Approximately $393 million of asset-backed securities affected
New York, February 03, 2011 -- Moody's has placed on review for possible upgrade fifteen tranches from
eleven transactions sponsored by Consumer Portfolio Services, Inc.
from 2005 to 2008.
Issuer: CPS Auto Receivables Trust 2005-C
Cl. A-2, Aa3 (sf) Placed Under Review for Possible
Upgrade; previously on Nov 12, 2009 Confirmed at Aa3 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp . (Aa3;
previously Confirmed on 11/12/2009)
Underlying Rating: A3 (sf) Placed Under Review for Possible Upgrade;
previously on Aug 5, 2008 Upgraded to A3 (sf)
Issuer: CPS Auto Receivables Trust 2005-D
Cl. A-2, Aa3 (sf) Placed Under Review for Possible
Upgrade; previously on Nov 12, 2009 Confirmed at Aa3 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp . (Aa3;
previously Confirmed on 11/12/2009)
Underlying Rating: A3 (sf) Placed Under Review for Possible Upgrade;
previously on Aug 5, 2008 Upgraded to A3 (sf)
Issuer: CPS Auto Receivables Trust 2006-A
Cl. A-4, Aa3 (sf) Placed Under Review for Possible
Upgrade; previously on Nov 12, 2009 Confirmed at Aa3 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp . (Aa3;
previously Confirmed on 11/12/2009)
Underlying Rating: Baa3 (sf) Placed Under Review for Possible Upgrade;
previously on Mar 31, 2006 Assigned Baa3 (sf)
Issuer: CPS Auto Receivables Trust 2006-B
Cl. A-4, Baa2 (sf) Placed Under Review for Possible
Upgrade; previously on Feb 18, 2009 Downgraded to Baa2 (sf)
Financial Guarantor: MBIA Insurance Corporation (B3; previously
on 2/18/2009 Downgraded to B3 from Baa1)
Underlying Rating: Baa2 (sf) Placed Under Review for Possible Upgrade;
previously on Jul 3, 2006 Assigned Baa2 (sf)
Issuer: CPS Auto Receivables Trust 2006-C/CPS Cayman Residual
Trust 2006-C
Cl. A-4, Baa2 (sf) Placed Under Review for Possible
Upgrade; previously on Aug 5, 2008 Downgraded to Baa2 (sf)
Financial Guarantor: Syncora Guarantee Inc., (Ca;
previously on 3/9/2009 Downgraded to Ca from Caa1)
Underlying Rating: Baa2 (sf) Placed Under Review for Possible Upgrade;
previously on Oct 3, 2006 Assigned Baa2 (sf)
Cl. B, Ba3 (sf) Placed Under Review for Possible Upgrade;
previously on Oct 3, 2006 Assigned Ba3 (sf)
Issuer: CPS Auto Receivables Trust 2006-D/CPS Cayman Residual
Trust 2006-D
Cl. A-4, Aa3 (sf) Placed Under Review for Possible
Upgrade; previously on Nov 12, 2009 Confirmed at Aa3 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp . (Aa3;
previously Confirmed on 11/12/2009)
Underlying Rating: Baa3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 7, 2009 Downgraded to Baa3 (sf)
Cl. B, B1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 7, 2009 Downgraded to B1 (sf)
Issuer: CPS Auto Receivables Trust 2007-A/CPS Cayman Residual
Trust 2007-A
Cl. A-4, Baa3 (sf) Placed Under Review for Possible
Upgrade; previously on Apr 7, 2009 Downgraded to Baa3 (sf)
Financial Guarantor: MBIA Insurance Corporation (B3; previously
on 2/18/2009 Downgraded to B3 from Baa1)
Underlying Rating: Baa3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 7, 2009 Downgraded to Baa3 (sf)
Cl. B, B1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 7, 2009 Downgraded to B1 (sf)
Issuer: CPS Auto Receivables Trust 2007-B
Cl. A-4, Aa3 (sf) Placed Under Review for Possible
Upgrade; previously on Nov 12, 2009 Confirmed at Aa3 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp . (Aa3;
previously Confirmed on 11/12/2009)
Underlying Rating: Baa3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 7, 2009 Downgraded to Baa3 (sf)
Issuer: CPS Auto Receivables Trust 2007-C
Cl. A-4, Aa3 (sf) Placed Under Review for Possible
Upgrade; previously on Nov 12, 2009 Confirmed at Aa3 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp . (Aa3;
previously Confirmed on 11/12/2009)
Underlying Rating: Baa3 (sf) Placed Under Review for Possible Upgrade;
previously on Dec 31, 2008 Downgraded to Baa3 (sf)
Issuer: CPS Auto Receivables Trust 2007-TFC
Cl. A-2, Baa3 (sf) Placed Under Review for Possible
Upgrade; previously on Aug 5, 2008 Downgraded to Baa3 (sf)
Financial Guarantor: Syncora Guarantee Inc., (Ca;
previously on 3/9/2009 Downgraded to Ca from Caa1)
Underlying Rating: Baa3 (sf) Placed Under Review for Possible Upgrade;
previously on May 14, 2007 Assigned Baa3 (sf)
Issuer: CPS Auto Receivables Trust 2008-A
Cl. A-3, Aa3 (sf) Placed Under Review for Possible
Upgrade; previously on Nov 12, 2009 Confirmed at Aa3 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp . (Aa3;
previously Confirmed on 11/12/2009)
Underlying Rating: Baa1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 7, 2009 Downgraded to Baa1 (sf)
Cl. A-4, Aa3 (sf) Placed Under Review for Possible
Upgrade; previously on Nov 12, 2009 Confirmed at Aa3 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp . (Aa3;
previously Confirmed on 11/12/2009)
Underlying Rating: Baa1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 7, 2009 Downgraded to Baa1 (sf)
RATINGS RATIONALE
The review was prompted by updated lower loss expectations relative to
current levels of credit enhancement.
Moody's expects CPS Auto Receivables Trust 2005-C to incur lifetime
cumulative net losses (CNL) in the range of 14.50% to 14.75%
of the original pool balance, compared to previous expectation of
17%. Total hard credit enhancement (excluding excess spread
of approximately 8.0% per annum) for class A-2 notes
is approximately 100.00% of the outstanding collateral pool
balance. This transaction has paid down significantly with a pool
factor of 3.1 % of original pool balance.
Moody's expects CPS Auto Receivables Trust 2005-D to incur
lifetime CNL in the range of 15.50% to 16.00%
of the original pool balance, compared to previous expectation of
17%. Total hard credit enhancement (excluding excess spread
of approximately 8.1% per annum) for class A-2 notes
is approximately 80% of the outstanding collateral pool balance.
This transaction has paid down significantly with a pool factor of 4.8%
of original pool balance.
Moody's expects CPS Auto Receivables Trust 2006-A to incur
lifetime CNL in the range of 16.50% to 17.00%
of the original pool balance, compared to previous expectation of
17%. Total hard credit enhancement (excluding excess spread
of approximately 7.7% per annum) for class A-4 notes
is approximately 45% of the outstanding collateral pool balance.
This transaction has paid down significantly with a pool factor of 7.2%
of original pool balance.
Moody's expects CPS Auto Receivables Trust 2006-B to incur
lifetime CNL in the range of 18.00% to 19.00%
of the original pool balance, compared to previous expectation of
19%. Total hard credit enhancement (excluding excess spread
of approximately 7.6% per annum) for class A-4 notes
is approximately 55% of the outstanding collateral pool balance.
This transaction has paid down significantly with a pool factor of 10.0%
of original pool balance.
Moody's expects CPS Auto Receivables Trust 2006-C,
2006-D, 2007-A, 2007-B, 2007-C
and 2008-A to incur lifetime CNL in the range of 19.50%
to 21.00% of the original pool balance, compared to
previous expectations of 21%, 22%, 21%,
22%, 22%, 23% respectively. For
2006-C transaction, total hard credit enhancement (excluding
excess spread of approximately 8.0% per annum) for class
A-4 and class B notes is approximately 41% and 31%
of the outstanding collateral pool balance. For 2006-D transaction,
total hard credit enhancement (excluding excess spread of approximately
8.5% per annum) for class A-4 and class B is approximately
31% and 25% respectively of the outstanding collateral pool
balance. For 2007-A transaction, total hard credit
enhancement (excluding excess spread of approximately 8.4%
per annum) for class A-4 and class B is approximately 33%
and 26% respectively of the outstanding collateral pool balance.
For 2007-B transaction, total hard credit enhancement (excluding
excess spread of approximately 8% per annum) for class A-4
is approximately 30% of the outstanding collateral pool balance.
For 2007-C transaction, total hard credit enhancement (excluding
excess spread of approximately 7.7% per annum) for class
A-3 and A-4 is approximately 26% of outstanding collateral
pool balance. For 2008-A transaction, total hard credit
enhancement (excluding excess spread of approximately 5.9%
per annum) for class A-3 and A-4 is approximately 38%
of outstanding collateral pool balance. Pool factors for 2006-C,
2006-D, 2007-A, 2007-B, 2007-C
and 2008-A are 12.6%, 17.0%,
21.0%, 25.4%, 29.3%
and 36.3% respectively of original pool balance.
Moody's expects CPS Auto Receivables Trust 2007-TFC to incur
lifetime CNL in the range of 16% to 17% of the original
pool balance. Total hard credit enhancement for class A-2
is 45% of outstanding collateral pool balance. Pool factor
for the transaction is 12.9% of original pool balance.
The performance expectations for a given variable indicate Moody's forward-looking
view of the likely range of performance over the medium term. From
time to time, Moody's may, if warranted, change these
expectations. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker than
Moody's had anticipated when the related securities ratings were issued.
Even so, a deviation from the expected range will not necessarily
result in a rating action nor does performance within expectations preclude
such actions. The decision to take (or not take) a rating action
is dependent on an assessment of a range of factors including, but
not exclusively, the performance metrics. Primary sources
of assumption uncertainty are the current macroeconomic environment,
in which unemployment continues to rise, and weakness in the RV
and marine market. Overall, Moody's central global scenario
remains "Hook-shaped" for 2010 and 2011; we expect overall
a sluggish recovery in most of the world largest economies, returning
to trend growth rate with elevated fiscal deficits and persistent unemployment
levels.
The principal methodology used in these notes was "Moody's Approach to
Rating U.S. Auto Loan-Backed Securities" rating methodology
published in June 2007. Other methodologies and factors that may
have been considered in the process of rating these notes can also be
found on Moody's website. Further information on Moody's analysis
of this transaction is available on www.moodys.com.
The underlying ratings reflect the intrinsic credit quality of the securities
in the absence of the transactions' guarantees from monoline bond insurers.
The current ratings on the securities are consistent with Moody's practice
of rating insured securities at the higher of the guarantor's insurance
financial strength rating and any underlying rating. In addition,
Moody's publishes a weekly summary of structured finance credit,
ratings and methodologies, available to all registered users of
our website, at www.moodys.com/SFQuickCheck.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or financial
instruments related to the monitoring of this transaction in the past
6 months.
San Francisco
Eric Fellows
VP - Senior Credit Officer
Structured Finance Group
Moody's FIS Domestic Sales Office - San Francisco CA
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Alda F. Sanchez
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's reviews CPS subprime auto loan ABS for possible upgrade