The Carvana Auto Receivables Trust program is preparing two concurrent 144A transactions, series 2024-P3 and 2024-PN, which will push $1.1 billion in auto asset-backed securities (ABS) onto the market, with eight-year maturities.
Carvana, the sponsor, originator and administrator prepared the series 2024-P3 as a 144A transaction that offers eight tranches of class A, B, C, D and N notes, according to details from the Securities and Exchange Commission (SEC). Issuing $628.3 million, its yields range from 5.19% on the A1 notes, which S&P Global Markets and Moody's Ratings rated A1+ and P1, respectively. All the notes were benchmarked to the interpolated yield curve, according to the SEC.
The legal final maturity dates range from February 2025 on the A1 notes to September 2032, the SEC said. S&P and Moody's assigned ratings of AAA and Aaa to the A2 through A4 notes, the regulator said. S&P and Moody's respectively assigned AA+/Aa2 to the class B notes; A+/A2 to the class C notes; BB+/Baa1 to the class D notes; and BB+/Ba1 to the class N notes.
Series 2024-N3
For the series 2024-N3, floating $539.8 million, the trust will close on September 24 and issue three class A notes, instead of four, according to Moody's Ratings. In addition to Moody's, that series has ratings from DBRS Morningstar and Kroll Bond Rating Agency, according to Asset Securitization Report's deal database.
No pricing guidance was available from the database at press time, but BNP Paribas, Deutsche Bank Securities and Wells Fargo Securities are on the deal as managers. Moody's notes that they also serve as lead underwriters.
The collateral pool has 2,708 contracts and obligors, Moody's said. The pool consists largely of non-prime auto receivables, rating agencies said. KBRA noted that it revised its recovery assumption on the 2024-N3 pool, to 35.0%, compared with 37.5% on the previous deal, the CRVNA 2024-N2.
Bridgecrest Credit will service the notes, with Vervent acting as backup servicer, according to DBRS.
The 2024-N3 deal will repay noteholders sequentially, and initial credit enhancement for classes A through D will consist of subordination, a reserve account representing 1.25% of the pool balance, building to a target of 5.75%, and excess spread, the rating agency said.
Moody's notes that total initial hard credit enhancement ranges from 46.35% on the class A notes; and 31.9%, 22.8%, 11.2% and 1.9% on the classes B, C, D and E notes. It rates the notes P1 on the A1 tranche; Aaa on the A2 and A3 notes; Aa1 on the class B notes; Aa3 on the class C notes; and Baa2 to the class D notes.
DBRS assigns R1 to the A1 notes; AAA to the A2 and A3 tranches; AA to the class B notes; A to the class C notes; BBB to the class D notes and BB to the E tranche.
KBRA assigns K1+ to the A1 notes; AAA to the A2 and A3 notes; AA to the class B notes; A to the class C notes; and BBB and BB to tranches D and E.
