Consumer Portfolio Services (CPS) is launching its 2020 securitization efforts with a highly seasoned portfolio of subprime loans, with a pool that includes a trove of previously securitized subprime auto loans reassigned from a called deal.
According to presale reports, Las Vegas-based CPS has shifted $24 million of existing loans originated as early as October 2013 into the $260 million CPS Auto Receivables Trust 2020-A transaction.
The older loans have boosted the pool seasoning to nine months, compared to CPS’ standard vintage of one- or two-month old loans that usually collateralize CPS ABS platform issues.
CPS also plans to add future loans to the pool for 45 days after the deal closes via an $89 million prefunding account that will make up approximately 34% of the pool balance.
The called collateral is part of an initial $170.9 million pool, with average account balances of $15,033 on mostly used cars that make up 75% of the pool balance.
DBRS Morningstar and Moody’s Investors Service have assigned preliminary triple-A ratings to the deal’s $130 million Class A senior-note tranche. Those notes benefit from about 51% credit enhancement.
CPS underwrites high-cost, second-look loans (average APR of 19.2%) through independent and franchise dealers to borrowers with poor or no credit. The weighted average borrower FICO score is 561, or deep subprime territory. The 2020-A transaction’s borrower accounts contain little or no equity, with average loan-to-value ratios of 116%.
Moody’s has a cumulative net loss expectation of 19% on the pool, while DBRS has a base-case loss expectation of 15.65%.
