A pool of retail auto loan contracts extended to prime quality borrowers will secure $1.08 billion in asset-backed securities, sold to investors through the Capital One Prime Auto Receivables Trust 2024-1.
COPAR 2024-1, as the deal is known, will issue notes through eight tranches of class A, B, C and D notes, according to Asset Securitization Report's deal database. The notes will mature on dates ranging from Dec. 15, 2025 for the debt rated A1+ by S&P Global Ratings to Jan. 15, 2031 for the notes rated A-.
The A, B, C and D tranches benefited from 6.25%, 5.45%, 4.56% and 3.48%, respectively, in credit support, made up of hard credit enhancement and excess spread. The credit support levels provide at least 5.0x, 4.5x, 3.67x, and 2.67x in coverage, respectively, on the A, B, C and D notes.
Required yield supplement overcollateralization amount (YSOA) is 8.75% on the current deal, a decrease compared with 9.00% on the COPAR 2023-2 transaction, S&P analysts said. Estimated per annum excess spread—adjusted for the YSOA—was 2.59%, an increase from 1.72% for the 2023-1 transaction.
Pricing talk was not included in the deal database at press time, for the deal, which is scheduled to close by the end of November.
Almost the entire deal will issue fixed-rate notes, except for the A2B notes, which will be issued as floating-rate notes and are expected to be priced against the secured overnight financing rate (SOFR).
COPAR 2024-1 will repay interest and principal to noteholders on a senior-subordinate basis, according to S&P.
As for the collateral, on a weighted average (WA) basis the current COPAR transaction has a FICO score of 782, an increase from 780 from the COPAR 2023-2. While that mark of good credit was higher, loans with an original term greater than 72 months, as a percentage of the pool balance was 19.24%, a decrease from 22.9%, S&P said. Also, the percentage of used vehicles increased to about 71.43%, up from 61.94% on the COPAR 2023-2.
The rating agency assigns A1+ to the A1 notes; AAA to the A2A through A4 notes; AA+ to the class B notes; AA- to the class C notes and A- to the class D notes.
