A pool of subprime auto receivables is securing $286.1 million in auto asset-backed securities (ABS) from the CPS Auto Receivables Trust 2023-D, the fourth auto ABS from subprime auto lender Consumer Portfolio Services this year.
CPS Auto Receivables Trust 2023D will issue fixed-rate notes through five classes, and repay through the five tranches through a senior-subordinate priority, according to ratings analysts from S&P Global Ratings. Capital One Securities and Citigroup Global Markets are managers on the deal, according to Asset Securitization Report's deal database.
On a cumulative basis, S&P expects a net loss of 19.75% on the outstanding notes, according to S&P. But that cumulative net loss is offset by a number of layers of credit protection. Looking more closely at the individual note tranches, they have about 59.48%, 51.64%, 39.75% and 30.69% in credit support on the classes A, B, C and D notes, S&P said. The credit support levels provide coverage of about 3.00x, 2.60x, 2.00x and 1.55x on the A, B, C, and D notes, respectively.
The current trust has several structural changes from the CPSART 2023-C, according to the rating agency. For one, the A, B, C and D notes benefit from total initial hard credit enhancement of 58.25%, 45.70%, 20.50%, and 18.50%, respectively, the rating agency said. Subordination levels and target overcollateralization also increased on the notes, the rating agency said.
CPS' securitization notes aren't the only aspects of the deal that had beneficial changes; the supporting revenue stream also looked better, compared with the 2023-C deal. Some 85.67% of originated loans in the current pool, with a cutoff date of September 30, fell within CPS' top five credit tiers, S&P said. New vehicles accounted for 7.08% of the pool, up from 6.65%.
The portion of loans with original terms of 73-78 months accounted for 25.63% of the pool, up from 22.69% in the CPSART 2023-C pool. That transaction was actually the first to include loans with original terms ranging from 76 to 78 months.
S&P assigns 'AAA', 'AA' and 'A' ratings to classes A, B and C, respectively and 'BBB' to the class D notes.
