KBRA Assigns Preliminary Ratings to CPS Auto Receivables Trust 2017-D

NEW YORK--()--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to five classes of CPS Auto Receivables Trust 2017-D (“CPSART 2017-D”), an auto loan ABS transaction.

CPS Auto Receivables Trust 2017-D (“CPSART 2017-D”) will issue five classes of notes totaling $196.30 million that are collateralized by a trust certificate backed by a pool of fixed rate retail automobile contracts, made to subprime obligors and secured by new and used automobiles, light trucks, vans and minivans.

The preliminary ratings reflect the initial credit enhancement levels of 55.30% for the Class A notes, 39.05% for the Class B notes, 25.10% for the Class C notes, 13.20% for the Class D notes and 2.85% for the Class E notes. Credit enhancement for the notes consists of the reserve account, overcollateralization, excess interest on the receivables and subordination (except for the Class E notes).

This transaction represents the fourth term ABS securitization in 2017 and the 27th since 2010 for Consumer Portfolio Services, Inc. (“CPS” or the “Company”). All of CPS securitizations prior to 2008 benefited from a bond insurance policy, for the senior- most class. The Company issued its first securitization in 1994 and 75 transactions in total that were supported by aggregate original collateral of approximately $12.1 billion. This is the third securitization that KBRA has rated for CPS.

KBRA applied its U.S. Auto Loan ABS methodology as part of its analysis of the transaction’s underlying collateral pool, the proposed capital structure and CPS’s historical static pool data. KBRA also conducted an operational assessment on the originator and servicer, as well as a review of the transaction’s legal structure and transaction documents. KBRA will also review the operative agreements and legal opinions for the transaction prior to closing.

Preliminary Ratings Assigned: CPS Auto Receivables Trust 2017-D

 
Class Preliminary Rating Principal Balance
A AAA (sf) $91,400,000
B AA (sf) $32,500,000
C A (sf) $27,900,000
D BBB (sf) $23,800,000
E BB- (sf) $20,700,000

Representations & Warranties Disclosure

All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC Rule 17g-7, to provide a description of a transaction’s representations, warranties and enforcement mechanisms that are available to investors when issuing credit ratings. KBRA’s disclosure for this transaction can be found in the report entitled, CPS Auto Receivables Trust 2017-D Representations and Warranties Disclosure

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About Kroll Bond Rating Agency

KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).

Contacts

Kroll Bond Rating Agency
Analytical:
Jenny Ovalle, Associate Director
646-731-2309
jovalle@kbra.com
or
Haksun Kim, Director
646-731-2412
hkim@kbra.com
or
Andrew Silverhardt, Analyst
646-731-2492
asilverhardt@kbra.com,
or
Rosemary Kelley, Senior Managing Director
646-731-2337
rkelley@kbra.com

Contacts

Kroll Bond Rating Agency
Analytical:
Jenny Ovalle, Associate Director
646-731-2309
jovalle@kbra.com
or
Haksun Kim, Director
646-731-2412
hkim@kbra.com
or
Andrew Silverhardt, Analyst
646-731-2492
asilverhardt@kbra.com,
or
Rosemary Kelley, Senior Managing Director
646-731-2337
rkelley@kbra.com