KBRA assigns preliminary ratings to six classes of notes issued by Tricolor Auto Securitization Trust 2023-2 (“TAST 2023-2”), a subprime auto loan ABS transaction.

TAST 2023-2 will issue six classes of notes totaling $259.34 million, where credit enhancement consists of overcollateralization, subordination of junior note classes (except for the Class F notes), a cash reserve account and excess spread. The transaction has initial credit enhancement ranging from 50.40% for the Class A notes to 22.95% for the Class F notes. As of the August 31, 2023 final cut-off date, the notes are collateralized by a pool of fixed rate installment automobile loans with a non-zero weighted average FICO score of 589, an average principal balance of $26,494, weighted average APR of 15.73%.

TAST 2023-2 represents the fifth rated ABS securitization for Tricolor Auto Acceptance, LLC (“Tricolor” or the “Company”). The Company has closed five unrated securitizations for a total of approximately $545 million as well as four rated securitizations for a total of approximately $772.1 million. TAST 2023-2 represents Tricolor Auto Acceptance, LLC’s (“Tricolor” or the “Company”) third ABS aligned with the 2021 Social Bond Principles administered by the International Capital Market Association (“ICMA”), as the Issuer intends to utilize the proceeds of the issuance for an eligible social project that provides or promotes access to essential services and/or socioeconomic advancement and empowerment.

KBRA applied its Auto Loan ABS Global Rating Methodology, as well as its Global Structured Finance Counterparty Methodology and ESG Global Rating Methodology as part of its analysis of the static pool data and the underlying collateral pool and stressed the capital structure based upon its stress case cash flow assumptions. KBRA considered its operational review of Tricolor, as well as several business updates with the Company since that time. Operative agreements and legal opinions will be reviewed prior to closing.

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Related Publications

• Auto Loan ABS Global Rating Methodology
• Global Structured Finance Counterparty Methodology
• ESG Global Rating Methodology

Disclosures

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.

About KBRA

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. 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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