For its fifth securitization overall and its first since late 2022, Arivo Acceptance Auto Loan Receivables Trust, a 144A transaction that is preparing to sell $175.7 million in securitization bonds.
Some 6,509 loans are in the underlying pool, and they have an average remaining term of 63.01 months. They also have 8.32 months of seasoning, which is higher than the amount seen on Arivo Acceptance Auto securitizations going back to the series 2021-1 deal, according to DBRS Morningstar, whose analysts rated the notes.
JPMorgan Securities and Capital One Securities are managers on the deal.
There is a mix of prime and subprime automobile loan contracts in the collateral pool, according to DBRS, and the total principal balance, around $156.1 million, includes nonprime and subprime auto loan contracts. A significant majority of loans in the pool are financing used cars, and the financings have a loan-to-value (LTV) ratio of 123.7%. Further, the rating agency said, borrowers have a non-zero FICO 8 score of 565, which is in line with the range seen on the comparison deals, DBRS said. Accounts with scores between 559 and 629 accounted for much of the pool, 88.9%.
Arivo 2024-1's capital structure will issue notes to investors through four tranches of class A, B, C and D notes, which benefit from several forms of hard credit enhancement. Total hard credit enhancement on the A, B, C and D tranches benefit from enhancement levels of 46.90%, 34.50%, 27.40% and 13.56%, respectively, DBRS said. The notes also benefit from 12.55% in overcollateralization and subordination of 33.35%, 20.95% and 13.85% on the A, B and C tranches, respectively.
Further, a cash collateral account representing 1% protects the notes, which also benefit from 6.49% in excess spread annually, DBRS analysts said.
DBRS assigns AA, A, BBB and CC to the A, B, C and D tranches, the rating agency said.
