Repeat issuer Carvana Auto Receivables Trust is returning to the asset-backed securities (ABS) market to raise $363.2 million in receivables and extending the auto ABS sector's streak as the busiest asset class at this point in 2023.
BNP Paribas is managing the deal along with a sizeable group of names in the business, including Citigroup Global Markets and Credit Suisse Securities, according to the Asset Securitization Report deal database.
In new securitization business up to mid-February, the auto sector accounted for $23.8 billion in new originations by Feb. 16, 2023, a 25.3% increase over $18.9 billion issued around the same date in 2022, on a year-to-date basis, according to the database. It was the only sector to surpass last year's production numbers at that point.
CRVNA 2023-1's collateral pool is comprise of prime, fixed-rate auto loans. Borrowers had an average current principal balance of $23,346, as of the cutoff date. On a weighted average (WA) basis, they had a non-zero FICO score of 705, interest rate of 11.83%, original term of 72 months and remaining term of 70 months.
The managers, which also include Deutsche Bank Trust Company Americas and Santander Investment Securities, put together a transaction that will repay notes sequentially. Beginning with class A-1 notes, senior notes will principal payments prior to all subordinate notes.
To shore up credit to the seven classes of notes and promote timely repayment, CRVNA 2023-1 also uses overcollateralization—initially at 0.0%—that will build to 1.35% of the initial collateral balance. The deal also uses subordination, a cash reserve account and excess spread.
Geographically, the collateral is diversified, with borrowers located in Texas, Florida and California accounting for 28.08% of the pool balance, combined, according to KBRA.
The rating agency expects to assign ratings of 'K1+' to the class A-1 notes; 'AAA' to classes A-2 through A-4; 'AA+' to the class B notes; 'A+' to the class C notes and 'BBB+' on the class D notes.
