Passenger car loans make up 37.97% of the CarMax Auto Owner Trust, 2023-1's collateral pool, the lowest concentration in almost two years, as the program comes to market to raise about $1.2 billion in auto asset-backed securities (ABS).
Other than that, much of the details about the transaction, known as COAT 2023-1, were similar to previous deals, according to Fitch Ratings. Light trucks account for the other vehicle types in the collateral pool. BofA Securities is the underwriter on the transaction, which repay will investors through a subordination capital structure.
Loans with terms greater than 60 months account for about 66.38% of the pool, a bit below the 66.49% and 66.9% levels in the 2022-2 and 2022-1 deals, respectively.
The priority of repayment is just one form of credit enhancement on the deal, which will also make use of a non-declining reserve account funded at 0.25% of the initial pool balance, Fitch said. COAT 2023-2 will only use the funds to pay backup servicing fees should the backup servicer ever need to step in to keep bond repayments on track, Fitch said.
The notes also benefit from 2.4% overcollateralization of the initial pool balance. Excess spread initially is expected to be about 2.30% per annum, up from 2.17% in the 2022-4 deal, according to Fitch. It was lower, however, than other recent transactions.
COAT 2023-1's collateral has a weighted average (WA) FICO score of 714, but the FICO score distribution seems to moving away from the middle and concentrating more heavily above 750 and below 650. FICOs about 750 accounted for 35.67% of the collateral pool, while those below 650 represented about 24.97%, according to Fitch.
On average, the loans in the collateral pool have a balance of $19,734. Similar to a strong of previous deals, Toyota's account for the most prevalent make, at 11.7%. Ford and Chevrolet follow, with 9.2% and 8.2%, respectively.
Fitch expects to assign ratings of 'F1+' to the $235.1 million, A-1 certificates; 'AAA' on the A-2a through A-4 classes; 'AA' and 'A' on the $32.1 million, class B notes and class C certificates, respectively; and 'BBB' on the $40.1 million, class D notes.
