DBRS Finalizes Provisional Ratings on Skopos Auto Receivables Trust 2018-1

DBRS, Inc. (DBRS) finalized its provisional ratings on the following classes issued by Skopos Auto Receivables Trust 2018-1 (SKOP 2018-1 or the Issuer):

-- $76,950,000 Class A Notes rated AA (sf)
-- $21,075,000 Class B Notes rated A (sf)
-- $27,090,000 Class C Notes rated BBB (sf)
-- $21,870,000 Class D Notes rated BB (sf)

The ratings are based on a review by DBRS of the following analytical considerations:

-- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement.
-- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve fund and excess spread. Credit enhancement levels are sufficient to support the DBRS-projected expected cumulative net loss assumption under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For the transaction, the rating addresses the payment of timely interest on a monthly basis and the payment of principal by the final scheduled distribution date.
-- The capabilities of Skopos Financial, LLC (Skopos) with regard to originations, underwriting and servicing.
-- DBRS has performed an operational review of Skopos and considers the entity to be an acceptable originator of subprime automobile loan contracts and an acceptable servicer of subprime automobile loan contracts with an acceptable backup servicer.
-- DBRS has performed an operational review of Systems & Services Technologies, Inc. and considers the entity to be an acceptable backup servicer of subprime automobile loan contracts.
-- Skopos outsources certain operational functions to CSC Logic, Inc. (CSC). DBRS has performed an operational review of CSC and considers the entity to be an acceptable provider of servicing-related processes for subprime automobile loan contracts.
-- The Skopos senior management team has considerable experience and a successful track record within the subprime auto finance industry.
-- The credit quality of the collateral and the performance of Skopos’s auto loan portfolio.
-- Availability of sufficient historical performance data on the Skopos portfolio.
-- The statistical pool characteristics: (1) The pool is seasoned by approximately 11 months and contains Skopos originations from Q4 2012 through Q1 2018. (2) The weighted-average (WA) remaining term of the collateral pool is approximately 60 months. (3) The WA FICO score of the pool is 549.
-- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with Skopos, that the trust has a valid first-priority security interest in the assets and the consistency with DBRS’s “Legal Criteria for U.S. Structured Finance.”

The SKOP 2018-1 transaction represents the third securitization completed by Skopos and offers both senior and subordinate rated securities. The receivables securitized in SKOP 2018-1 are subprime automobile loan contracts secured by new and used automobiles, light-duty trucks, minivans and sport-utility vehicles.

The rating on the Class A Notes reflects the 58.55% of initial hard credit enhancement provided by the subordinated notes in the pool (39.55%), the Reserve Account (2.00%) and OC (17.00%). The ratings on the Class B, Class C and Class D Notes reflect 46.65%, 31.35% and 19.00% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is Rating U.S. Retail Auto Loan Securitizations, which can be found on dbrs.com under Methodologies.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info@dbrs.com.