Auto ABS

Classes A, B and C benefit from hard credit enhancement levels of 60.80%, 42.80% and 24.57%, respectively, an increase from the comparison deal.

The National Credit Union Administration insures Space Coast's deposits, with the power to repudiate the prime retail auto contracts or re-characterize receivables, potentially reducing or delaying note payments.

The reference pool that supports the credit-linked notes contain 97,444 fully amortizing, fixed-rate prime auto loans that have a total balance of $2.46 billion.

Classes B, C, D and E benefit from credit enhancement levels amounting to 41.35%, 28.45%, 15.30% and 6.15%, and enhancements include a reserve account, excess spread and subordination.

Expectations are for the notes to price at 18 basis points over the three-month interpolated yield curve on the A1 notes, which get 'A1+' and 'F1+' from S&P and Fitch.

Ratings analysts say the A1 through A3 tranches benefit from total hard credit enhancement of 43.00% of the deal's initial principal balance, which includes subordination and a non-declining reserve account of 1.00%.

The company is coming off of a recent period of performance improvements, with gains in net income, cash and cash equivalents.

In one of the deal's positive credit attributes, none of the underlying loans in the collateral have terms longer than 72 months. Such longer-term loans have historically performed worse than shorter-term loans.

Subprime auto loans will repay the outstanding notes, and the collateral pool includes changes such as 85.67% of originated loans in the current pool, with a cutoff date of September 30, falling within CPS' top five credit tiers.

All of the class A notes, of which there are four tranches of notes, have a credit enhancement level of 7.55%, while classes B and C have credit enhancement levels of 5.75% and 2.75%.