Exeter ABS loss forecast holds steady despite higher LTVs

Stronger credit scores and shorter loan terms offset higher loan-to-value ratios and lower seasoning in Exeter Finance’s latest securitization, prompting Moody’s Investors Service and S&P Global Ratings to keep loss expectations unchanged from the lender’s previous securitization.

Collateral quality in the $797.9 million transaction is “slightly better” than it was in Exeter’s previous securitization, both rating agencies noted. The weighted average FICO is 563, compared with 560 in Exeter’s last transaction, while the percentage of loans with terms greater than 60 months decreased 37 basis points to 85.6%.

Since early 2018, LTVs in Exeter’s securitizations have increased. The percentage of securitized assets with LTVs of at least 130% hit 17% this year, up from 9% in Exeter’s first transaction of 2018. Meanwhile, the ratio of securitized assets with LTVs less than 105% came in at 26%, down from 34% in the 2018-1 securitization, according to Moody’s.

Moody’s cumulative net loss (CNL) forecast for the deal is 21%, unchanged from its expectation for Exeter’s 2018-4 transaction. S&P projects a CNL between 20.5% and 21.5%.

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