CPS Auto Receivables Trust 2019-A Notes Assigned Preliminary Ratings

OVERVIEW
  • CPS Auto Receivables Trust 2019-A's note issuance is an ABS transaction backed by subprime auto loan receivables.
  • We assigned our preliminary ratings to the class A, B, C, D, and E notes.
  • The preliminary ratings reflect our view of the transaction's credit support, payment and credit enhancement structure, and timely interest and principal payments, among other factors.
 
NEW YORK (S&P Global Ratings) Jan. 10, 2019--S&P Global Ratings today assigned 
its preliminary ratings to CPS Auto Receivables Trust 2019-A's asset-backed 
notes (see list).

The note issuance is asset-backed securities (ABS) transaction backed by 
subprime auto loan receivables.

The preliminary ratings are based on information as of Jan. 10, 2019. 
Subsequent information may result in the assignment of final ratings that 
differ from the preliminary ratings.

The preliminary ratings reflects: 
  • The availability of approximately 56.74%, 48.32%, 39.64%, 31.15%, and 24.10% of credit support for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide coverage of approximately 3.10x, 2.60x, 2.10x, 1.60x, and 1.23x our 17.75%-18.75% expected cumulative net loss (CNL) range for the class A, B, C, D, and E notes, respectively. Additionally, credit enhancement, including excess spread for classes A, B, C, D, and E, covers breakeven cumulative gross losses of approximately 92%, 78%, 66%, 52%, and 40%, respectively.
  • Our expectation that under a moderate stress scenario of 1.60x our expected net loss level, all else equal, the preliminary ratings on the class A through C notes would remain within one rating category while they are outstanding, and the preliminary rating on the class D notes would not decline by more than two rating categories within its life. The preliminary rating on the class E notes would remain within two rating categories during the first year, but the class would eventually default under the 'BBB' stress scenario after receiving 33%-57% of its principal. These rating migrations are consistent with our credit stability criteria ("Methodology: Credit Stability Criteria," published May 3, 2010).
  • The preliminary rated notes' underlying credit enhancement in the form of subordination, overcollateralization (O/C), a reserve account, and excess spread for the class A through E notes.
  • The timely interest and principal payments made to the preliminary rated notes under our stressed cash flow modeling scenarios, which we believe are appropriate for the assigned preliminary ratings.
  • The transaction's payment and credit enhancement structure, which includes a noncurable performance trigger.