CPS Auto Receivables Trust 2019-B Notes Assigned Ratings

  • CPS Auto Receivables Trust 2019-B's issuance is an ABS transaction backed by subprime auto loan receivables.
  • We assigned our ratings to the class A, B, C, D, E, and F notes.
  • The ratings reflect our view of the transaction's payment and credit enhancement structure, the available credit support, the timely interest and principal payments, among other factors.
 
NEW YORK (S&P Global Ratings) April 17, 2019--S&P Global Ratings today 
assigned its ratings to CPS Auto Receivables Trust 2019-B's asset-backed notes 
(see list).

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

The ratings reflect:
  • The availability of approximately 59.0%, 50.2%, 41.4%, 32.5%, 25.6% and 23.9% of credit support for the class A, B, C, D, E, and F 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, 1.23x and 1.1x our 18.50%-19.50% expected cumulative net loss (CNL) range for the class A, B, C, D, E and F notes, respectively. Additionally, credit enhancement, including excess spread for classes A, B, C, D, E, and F covers breakeven cumulative gross losses of approximately 95%, 81%, 69%, 54%, 43% and 38%, respectively.
  • Our expectation that under a moderate stress scenario of 1.60x our expected net loss level, all else equal, the ratings on the class A through C notes would not decline by more than one rating category while they are outstanding, and the rating on the class D notes would not decline by more than two rating categories within its life. The ratings on the class E and F notes would remain within two rating categories during the first year, but each class would eventually default under the 'BBB' stress scenario: class E after receiving approximately 31%-54% of its principal and class F without receiving any principal payments. These rating migrations are consistent with our credit stability criteria (see " Methodology: Credit Stability Criteria," published May 3, 2010).
  • The rated notes' underlying credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread for the class A through F notes.
  • The timely interest and principal payments made to the rated notes under our stressed cash flow modeling scenarios, which we believe are appropriate for the assigned ratings.
  • The transaction's payment and credit enhancement structure, which includes an incurable performance trigger.
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