A pool of subprime auto loan contracts, secured by new and used vehicles including light-duty trucks and cars, will secure $221.8 million in asset-backed securities from sponsor Arivo Acceptance.
The deal will issue notes from six tranches of class A, B, C, D and E notes, with classes A1 and A2 maturing on July 15, 2027 and Aug. 15, 2030, respectively. Throughout the rest of the deal structure, maturities ranged from Dec. 15, 2031 on the class B notes to Oct. 16, 2034 on the class E notes, according to analysts at Morningstar DBRS.
Arivo Acceptance Auto Loan Receivables Trust, 2026-1, a Rule 144A, is expected to close on July 30, according to the rating agency.
The deal's structure includes a cash collateral account, overcollateralization and subordination, which help provide initial credit enhancement of 47.35% to the notes, according to DBRS.
Cash collateral across all the tranches represents 1.00% of the note balance,
Initial overcollateralization will amount to about 4.25% of the initial pool balance and is expected to build to a target of 12.75% of the current pool balance. The floor for that feature, say the analysts, is 1.00%, including any amounts added during the prefunding period.
Morningstar sets a cumulative net loss assumption of 16.20% on the deal, based on Arivo's expected pool composition buy the deal's cut-off date of June 30, 2026.
The deal will also use a prefunding account that is about 17.26% of the expected aggregate pool balance, based on a prefunding period that begins on the closing date and ends no later that Oct. 15, 2026, the rating agency said.
Morningstar ratings on the notes range from (P) R-1 (high) (sf) on the A-1 notes to (P) BB (sf) on the class E notes, the rating agency said.
