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(3) Securitization Trust Debt
 9 Months Ended
Sep. 30, 2020
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 at 
   Payment   September 30,   Initial   September 30,   December 31,   September 30, 
Series  Date (1)   2020 (2)   Principal   2020   2019   2020 
   (Dollars in thousands)     
CPS 2014-C   December 2021   $–   $273,000   $–   $19,758    – 
CPS 2014-D   March 2022    –    267,500    –    23,755    0.00%
CPS 2015-A   June 2022    14,892    245,000    13,337    26,713    5.95%
CPS 2015-B   September 2022    22,065    250,000    21,661    36,338    5.71%
CPS 2015-C   December 2022    33,602    300,000    33,634    53,579    6.44%
CPS 2016-A   March 2023    41,934    329,460    44,498    71,599    6.87%
CPS 2016-B   June 2023    53,268    332,690    53,973    82,667    7.30%
CPS 2016-C   September 2023    54,865    318,500    54,750    83,696    7.31%
CPS 2016-D   April 2024    44,381    206,325    42,622    65,021    5.63%
CPS 2017-A   April 2024    49,404    206,320    47,265    71,450    5.58%
CPS 2017-B   December 2023    61,113    225,170    47,090    76,201    4.82%
CPS 2017-C   September 2024    63,388    224,825    54,006    80,315    4.68%
CPS 2017-D   June 2024    65,532    196,300    55,937    83,801    4.16%
CPS 2018-A   March 2025    70,923    190,000    60,777    91,258    3.98%
CPS 2018-B   December  2024    84,265    201,823    76,306    111,188    4.39%
CPS 2018-C   September 2025    98,583    230,275    87,227    130,064    4.51%
CPS 2018-D   June 2025    116,839    233,730    101,011    149,470    4.45%
CPS 2019-A   March 2026    147,942    254,400    130,663    186,900    4.28%
CPS 2019-B   June 2026    143,956    228,275    134,066    184,308    3.84%
CPS 2019-C   September 2026    167,813    243,513    158,699    216,650    3.18%
CPS 2019-D   December  2026    212,273    274,313    202,755    265,035    2.73%
CPS 2020-A   March 2027    210,936    260,000    207,905    –    2.72%
CPS 2020-B   June 2027    203,947    202,343    179,851    –    2.92%
CPS 2020-C (3)   November 2027    193,242    252,200    252,200    –    1.58%
       $2,155,163   $5,945,962   $2,060,233   $2,109,766      

_________________

(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 $225.1 million in 2020, $717.6 million in 2021, $510.7 million in 2022, $396.7 million in 2023, $92.0 million in 2024, $86.8 million in 2025, and $18.7 million in 2026.
  
(2)Includes repossessed assets that are included in Other assets on our Unaudited Condensed Consolidated Balance Sheet.
  
(3)An additional $63.7 million of receivables were pledged to CPS 2020-C in October 2020.

 

Debt issuance costs of $12.1 million and $12.0 million as of September 30, 2020 and December 31, 2019, 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 September 30, 2020, 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 September 30, 2020, restricted cash under the various agreements totaled approximately $200.91 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 September 15, 2020 we completed our third securitization transaction of 2020. In the transaction, qualified institutional buyers purchased $252.2 million of asset-backed notes secured by $260 million in automobile receivables purchased by us. The sold notes, issued by CPS Auto Receivables Trust 2020-C, consist of six classes. Ratings of the notes were provided by Moody’s and DBRS, 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 2.39%.