The CarMax Auto Owner Trust program is gearing up to sell at least $1.1 billion in asset-backed securities (ABS) to investors, to be repaid from a pool of prime quality retail installment auto loans, in its 78th public term securitization.
CarMax Auto Owner Trust, series 2024-3, could up upsized to $1.4 billion, according to a Moody's Ratings pre-sale report. Regardless of the securitization amount, the structure will be the same. The deal will sell classes A, B, C and D notes through eight tranches of notes. Except for the A2B tranche, which will pay notes on the one-month Secured Overnight Financing Rate (SOFR) most of the notes will repay investors based on the three-month interpolated yield curve, according to Asset Securitization Report's deal database.
Yields are expected to range from 5.44% on the P-1 (Moody's) and A-1+ (S&P Global Ratings) notes to 5.74% on the notes rated Baa1 (Moody's) and A+ (S&P), the database said. The notes have legal final maturity dates that range from Aug. 15, 2025 on the class A1 notes through Jan. 15, 2031 on the class D notes, Moody's analysts said.
J.P.Morgan Securities, Mizuho Securities, RBC Capital Markets and TD Securities are lead underwriters on the deal, Moody's said, and the database notes that they are all also managers.
On a weighted average (WA) basis, underlying borrowers have a FICO score of 757, and an annual percentage rate of 9.54%, and a remaining term of 59 months. The pool is composed of 59,040 contracts or obligors, according to Moody's, financing used cars.
While declining residual values is a heightened concern in a pool made up of used cars—which could endanger recovery rate and cashflow to the notes—the transaction receive credit enhancement through a reserve fund representing 0.25% of the pool balance, overcollateralization representing 1.0% of the assets that builds to a target of 1.25%, subordination in the repayment scheme, and excess spread of 3.18%.
Moody's assigns Aaa to the A2A through A4 tranches; Aa2 to the class B notes; A2 to the class C notes; and Baa1 to the class D notes. S&P, meanwhile, assigns AAA to the A2A through A4 notes; AA+ to the class B tranche; AA- to the class C tranche and A+ to the class D tranche.
