Consumer Portfolio Services priced $273 million of securities backed by subprime auto loan receivables.
Citigroup, the lead underwriter on the deal, sold the class A notes, rated a AA-’ by S&P and AAA’ by DBRS, at a spread ten basis points narrower than initial guidance. The notes, due Feb. 15, 2019, priced at 85 basis points over the Eurodollar synthetic forward, according to an Interactive Data report.
The deal, CPS Auto Receivables Trust 2014-C, also sold the $36 million of A’ rated, class B notes, due Aug. 17, 2020, at 145 basis points over interpolated swaps curve. The $28.67 million of BBB’ rated class C notes, due Aug. 17, 2020, were sold at 230 basis points over interpolated swaps curve and the BB’ rated class D notes, due Aug. 17, 2020, sold at 325 basis points over interpolated swaps.
This transaction is the third securitization for CPS this year but follows recent negative headlines regarding the Department of Justice’s investigation into subprime lending practices and securitizations. Last month the DOJ subpoenaed General Motors and Santander Consumer USA for documents related to their subprime auto-lending.
CPS will prefund approximately $87.8 million, which will constitute approximately 32.1% of the total pool, during a 60-day prefunding period that ends on Oct. 31. 2014.
Compared with CPS’ previous securitization, completed in June, the percentage of loans in CPS’ top four credit tiers (Preferred, Super Alpha, Alpha Plus, and Alpha) increased to 76% from 73.9%. The percentage of loans originated under CPS' lower credit tiers (Standard, Delta, and First-Time Buyer) decreased to 24.0% from 26.1%.
The issuer also increased the percentage of new vehicles included in the pool to 19.3% from 14.8%. The weighted average FICO of the pool remained relatively the same at 568 from 569 and the percentage of loans with original terms of 61-72 months increased to 63.3% from 58.3%.