KBRA assigns preliminary ratings to eight classes of notes issued by Westlake Automobile Receivables Trust 2023-2 (“WLAKE 2023-2”), an asset-backed securitization collateralized by a pool of auto loans.
WLAKE 2022-3 will issue eight classes (Class A-2 consists of A-2-A and A-2-B) of notes totaling $898.33 million. The preliminary ratings reflect initial credit enhancement of 42.60% for the Class A-1, Class A-2, and Class A-3 notes, through 12.30% for the Class E notes. Credit enhancement will consist of subordination (except for the Class E notes), overcollateralization, a reserve account and excess spread.
This transaction represents the second term ABS securitization in 2023 for Westlake Services, LLC (“Westlake” or the “Company”). The Company has issued 30 subprime auto loan ABS securitizations since May 2010. Most of Westlake’s borrowers have experienced prior credit difficulties and generally have credit bureau scores ranging from 500 to 700. Loans are originated through independent and franchise dealers and segmented into three credit tiers (Standard, Gold and Platinum) each based on a borrower’s credit bureau score. Westlake also utilizes a proprietary model to calculate a customer factor for each loan.
KBRA applied its Auto Loan ABS Global Methodology as well as its Global Structured Finance Counterparty Methodology and ESG Global Rating Methodology as part of its analysis of the portfolio pool data, underlying collateral pool, and capital structure. KBRA considered its operational reviews of Westlake, as well as periodic due diligence calls with the Company. Operative agreements and legal opinions will be reviewed prior to closing.
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- Auto Loan ABS Global Rating Methodology
- Global Structured Finance Counterparty Methodology
- ESG Global Rating Methodology
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. 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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