A pool of fixed-rate, retail installment sale contracts on a mix of used vehicles, including cars, trucks and vans, will back $1.1 billion in asset-backed securities (ABS) from the Carvana Auto Receivables Trust, series 2026-P2.
The fixed-rate debt will be sold to investors through eight tranches of class A, B, C and D notes, according to analysts at Fitch Ratings and S&P Global Ratings. All the class A notes—A1 through A4—benefit from credit enhancement levels of 11.20%, Fitch said.
Outside of the senior notes, classes B, C and D have credit enhancement representing 7.10%, 2.65% and 0.50%, Fitch said. For the senior notes, final maturity dates include June 10, 2027 on the A1 notes; Aug. 10, 2029 on the A2 notes; April 10, 2031 for the A3 notes; and Aug. 10, on the 2032 tranche.
Other final maturity dates range from Aug. 10, 2032 on the class B notes to June 12, 2034 on the D tranche.
The bank is also a manager on the deal, along with a group of institutions that includes Barclays, BNP Paribas, Deutsche Bank Securities and Mizuho Securities, according to Asset Securitization Report's.
S&P sets an estimated cumulative net loss of 2.85% for the CRVNA 2026-P2 notes, according to the rating agency. That was unchanged from the CRVNA 2026-P1, because the collateral characteristics in the former are generally unchanged from the latter.
There were some changes, however, S&P said. CRVNA 2026-P2's total initial hard credit enhancement increased for the class C notes, to 2.65%, up from the 2.60%. Classes A, B and D were unchanged, at 11.20%, 7.10% and 0.50%, respectively.
Subordination increased to 2.15%, for the class C notes, up from 2.10%. For classes A and B, however, the rates were 10.70% and 6.60%, respectively.
The collateral pool is composed of 38,690 contracts, with an average current balance of $28,441, Fitch said. They have a remaining term of 74.2 months, and a weighted average (WA) annual percentage rate of 10.54%.
Borrowers have a FICO score of 708 on a WA basis, and a loan-to-value ratio of 97.9%, Fitch said.
Sport utility and crossover vehicles account for the majority of the pool, 51.40%, followed by cars (27.84%) and trucks and vans (20.77%), Fitch said.
