A subprime auto deal from Consumer Portfolio Services priced March 12, according to a source close to the transaction. The entire transaction was for $185 million. An A class for a total $142 million priced at 95 basis points over the eurodollar synthetic forward. The tranche was split-rated, scoring an ‘A1 (sf)’ from Moody’s Investors Service and a ‘AA- (sf)’ from Standard and Poor’s.
A B piece, for $16.7 million, priced at 150 basis points over the interpolated swaps curve. That class was rated ‘A2 (sf)’/‘A (sf)’. A C tranche, for $11.1 million, priced at 230 basis points over the interpolated swaps curve. Its rating was ‘Baa2 (sf)’/‘BBB (sf).’
The deal is slated to close March 20. Citigroup Global Markets and CRT Capital Group are the arrangers.
The deal’s A class piece has an initial subordination of 23.25%. This helps give the tranche a credit support of 41.6%. CPS issued its first post-crisis standalone ABS in September 2010, according to S&P. The agency has rated 42 of the company’s securitizations since 2001. “The company’s liquidity has improved in recent years, as it has secured multi-year credit lines from multiple sources,” the agency said.
The weighted average FICO score of the borrowers in the underlying pool is 562.
While the company — like so many others currently in the subprime space — is ramping up origination, it is doing so, S&P said, “in a controlled manner.”