Consumer Portfolio Service's latest securitization will raise $716.8 million, while including some called collateral and smaller concentrations of loans originated in higher credit tiers, resulting in some underlying asset weakness compared with a previous deal.
Slated for a July 22 closing, the transaction will sell notes through five tranches of fixed notes, with maturities of April 15, 2030, Feb. 18, 2031, Oct. 15, 2032, and Feb. 15, 2034 on the class A, B, C, D and E notes, respectively, according to rating agencies at Morningstar DBRS and S&P Global Ratings.
CPS Auto Receivables Trust, 2026-C has a collateral pool of loans financing used vehicles, which were extended to subprime borrowers. Based on principal balance, the percentage of loans in CPS's top five credit tiers represents 89.62% of the pool, a decrease from 90.30%, according to S&P.
Also based on principal balance, the percentage of loans with original terms of 61-78 months was 86.98%, a decrease from 87.15%. Also, the concentration of loans with original terms longer than 72 months dropped to 55.40%, from 56.79%, S&P said.
The loans' weighted average FCO score dropped to 577 from 558, S&P said, while the portion of new vehicles increased to 14.36%, from 10.81%.
CPS' structure includes overcollateralization, subordination, a reserve fund and available excess spread.
DBRS sets its cumulative net loss assumption level at 20.30%, based on the pool's characteristics on June 30, 2026, its cut-off date.
The classes A, B, C, D and E notes benefit from initial hard credit enhancement levels of 57.80%, 44.20%, 28.80%, 17.70% and 3.40%, respectively. That represented an increase across all asset classes.
DBRS assigns ratings ranging from (P) AAA (sf) on the class A notes to (P) BB (sf) on the E tranche. S&P assigns AAA to the class A notes; and AA, A and BBB to classes B, C, and D notes.
