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(3) Securitization Trust Debt
 6 Months Ended
Jun. 30, 2021
Securitization Trust Debt  
(3) Securitization Trust Debt

(3) Securitization Trust Debt

 

We have completed many securitization transactions that are structured as secured borrowings for financial accounting purposes. The debt issued in these transactions is shown on our Unaudited Condensed Consolidated Balance Sheets as “Securitization trust debt,” and the components of such debt are summarized in the following table: 

                        
                       Weighted 
                       Average 
    Final  Receivables       Outstanding   Outstanding   Contractual 
    Scheduled  Pledged at       Principal at   Principal at   Interest Rate 
    Payment  June 30,   Initial   June 30,   December 31,   at June 30, 
Series   Date (1)  2021 (2)   Principal   2021   2020   2021 
    (Dollars in thousands)    
CPS 2015-B   September 2022   –    250,000    –    17,984    – 
CPS 2015-C   December 2022   –    300,000    –    28,529    – 
CPS 2016-A   March 2023   –    329,460    24,551    37,158    7.65% 
CPS 2016-B   June 2023   30,449    332,690    30,632    46,079    7.84% 
CPS 2016-C   September 2023   32,501    318,500    32,010    47,325    8.30% 
CPS 2016-D   April 2024   27,003    206,325    24,564    36,455    6.43% 
CPS 2017-A   April 2024   30,562    206,320    27,466    40,619    6.41% 
CPS 2017-B   December  2023   38,953    225,170    23,983    39,016    5.65% 
CPS 2017-C   September 2024   41,567    224,825    35,619    47,553    5.16% 
CPS 2017-D   June 2024   42,475    196,300    36,645    49,297    4.62% 
CPS 2018-A   March 2025   46,399    190,000    40,124    53,549    4.41% 
CPS 2018-B   December  2024   56,439    201,823    48,683    66,955    4.86% 
CPS 2018-C   September 2025   64,829    230,275    58,318    77,345    4.93% 
CPS 2018-D   June 2025   78,903    233,730    67,767    88,228    4.81% 
CPS 2019-A   March 2026   98,774    254,400    84,920    114,373    4.63% 
CPS 2019-B   June 2026   97,182    228,275    87,833    118,982    4.24% 
CPS 2019-C   September 2026   114,238    243,513    106,354    142,080    3.47% 
CPS 2019-D   December  2026   145,606    274,313    137,180    181,485    2.98% 
CPS 2020-A   March 2027   141,542    260,000    139,485    184,944    3.03% 
CPS 2020-B   June 2027   145,858    202,343    124,382    164,403    3.71% 
CPS 2020-C   November 2027   196,785    252,200    187,529    231,961    1.91% 
CPS 2021-A   March 2028   211,575    230,545    197,170    –    0.81% 
CPS 2021-B   June 2028   228,935    240,000    228,585    –    1.05% 
       $1,870,574   $5,631,007   $1,743,799   $1,814,320      

_________________

 

(1)     The Final Scheduled Payment Date represents final legal maturity of the securitization trust debt. Securitization trust debt is expected to become due and to be paid prior to those dates, based on amortization of the finance receivables pledged to the trusts. Expected payments, which will depend on the performance of such receivables, as to which there can be no assurance, are $442.0 million in 2021, $543.0 million in 2022, $451.5 million in 2023, $112.3 million in 2024, $119.4 million in 2025, $53.2 million in 2026, and $11.4 million in 2027.

 

(2)     Includes repossessed assets that are included in Other assets on our Unaudited Condensed Consolidated Balance Sheet.

 

 

Debt issuance costs of $10.9 million and $10.6 million as of June 30, 2021 and December 31, 2020, respectively, have been excluded from the table above. These debt issuance costs are presented as a direct deduction to the carrying amount of the securitization trust debt on our Unaudited Condensed Consolidated Balance Sheets.

 

All of the securitization trust debt was sold in private placement transactions to qualified institutional buyers. The debt was issued through our wholly-owned bankruptcy remote subsidiaries and is secured by the assets of such subsidiaries, but not by our other assets.

 

The terms of the securitization agreements related to the issuance of the securitization trust debt and the warehouse credit facilities require that we meet certain delinquency and credit loss criteria with respect to the pool of receivables, and certain of the agreements require that we maintain minimum levels of liquidity and not exceed maximum leverage levels. As of June 30, 2021, we were in compliance with all such covenants.

 

We are responsible for the administration and collection of the automobile contracts. The securitization agreements also require certain funds be held in restricted cash accounts to provide additional collateral for the borrowings, to be applied to make payments on the securitization trust debt or as pre-funding proceeds from a term securitization prior to the purchase of additional collateral. As of June 30, 2021, restricted cash under the various agreements totaled approximately $155.8 million. Interest expense on the securitization trust debt consists of the stated rate of interest plus amortization of additional costs of borrowing. Additional costs of borrowing include facility fees, amortization of deferred financing costs and discounts on notes sold. Deferred financing costs and discounts on notes sold related to the securitization trust debt are amortized using a level yield method. Accordingly, the effective cost of the securitization trust debt is greater than the contractual rate of interest disclosed above.

 

Our wholly-owned bankruptcy remote subsidiaries were formed to facilitate the above asset-backed financing transactions. Similar bankruptcy remote subsidiaries issue the debt outstanding under our credit facilities. Bankruptcy remote refers to a legal structure in which it is expected that the applicable entity would not be included in any bankruptcy filing by its parent or affiliates. All of the assets of these subsidiaries have been pledged as collateral for the related debt. All such transactions, treated as secured financings for accounting and tax purposes, are treated as sales for all other purposes, including legal and bankruptcy purposes. None of the assets of these subsidiaries are available to pay other creditors.

 

On July 28, 2021 we completed our third securitization transaction of 2021. In the transaction, qualified institutional buyers purchased $291.0 million of asset-backed notes secured by $300.0 million in automobile receivables originated by CPS. The sold notes, issued by CPS Auto Receivables Trust 2021-C, consist of five classes. Ratings of the notes were provided by Standard & Poor’s and DBRS Morningstar, and were based on the structure of the transaction, the historical performance of similar receivables and CPS’s experience as a servicer. The weighted average yield on the notes is approximately 1.55%.