California Republic Bank is marketing its fourth auto loan securitization of the year.
California Republic Auto Receivables Trust 2015-4 will offer a total of $379.9 million of notes secured by auto loans that are underwritten to borrowers in California, Texas, Arizona, Nevada, Idaho, Illinois, Missouri, Oklahoma, Washington, Colorado, Kansas and Oregon.
DBRS assigned preliminary 'AAA' ratings to $106 million of class A-2 notes that are due Sept. 17, 2018; $92 million of class A-3 notes that are due Jan. 15, 2020 and $93.9 million of class A-4 notes, due June 15, 2021. The class A-1, money market notes are rated 'R-1' and are due Dec. 15, 2016.
At the subordinate level, the trust will issue $22.2 million of 'A' rated class B notes that are due Nov. 15, 2021 and $12.5 million of 'BBB' rated class C notes that are due Sept. 15, 2022.
The deal is structured similarly to California Republic's previous deal, CRART 2015-3; however the initial credit enhancement of the class A note of the latest transaction is slightly higher at 9.4% compared with 8.10%.
Most of the loans in the collateral pool (72.5%) finance used cars. Borrowers have a weighted average FICO of 696 and loans have a WA loan-to-value ratio of 115.16%. On average the loans are seasoned only one month and have a remaining term of 5.6 years.
The sponsor has issued a total of 11 auto loan securitizations. DBRS stated in the presale report that performance on the first nine deals via the CRART platform has been below initial expectations; cumulative net losses (CNL) are up across all of the transactions. The CRART 2015-2 transaction, after five months since closing is showing CNL of 0.07%. The last auto transaction, CRART 2015-3, was just issued in October 2015, so it is still too early in the transaction’s life to determine anything.
DBRS' base-case CNL projection for CRART 2015-4 pool is 2.50%.
California Republic Bank's managed portfolio is $2.30 billion as of Sept. 30, 2015. CRB manages relationships with approximately 2,100 dealers consisting of approximately 1,807 franchised and 490 independent dealers. Approximately 75% to 80% of the bank’s managed portfolio has been originated through its franchised dealer relationships. As the bank’s automotive business grows, it anticipates maintaining this percentage mix between franchised and independent dealers.