Carvana has returned to sponsor its third term securitization of the year, a transaction that will raise $317.3 million from the securitization market, and which is secured by a similar pool mix to that of the most recent deal.
Carvana Auto Receivables Trust, 2023-P3, will issue notes through eight tranches, according to a pre-sale report from Kroll Bond Rating Agency. It is Carvana's eleventh securitization from the prime shelf. The deal has a weighted average (WA) non-zero FICO score, 705, that is largely consistent with three recent Carvana deals. Its WA loan-to-value ratio and WA coupon, however, are slightly higher at 94.15% and 13.03%, respectively.
Other collateral characteristics in CRVNA 2023-P3 are similar to the CRVNA 2023-P2, including the $24,323 average loan balance, and a WA remaining term of 71 months. S&P Global Ratings, which also expects to assign ratings to the notes, notes that the percentage of loans with an original term of 73-75 months had increased to 31.97%, compared with 30.98%.
The sponsor, Carvana, underwrites loans through a proprietary process that assigns scores on a scale from 50 to 100. Some 16% of the underlying loans in the CRVNA 2023-P3 fall within the 90-100 band of the deal score distribution, noticeably higher than the 12% distribution in the 90-100 band.
The highly rated 'K1+', $35 million, class A-1 notes on the current deal have total initial credit enhancement of 7.50%, compared with 8.80% on the class A notes on the CRVNA 2023-P2. In other changes, expected annual gross excess spread on the CRVNA 2023-P3 was 5.41%, compared with 6.15% on the previous deal, according to KBRA.
S&P says the classes A, B, C, D and N notes have credit support at levels of 13.15%, 10.84%, 8.53%, and 6.17%, respectively. The credit levels provide 5.00x, 4.00x, 3.33x, 2.33x and 1.73x, respectively of its expected cumulative net loss.
S&P expects to assign ratings of 'A-1+' to the class A notes; 'AAA' to the A-2 through A-4 notes; 'AA' to the class B notes; 'A+' to the class C notes; 'BBB+' to the class D notes and 'BB+' to the class N notes. Aside from the 'class A' notes, KBRA will apply 'AAA' ratings to the A-2 through A-4 notes; 'AA+' to the class B notes; 'A+' to the class C notes; 'BBB+' to the class D notes; and 'BBB' to the class N notes.
Final scheduled payment dates range from Aug. 10, 2024 through Aug. 12, 2030 on all of the notes, which are fixed rate.
