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Kroll Bond Rating Agency Assigns Preliminary Ratings to CPS Auto Receivables Trust 2017-B


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

CPS Auto Receivables Trust 2017-B (“CPSART 2017-B”) will issue five classes of notes totaling $224.94 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 56.80% for the Class A notes, 39.85% for the Class B notes, 25.00% for the Class C notes, 12.95% for the Class D notes and 3.10% 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 second term ABS securitization in 2017 and the 25th 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 73 transactions in total that were supported by aggregate original collateral of approximately $11.6 billion. This is the first 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.

For complete details on the analysis, please see KBRA’s Pre-Sale Report, CPS Auto Receivables Trust 2017-B Pre-Sale Report, which was published today at www.kbra.com.

Preliminary Ratings Assigned: CPS Auto Receivables Trust 2017-B

Class             Preliminary Rating             Expected Initial Principal Balance
A             AAA (sf)             $101,660,000
B             AA (sf)             $38,985,000
C             A (sf)             $34,155,000
D             BBB (sf)             $27,715,000
E             BB- (sf)             $22,655,000

Related Publications:

U.S. Auto Loan ABS Rating Methodology

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).

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