CarMax Select Receivables Trust 2024-A (CMXS 2024-A) is issuing seven classes of notes primarily backed by non-prime used car and light-truck/sports utility vehicle loans originated by affiliates of CarMax Business Services.
According to Fitch Ratings, the closing date was June 26. U.S. Bank Trust Company, NA is the indenture trustee, Wilmington Trust, NA is the owner trustee, and Wells Fargo Securities is the underwriter.
CarMax Business Services (CBS) is the servicer and sponsor, and is a wholly owned captive finance subsidiary of CarMax, the largest U.S. used vehicle retailer.
The collateral comprises primarily lower credit quality obligors, selected from CBS' core portfolio of contracts with a FICO under 650, as well as contracts originated outside of the core portfolio. CAF has issued 76 publicly registered retail auto loan securitizations under its prime platform. CMXS 2024-A is the first sub-prime auto loan ABS issuance from CAF, according to Fitch.
Fitch says that CMXS 2024-A has relatively stronger credit quality relative to sub-prime peers, with a weighted average FICO score of 603 and WA loan-to-value (LTV) ratio of 97%. Loans with original terms greater than 60 months total 82.3% of the collateral pool, with a maximum OT of 72 months. However, the pool primarily comprises used vehicles, with a significant portion of weaker-performing ValuMax vehicles at 31%.
Initial hard credit enhancement (CE) totals 30%, 23%, 15.6% and 7.25% for classes A, B, C and D, respectively, Fitch says. Initial expected excess spread is 7.57%. Initial CE is sufficient to withstand Fitch's rating case cumulative net loss (CNL) proxy of 9% at the applicable rating loss multiples.
Fitch warns that unanticipated increases in the frequency of defaults could produce CNL levels thatare higher than the rating case and would likely result in CE declines and remaining net loss coverage levels available to the notes. Additionally, unanticipated declines in recoveries could also result in lower net loss coverage, which may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage.
Conversely, stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades, Fitch says. If the CNL is 20% less than the projected rating case proxy, the ratings for the subordinate notes could be upgraded by up to five notches.
The aggregate balance for the loans acting as collateral for CMXS 2024-A is $666.6 million, and the average current principal balance for the 32,816 loans in the pool is $20,315. The weighted-average APR is 16.06% and the WA LTV is 97.
Fitch has assigned F1+ to the Class A-1 notes, AAA to A-2A, A-2B and A-3, AA to B, A to C, and BBB to D.
S&P Global Ratings has assigned A-1+ to the Class A-1 notes. Its ratings for the other notes are identical to Fitch's.
