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The results offered investors some relief after a tumultuous 2022 for Carvana, which has struggled as rebounding auto production and rising interest rates have weighed on the market for used vehicles.
GMALT 2023-2 offers note holders several advantages from a credit perspective, according to Fitch, including strong residual value realizations on the cars being financed.
Underlying loans fell into higher credit tiers this time around, a result of ongoing tightening in the sponsor company's origination strategies.
The deal has a higher percentage of open bankruptcy assets, and the level of called collateral is 10.6%, which should actually slip to 8.0% of the final pool.
While spreads are widening in many cases across asset classes and credit bands, guidance is around 235 basis points over the I-Curve on the 'AAA' notes, a little tighter than 250 bps over the benchmark on the FHF 2022-2 deal.
The notes will accumulate an overcollateralization level of 11.20% of the current collateral balance and benefit from a cash reserve account equaling approximately 1.25% of the initial collateral balance.
When the deal closes, credit enhancement on the class A note will include overcollateralization, which will be 16.3% and is expected to increase to a level of 20% of the current pool balance.
Guidance on the A-1 notes is 38 to 40 basis points over the I-Curve, which is significantly wider than where the class A-1 notes from the 2023-1 deal closed.
Some 74.8% of the loans had original terms greater than 60 months, higher than 68.5% than the FAST 2020.
DriveTime is a prolific issuer, but this is the program's second securitization of the year.
The class A-2b tranche can issue floating-rate notes. Should that happen, the YSOA discount rate would step down from 10.30% to 10.05% after the class A-2 notes are paid off.
Moody's had lowered the residual value loss a full percentage point, but did not mention whether it would lower the credit loss expectation.
HART 2023-A has a yield supplement overcollateralization amount (YSOA) of 10.11% as a percentage of the aggregate pool amount of $1.4 billion. It was 10.76% on HART 2022-C.
The latest AESOP includes medium- and heavy-duty trucks, plus different minimum depreciation rates of non-program vehicles (NPVs) to account for their market values.
The company is offering to swap five series of bonds, including its 5.625% unsecured notes due 2025 and 10.25% unsecured notes due 2030 for new secured notes due 2028 that pay 9% in cash or 12% in-kind. The debt will be secured by a second-priority claim on assets including vehicles.
Santander Consumer USA on Wednesday delayed the sale of $942 million of bonds backed by subprime auto loans as the deepening Credit Suisse Group AG crisis added to turmoil in debt markets.
ARI has increased hard credit enhancement compared with previous transactions, however, which helps to the potential risk of offset negative excess spread.
The pending transaction has a class D, unlike the previous transaction, the Santander Drive Auto Receivables Trust, 2023-1, and a higher cumulative net loss expectation.
Subordination levels for classes A, B and C are 38.12%, 20.84%, and 0%, respectively, down from previous levels of 47.63%, 33.68% and 18.18%.
When the deal closes the notes will have an overcollateralization level of 5.75%, which will increase to a target of 14.75%.
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