Carvana Auto Receivables Trust is poised to raise another $1 billion in asset-backed securities (ABS), issuing notes that will be secured by a pool of payments on used cars sold through the Carvana, LLC platform.
The transaction, CRVNA 2022-P1, is the sixth transaction from Carvana’s prime platform. It has a collateral pool which has a gross annual gross excess spread of 3.41%, compared 5.6% with from the 2021-P4 deal, due to the lower collateral interest rate, according to a pre-sale report from Kroll Bond Rating Agency.
In another change, CRNVA 2022-P1 has a higher expected weighted average note coupon, which came in at 3.2%, compared with 1.47% on the CRVNA 2021-P4, KBRA said.
CRVNA 2022-P1 will issue five classes of notes, or eight tranches, through a sequential pay capital structure, according to a pre-sale report from Kroll Bond Rating Agency. The class A-1 notes will receive principal payments prior to all subordinate notes. After the class A notes are paid, the cash flow sequence moves to the class B notes, continuing sequentially until the class D notes are paid.
The trust will pay interest sequentially before principal payments; however classes A-1 through A-4 receive payments pro rata.
Fixed-rate loans made primarily to prime borrowers—with a weighted average (WA) FICO score of 704—will secure the notes, according to KBRA. Also on a weighted average basis, the loans have a coupon of 7.6%, a loan-to-value-ratio of 91.3%, with an original term of 71 months, and seasoning of one month.
KBRA expects to assign a K1+ rating to the $146 million, class A-1 plus, and ‘AAA’ to the A-2 through A-4 notes.
Further down the capital structure, KBRA expects to assign ratings of ‘AA+’ through ‘BBB’ on the class B through class N notes.
