Auto ABS

Assets have a non-zero credit score is 631, notably lower than previous transactions. Also, a slight majority of borrowers, 53.23%, have credit scores of 660 or lower.

Notes are expected to pay coupons of 4.05% on the notes rated R-1 (high) (sf) and 4.59% and 4.79% on the A1 and A2 notes, respectively.

The rule 144A deal's structure includes a cash collateral account represents 1.00% of the note balance across all tranches.

The pool includes called collateral and smaller concentrations of loans originated in higher credit tiers, resulting in some underlying asset weakness compared with a previous deal.

The initial overcollateralization level was 14.50%, an increase from 14.00%. Target overcollateralization, meanwhile, increased to 18.75, compared with 16.50% on the previous deal.

Subprime auto and unsecured consumer loans are under pressure even as overall ABS performance remains steady.

The current transaction issues an additional series of notes, which will be paid to noteholders after it reaches the overcollateralization targets for the other notes.

This series of CarMax Select Receivables notes is offering 8.42% in excess spread, a reduction from 9.85% on the CMXS 2026-A notes.

S&P sets an estimated cumulative net loss of 2.85% for the CRVNA 2026-P2 notes, unchanged from the CRVNA 2026-P1, because the collateral characteristics were unchanged.

Borrowers in the pool had a non-zero weighted average credit score of 608, with a 112.12% loan-to-value (LTV) ratio.

The three class A notes, A1, A2 and A3, of GCAR 2026-2 notes will all benefit from hard credit enhancement levels, plus haircut to excess spread of 56.07%.

Analysts expect the pool to be composed of receivables primarily from franchise dealers that offer indirect financing to consumers often overlooked by traditional financing sources such as banks.

For the first time, the FIAOT shelf includes commercial vehicles originated through the SFS's Captive Program, extending vehicle financing to small business owners.

The agreements leave Goeasy's revolving credit and securitization facilities in place, but interest spreads on both lines were increased by 100 basis points, and eligibility criteria were revised to exclude LendCare loans.

This is the first Carvana Auto Receivables Trust series to include new vehicles, with the percentage or loans on new cars at 2.65%.

Letters of credit sized to cover interest payments for six months, plus a cushion, help provide credit support to the notes.

The deal includes some structural changes, such as subordination levels of 41.05%, 32.25%, 19.45% and 6.10% on classes A, B, C and D, respectively, and all those levels increased from the previous deal.

A reserve account is in place, although its percentage of the pool balance decreased compared with the previous deal. Also, pre-pricing excess spread was 13.89%.

Canyon Partners sees opportunities in corners of the mortgage, with tightened due diligence, and the auto ABS markets.

While Westlake's customer accounts usually have credit bureau scores ranging from 500 to 700, the WLAKE 2026-1 collateral pool's non-zero weighted average credit bureau score was 620.