Consumer Portfolio Services is preparing its 51st securitization, raising $280.9 million in asset-backed bonds secured by loan contracts on a range of used auto models, including light-duty trucks, vans and minivans.
The rule 144A deal will issue five classes of notes that will repay investors sequentially through a senior-subordinate structure, in which no subordinate notes will receive any principal payment until the senior class notes are fully paid, according to ratings analysts from S&P Global Ratings and DBRS Morningstar.
Initial hard credit enhancement on the notes, all of which are fixed rate, ranges from 58.25% on the class A notes to 7.55% on the class E notes, according to DBRS. There is also a reserve account that amounts to 1.00% of the original pool balance on all of the notes, according to the rating agency.
DBRS notes that the loans in the collateral pool, most of which are used 92.2%, have an average principal balance of $19,268. They have a weighted average (WA) annual percentage rate of 20.71%, remaining terms of 66.42%, an average FICO score of 579, and a loan-to-value ratio of 120.9%.
S&P notes that the classes A, B, C and D notes provide credit support coverage of about 3.00x, 2.60x, 2.00x and 1.55x, respectively, of its expected 19.75% cumulative net loss levels for the notes. The cumulative net loss expectation is unchanged from CPSTART 2023-D, S&P said, even after the rating agency factored in the performance record of certain outstanding CPS program note series, like 2022 and 2023 in particular.
Overcollateralization also shores up the notes, starting at 6.55%, and is expected to build to either 9.55% of the original pool balance or 26.55% of the collateral balance at the end of the immediately preceding period, DBRS said. OC is also subject to a floor of 2.50% of the original pool balance.
DBRS expects to assign AAA to the class A notes; AA to the class B notes; A to the class C notes; BBB to the class D notes; and BB to the class E notes. S&P preliminarily assigns ratings of AAA to the class A notes; AA to the class B notes; A to the class Cs; and BBB to the class D notes. It will not rate class E. S&P says the notes have legal final maturity dates that range from Sept. 15, 2027 through Aug. 15, 2031.
