Consumer Portfolio Services' latest subprime auto loan securitization has the largest ever concentration of longer-term loans.
A significant portion have terms of six years or longer.
In its fourth securitization of the year through the CPS Auto Receivables Trust platform, CPS has packaged $127.7 million in primarily used-car subprime loans. Nearly seventy three percent of loans used as collateral have terms of 67 months or greater, according to DBRS; by comparison, two the sponsor's three prior deal had concentrations of 66% or lower.
The average original term length has stretched to 68.59 months, a period not reached in previous CPS deals, according to DBRS.
More than 10% are loans in 2016-D are 73-75 months, the type of which CPS has only securitized once in its past nine securitizations.
Partly as a result, the latest transaction comes with one of the highest-ever credit enhancement support levels (53.3% for the senior notes) and cumulative net loss projections (17.5%) than has occurred in recent CPS asset-backed deals.
The five classes of notes in 2016-D are led by a $100.17 million, Class A series of notes with a provisional ‘AAA’ structured finance rating from DBRS. The Class B notes, sized at $28.9 million, are rated ‘AA (high)’, and the $32.7 million Class C notes carry an ‘A’ rating.
The subordinate tranches are the $24.6 million Class D notes (rated ‘BBB (low)’) and the $20 million Class E notes (rated ‘BB (low)’).
The Class A notes carry a 53.3% credit enhancement, including a 1% reserve account, overcollaterization of 1.75% and subordination of 50.55% of the initial pool balance. The OC has a target rate of 5.15%, based on available excess spread, according to DBRS, subject to a floor of 2.5%.
CE levels were 49% for its previous 2016-C transaction, and slightly above the 53.1% from the second securitization by the CPS trust earlier this year.
The average loan size if $16,386, higher than its two previous transactions – $14,458 in 2016-C and $15,879 in 2015-B – but lower than the trust’s first issuance of the year ($16,664 in 2016-A). The average APR has declined slightly to 19.34% from the previous two transactions.
This is the 23rd securitization for Consumer Portfolio Services since 2010.
The deal is expected to close Oct. 19.
CPS is an indirect lender purchasing loan contracts originated at partnering dealerships; 75% are from manufacturer-franchised dealers.
