Consumer Portfolio Services is prepping its second subprime auto loan securitization of the year, according to a presale report published by Standard & Poor’s.
The $250 million CPS Auto Receivables Trust 2015-B will issue five classes of fixed-rate notes. S&P assigned a preliminary AA-to the $166.87 million class A senior notes with a weighted average life (WAL) of 1.22 years; an A’ rating to the $32.5 million class B notes with a WAL of 2.93 years; and a BBB’ rating to the $32.5 million class C notes with a WAL of 3.68 years. The $10 million class D notes and $8.13 million class E notes both have a WAL of 4.08 years and received below investment grade ratings at BB’ and B,’ respectively.
Citigroup is the lead underwriter on the deal.
In its presale report, S&P cites the availability of 45.9%, 38.1%, 29%, 26.3%, and $24.3% of credit support for the class A, B, C, D, and E notes, respectively, as a factor that influenced the ratings. S&P also attributes the preliminary ratings to the timely interest and principal payments made to the notes under its stressed cash flow models, expecting that the class A notes will not decline by more than one category during the first year under a moderate stress scenario of 1.625x its expected net loss level.
The transaction is CPS’ 17th senior subordinate securitization since the beginning of 2011.