Consumer Portfolio Services, American Credit Acceptance, Santander Consumer, and CarMax launched four securitizations of subprime loans (CPS and ACA), prime loans (CarMax), and in the case of Santander’s Chrysler Capital, something in between. The offerings total over $2.5 billion.
Consumer Portfolio Services
The $332.69 million CPS Auto Receivables Trust will issue five classes of notes: initial credit enhancement for the class A notes, rated AAA by DBRS, is 53.10%; enhancement for the AA (high) rated class B notes is 37.30%; enhancement for the A (low) rated class C notes is 20.75%; enhancement for the BBB rated class D notes is 10.45%; and enhancement for the BB (low) rated class E note is 3.15%.
The average loan size ($15,879), annual percentage rate (19.74%), original term (67.36 months), and FICO score (564) of the pool are similar to those of CPS’ previous deal, completed this year. However, the percentage of loans backed by new cars has lower, at 21.0%, versus 25.53% for the previous deal.
Loans in both deals were seasoned for a single month, on average.
The transaction will use prefunding that will be approximately 34% of the closing date bond balance. The prefunding period of 45 days after closing, during which the sponsor will purchase the remainder of the collateral. These loans will be subject to concentration limits, which will maintain the consistency of the collateral pool.
American Credit Acceptance Trust
The $220 million American Credit Acceptance Receivables Trust 2016-2 will issue four tranches of notes with preliminary ratings from Kroll Bond Rating Agency. The class A notes are rated AAA and benefit from 51.5% credit enhancement; the class B notes are rated A and have 36% enhancement; the class C notes are rated BBB and have 22.5% enhancement; and the class C notes are rated BB and have 16% enhancement.
ACA focuses on lower quality subprime obligors with an average FICO score in the low to mid- 500s. Approximately 13.44% of the loans in the ACAR 2016-2 transaction have no FICO score. This transaction has a lowest weighted average FICO and a higher coupon than recent ACA deals; but it also a lower weighted average loan-to-value ratio than recent transactions.
Loans in the latest deal are also seasoned less, on average, because the collateral includes fewer loans from prior transactions that have been called.
Like CPS’ deal, this one includes a prefunding account that will be used to purchase additional receivables up to 18.81% of the initial cutoff date pool balance and expected balance of the subsequent receivables for up to two months after closing.
Santander Consumer
The $751.6 million Chrysler Capital Auto Receivables Trust 2016-A will issue eight tranches of notes, including a $143 million money market tranche at three tranches with preliminary AAA ratings from Fitch Ratings; all four benefit from credit enhancement of 20%.
Citibank is the lead underwriter.
The notes are backed by a pool of new and used vehicle loans, of which 87.5% were originated and acquired by Santander through its Chrysler Capital division, and the remaining 12.5% through other “nonprime” channels. It is only the seventh transaction since the securitization program was launched in 2013.
Fitch classifies the collateral as a mix of “prime” and “non-prime,” noting that Santander’s various auto loan portfolios recorded rising delinquencies and cumulative net losses through 2015. Fitch’s base case expectation for cumulative net losses for this transaction is 5.20%.
Among changes in the collateral of this deal cited by Fitch is a reduction in loans with terms of 60-plus months’ these total 81%, including 20% with terms of 73–75 months. By comparison, the concentration in prior pools ranges from 82% to 88%.
CarMax
The $1.175 billion CarMax Auto Owner Trust 2016-2 will issue eight classes of notes, including a $230 million money market tranche and four classes with preliminary AAA ratings from Fitch Ratings; all of them benefit from credit enhancement of 6.9%.
RBC Capital Markets is the underwriter.
The collateral is slightly stronger than that of CarMax’s first securitization of the year, but overall consistent compared to the prior five transactions from a collateral credit quality perspective. The weighted average FICO is 704. However, loans with terms greater than 60 months represent 60.5% of this pool, the highest level in a CarMax deal since 2013-4.
