I uploaded the prospectus and loan tape for an Exeter Automobile Receivables Trust deal (EART 20XX-X) and ran the full underwriting workflow. Within minutes, Graam's agent produced a complete IC report.
The agent parsed the deal structure, extracted a 10-tranche sequential-pay waterfall with an excess turbo mechanism, and validated it against the flows engine. It then stratified the 59,907-loan tape by FICO, rate, term, new/used split, geography, and vehicle make — and queried EDGAR shelf performance to build empirical loss curves from matched Exeter deals.
What made this interesting: the matched comps were Exeter subprime deals (avg FICO 598, avg rate 21.8%), while EART 20XX-X is a near-prime pool (FICO 696, rate 9.0%). The agent flagged the mismatch and noted that the base curves likely overstate losses by 40–60% — a conservative bias that actually strengthens the case for the senior tranches.
Result: all seven offered tranches (A1 through E) cleared the waterfall with no shortfalls under the base scenario. The E tranche showed a negative yield at par, confirming its equity-like first-loss character.
Here's the full IC-style report generated from that workflow.
Prepared for: Investment Committee
Asset Class: Prime/Near-Prime Auto ABS
Deal Reference: @exeter_auto
1. Executive Summary
Exeter Automobile Receivables Trust 20XX-X is a sequential-pay auto loan ABS backed by a pool of 59,907 retail automobile contracts with a collateral balance of $1,670M (tape) and a deal issuance balance of $1,134.5M. The pool carries a WA FICO of 696 and a WAC of 21.1% (deal) / 9.0% (tape WA rate), with a WA original term of 75 months.
Key Pool Metrics
| Metric | Value |
|---|---|
| Issuance Balance | $1,134,491,333 |
| Collateral Balance (Tape) | $1,670,000,000 |
| Loan Count | 59,907 |
| WA FICO | 696 |
| WAC (Deal / Tape) | 21.1% / 9.0% |
| WA Original Term | 75 months |
| Closing Date | — |
The capital structure comprises 10 tranches in a sequential-pay waterfall with an excess turbo mechanism. Under base assumptions (CDR avg 13.85%, CPR avg 9.53%, severity avg 62.5%), all offered tranches from A1 through E pay in full with no shortfalls.
2. Deal Structure
2a. Capital Stack
The deal is structured as a sequential-pay transaction. Principal flows A1 → A2 → A3 → B → C → D → E. Losses are allocated in reverse seniority (CERTIFICATE → E → D → C → B → A3 → A2 → A1).
| Tranche | Balance | Coupon | Type | % of Deal |
|---|---|---|---|---|
| A1 | $94,200,000 | 3.90% | Senior | 8.3% |
| A2 | $241,000,000 | 4.08% | Senior | 21.2% |
| A3 | $226,420,000 | 4.03% | Senior | 20.0% |
| B | $118,510,000 | 4.22% | Mezzanine | 10.5% |
| C | $123,000,000 | 4.40% | Mezzanine | 10.8% |
| D | $162,310,000 | 5.00% | Subordinate | 14.3% |
| E | $103,340,000 | 6.69% | Subordinate | 9.1% |
| N | $30,000,000 | 6.45% | Certificate | 2.6% |
| RESERVE | $11,232,587 | N/A | Reserve Fund | 1.0% |
| CERTIFICATE | $24,478,746 | N/A | First Loss | 2.2% |
2b. Key Structural Features
- Payment Priority: Sequential (principal flows A1 → A2 → A3 → B → C → D → E)
- Interest Priority: Sequential (B → C → D → E)
- Excess Turbo: Excess spread directed sequentially to accelerate principal (A1 → E)
- Excess Release: Residual to CERTIFICATE
- Reserve Fund: $11.2M (~1.0% of deal balance)
- Clean-Up Call: Optional redemption when pool balance falls below 5% of original collateral value
- WAL Test: 0 of 36 tests failed (RMSE: 0.0348 years; Max Error: 0.0634 years) — PASSED
3. Collateral Analysis
3a. Pool Overview
| Characteristic | Detail |
|---|---|
| Loan Count | 59,907 |
| Pool Balance | $1,670,000,000 |
| Average Loan Size | $27,875 |
| WA FICO | 696 |
| WAC (Tape) | 9.0% |
| WA Original Term | 72 months |
| Delinquent at Cutoff | 6.8% (3,510 loans, $113M) |
3b. FICO Distribution
| FICO Bucket | % of Balance |
|---|---|
| 720+ | 47.3% |
| 660–719 | 45.8% |
| 620–659 | 2.3% |
| <620 | 4.6% (1,915 loans) |
| No Score | 3.2% (3,046 loans) |
93.1% of the pool is FICO 660+. Sub-620 exposure limited at 4.6%.
3c. Rate Distribution
| Rate Bucket | % of Balance |
|---|---|
| 0–5% | 12.4% |
| 5–10% | 65.3% |
| 10–15% | 18.6% |
| >15% | 3.7% |
65.3% of loans carry rates between 5–10%, consistent with near-prime origination.
3d. Term Distribution
| Term Bucket | % of Loans |
|---|---|
| ≤36 months | 0.1% |
| 37–60 months | 8.8% |
| 61–72 months | 15.3% |
| >72 months | 75.8% |
3e. New vs. Used
| Type | % of Balance | Avg Loan |
|---|---|---|
| New | 41.1% | $37,500 |
| Used | 58.9% | $23,641 |
3f. Geographic Concentration
| State | % of Balance |
|---|---|
| Texas | 13.4% |
| Florida | 8.6% |
| California | 6.9% |
| Top 3 Combined | 28.9% |
No single state exceeds 15%. Geographic diversification is adequate.
3g. Vehicle Make Concentration
| Make | % of Balance |
|---|---|
| Chevrolet | 16.1% |
| Ford | 13.9% |
| RAM | 8.9% |
| Jeep | 8.1% |
| Tesla | 4.6% ($77M) |
| Other (20+ makes) | 48.4% |
3h. Key Risk Factors
- Extended-Term Exposure (75.8% >72 months): The dominant risk factor. Longer-term loans carry higher cumulative default probability and slower amortization, increasing loss severity on defaults.
- Used Vehicle Concentration (58.9%): Used car values have been volatile post-COVID; a normalization in prices increases severity on defaults due to faster depreciation.
- Delinquency at Cutoff (6.8%): Elevated vs. typical prime pools. Delinquent loans (avg FICO 671, avg balance $32,239) represent a higher-risk segment that could accelerate early-period losses.
- Tesla EV Exposure (4.6%): EV residual values face structural uncertainty from rapid model refreshes, charging infrastructure changes, and brand-specific risks.
- No-Score Borrowers (3.2%): 3,046 loans with no FICO carry a 14.0% WA rate — the highest-rate bucket in the pool.
4. Historical Performance (Empirical Benchmarks)
4a. Matched Deal Universe
The empirical engine matched 3 comparable Exeter deals from EDGAR shelf data. However, the matched deals are materially different from the subject pool.
| Deal | Vintage | WA FICO | WA Rate | Seasoning | CNL @ 12M | Similarity |
|---|---|---|---|---|---|---|
| Exeter Deal A | — | 600 | 21.5% | 12 mo | 3.5% | 52% |
| Exeter Deal B | — | 597 | 21.8% | 16 mo | 3.5% | 51% |
| Exeter Deal C | — | 596 | 22.2% | 18 mo | 4.2% | 50% |
4b. Empirical CNL Milestones (3-Deal Average)
| Month | CNL | CDR (Ann.) | Severity | VPR |
|---|---|---|---|---|
| 12M | 3.68% | 11.17% | 54.43% | 11.55% |
| 18M | 7.50% | 14.37% | 59.41% | 8.69% |
| 24M+ | — | — | — | — |
Data available through month 19 only. Longer-dated milestones require older vintage deals not yet in the database.
Key Observations
- CDR ramps from near-zero in months 1–3 to a peak of ~11.96% at month 11, then stabilizes in the 11–14% range through month 18
- This seasoning pattern is consistent with typical subprime auto defaults — but EART 20XX-X's near-prime collateral should perform materially better
- Severity rises from ~40% early to ~60% at 18 months, reflecting used vehicle depreciation and recovery costs
- Analysts should consider applying a 40–60% haircut to CDR for a true base case given the FICO mismatch
5. Loss & Prepay Forecast
5a. Base Scenario Curve Assumptions
| Curve | Average | Range | Source |
|---|---|---|---|
| CDR (annualized) | 13.85% | 0.00%–15.97% | 19 months empirical + extrapolation |
| CPR (voluntary) | 9.53% | 0.00%–12.23% | 3 matched deals |
| Severity | 62.52% | 40.33%–100.00% | 18 months empirical + extrapolation |
5b. Projected Loss Trajectory
| Month | Projected CDR | Projected Severity | Implied Monthly Loss |
|---|---|---|---|
| 12M | ~11.17% | ~54.4% | ~0.51% |
| 18M | ~14.37% | ~59.4% | ~0.71% |
| 24M+ | ~15.97% (peak) | ~62.5% | ~0.83% |
Terminal CNL estimated at 18–25% of original balance under base curves given the comp mismatch. Actual losses for this near-prime pool likely 40–60% lower.
6. Breakeven Loss Analysis
6a. Credit Enhancement by Tranche
| Tranche | Balance | Sub Below ($M) | CE % of Deal |
|---|---|---|---|
| A1 | $94.2M | $1,040.3M | 91.7% |
| A2 | $241.0M | $799.3M | 70.5% |
| A3 | $226.4M | $572.9M | 50.5% |
| B | $118.5M | $454.4M | 40.1% |
| C | $123.0M | $331.4M | 29.2% |
| D | $162.3M | $169.1M | 14.9% |
| E | $103.3M | $65.7M | 5.8% |
| CERTIFICATE | $24.5M | $0 | 0.0% |
Waterfall result (base scenario): All 7 offered tranches (A1 through E) paid in full with no shortfalls under the conservative base assumptions. Given that the base curves are calibrated to subprime comps (~100 FICO points below this pool), the actual cushion for EART 20XX-X is likely significantly wider than implied.
7. Waterfall & Tranche Analytics
7a. Bond Analytics (Base Scenario, Price = 100)
| Tranche | Balance | Coupon | WAL (yrs) | Yield | Type |
|---|---|---|---|---|---|
| A1 | $94,200,000 | 3.90% | 0.14 | 5.14% | Senior |
| A2 | $241,000,000 | 4.08% | 0.58 | 4.44% | Senior |
| A3 | $226,420,000 | 4.03% | 1.17 | 4.22% | Senior |
| B | $118,510,000 | 4.22% | 1.68 | 4.38% | Mezzanine |
| C | $123,000,000 | 4.40% | 2.10 | 4.54% | Mezzanine |
| D | $162,310,000 | 5.00% | 2.76 | 5.14% | Subordinate |
| E | $103,340,000 | 6.69% | 3.56 | -2.27% | Subordinate |
Yield Observations
- A1 (WAL 0.14 years): Essentially money-market equivalent. 5.14% yield at par is attractive — implies the excess turbo is accelerating paydown significantly
- A2/A3 (WAL 0.58–1.17 years): Short-duration senior paper at 4.22–4.44%. Straightforward
- B/C (WAL 1.68–2.10 years): Modest yield pickup at 4.38–4.54%. Adequate subordination buffer
- D (WAL 2.76 years): 5.14% yield — reasonable compensation for subordination risk at 14.9% CE
- E (WAL 3.56 years, yield -2.27% at par): The negative yield confirms this tranche should not be purchased at par. The 6.69% coupon is insufficient to compensate for projected losses under the conservative base. Requires a significant discount (est. 15–25 points) to achieve a positive return
8. Purchase Recommendation
| Tranche | Coupon | WAL | Yield @ Par | Recommendation |
|---|---|---|---|---|
| A1 | 3.90% | 0.14y | 5.14% | Monitor — very short WAL; attractive yield but limited duration |
| A2 | 4.08% | 0.58y | 4.44% | Neutral — fair value for short senior paper |
| A3 | 4.03% | 1.17y | 4.22% | Neutral — adequate CE; reasonable yield |
| B | 4.22% | 1.68y | 4.38% | Neutral — modest spread over seniors |
| C | 4.40% | 2.10y | 4.54% | Neutral — adequate subordination buffer |
| D | 5.00% | 2.76y | 5.14% | Cautious — limited CE; comp mismatch in loss curves |
| E | 6.69% | 3.56y | -2.27% | Do Not Buy at Par — requires discount pricing |
Preferred entry points: A1–A3 offer the best risk-adjusted profile given the high CE levels (50–92%), short WALs, and the likelihood that actual pool performance will be materially better than the subprime-calibrated base curves. The E tranche would need to be purchased at an estimated 15–25 point discount to achieve a positive risk-adjusted return.
9. Key Risks
9a. Credit Risks
| Risk | Severity | Detail |
|---|---|---|
| Comp Mismatch | MEDIUM | Matched deals are subprime (FICO 598, rate 22%) vs. near-prime pool (FICO 696, rate 9%). Creates conservative bias — protects seniors but limits precision |
| Delinquency at Cutoff | MEDIUM | 6.8% delinquent at cutoff; elevated vs. prime. Avg FICO 671, avg balance $32K — adverse selection risk |
| Extended-Term Exposure | HIGH | 75.8% of loans >72 months. Higher cumulative default probability and slower equity build-up |
| Sub-620 FICO Tail | MEDIUM | 4.6% of balance with FICO <620 carries disproportionate loss risk at avg loan $40K |
9b. Collateral & Structural Risks
| Risk | Detail |
|---|---|
| Used Vehicle Depreciation | 58.9% used vehicles; Manheim index has declined from 2021–2022 peaks. Further normalization increases severity |
| Tesla / EV Residual | 4.6% Tesla exposure ($77M) faces structural uncertainty from model refreshes and brand-specific risks |
| Geographic Concentration | TX (13.4%) + FL (8.6%) = 22% in two hurricane-exposed states |
| E Tranche Pricing | Negative yield at par; structurally first-loss. Should be treated as equity-like |
| Clean-Up Call (5%) | Optional redemption may extend subordinate tranche life if not exercised — extension risk for D and E |
| Excess Turbo Dependency | Senior paydown speed depends on excess spread. WAC compression from high-rate prepays slows turbo and extends WALs |
9c. Macro Sensitivity
| Risk | Detail |
|---|---|
| Unemployment | Auto defaults highly correlated with unemployment. A 1–2% increase could push CDR 20–30% above base |
| Used Car Price Decline | Further Manheim normalization increases loss severity on defaulted collateral |
| Rate Environment | At WAC 9.0% (tape), refinancing incentive is limited. CPR unlikely to accelerate unless rates decline significantly |
Report generated from deal model @exeter_auto. All projected values are model outputs based on empirical curves from 3 matched Exeter deals. Empirical data available through month 19 only; 24M+ milestones are extrapolated. Comp mismatch (FICO 598 vs. 696; rate 21.8% vs. 9.0%) should be considered when interpreting loss projections.