prefunding feature that will allow the purchase of additional receivables up to 11% of the closing plus prefunded collateral pool.
The transaction has initial credit enhancement levels of 31.35% for the Class A Notes, 19.65% for the Class B Notes and 5.50% for the Class C Notes. Credit enhancement consists of overcollateralization, subordination (except for the Class C notes), a reserve account and excess spread.
This transaction is Veros Credit, LLC’s ("Veros") first securitization of 2021 and fourth overall.
KBRA applied its Auto Loan ABS Global Methodology and its Global Structured Finance Counterparty Methodology as part of its analysis of Veros’ historical static pool data, the transaction’s underlying collateral pool and capital structure. KBRA also conducted an on-site operational review of Veros at its Santa Ana, CA headquarters in January 2020 and has held regular diligence calls with Veros. Operative agreements and legal opinions will be reviewed 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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