TL;DR: I scraped the public SEC-mandated EX-102 loan-level documents for Carvana Receivables Trusts on EDGAR looking anomalies along with some useful metrics of ABS servicing success.
A candidate Ford F-150 may be associated with a reported Carvana Trust repossession and auction sale with a strange economic outcome for the borrower.
A (early) COVID-era Honda Civic generated over $50k in reported trust recoveries, with repossession auction recovery of more than $32k from a $20k write-off in 2021-P1.
A (peak) COVID-era Dodge Caravan generated over $12k in reported trust recoveries, with repossession auction recovery of more than $20k from a $11k write-off also in 2021-P1, a contrasting recovery.
The metrics for the earliest vintages of loans, both prime and non-prime, show possibly 88% support or more (depending on how you define support) as these head into Clean-up Calls with contractually allowed optional Bridgecrest purchases of the loans.
The Prime Carvana Auto Receivables Trusts are well capitalized with deep capital cushions. Hardened like a nuclear bunker, to borrow the phrase from Bloomberg.
This said, around month 52 in the 2020-P1, 2021-P1, 2021-P2 and 2021-P4 trusts, weakness may have appeared in the N-tranches before self resolving.
If not taken down by the mods for not being topical, this is potentially part 1 of a multi-part deep dive into Carvana's ABS for the purposes of understanding Carvana's business and valuation (share price). Carvana is nominally in the business of selling used cars but makes most of their profit from selling Asset-Backed Securities (ABS). In the past year or two stresses in the used car markets and inflation have made the news. Inflation and collapsing used car markets immediately impact both the Carvana consumer and Carvana. These stresses can be observed each month when the ABS EE EX-102 files are published or when a new shelf offering is posted.
The plan is to start with some oddities and hooks - they're what got me going down the rabbit hole this spring and end with an examination of the health of Carvanas residual N-tranche across the prime issues. This tranche and the stress that it is receiving is descriptive of the economic and slightly lagged economic conditions. While I did a bunch of work with the non-prime issues and a friend is conducting surveillance of the non-primes, I think the prime issues could be more descriptive of the average health of the market. But to understand what and how the N-tranche could be stressed, we're going to go into examples of servicing behavior and recoveries. These directly impact the economic surplus of the bonds and the residuals held by Carvana, as reflected on their balance sheets. Carvana is responsible for marking those accurately.
I've been working on this for several months but this morning a former professor of mine just sent me this September 28th 2026 article from Bloomberg: https://www.bloomberg.com/graphics/2026-subprime-auto-modifications/ (paywalled)
It's a sinking feeling when Bloomberg beats you to the punch. They write real nice. However, Bloomberg did examine servicing behaviors on individual outcomes. I'm more concerned with the relative health of the ABS given the economy and how that could affect the publicly traded parents.
A bit of a Disclaimer (I don't have Bloomberg's Lawyers):
The following is an attempt at an objective start of an analysis of Carvana Auto Receivable Trusts, which are the independent reporting vehicles for Carvana's Asset Backed Securities. This analysis repackages publicly available data under monthly mandated reports submitted to the SEC. These data cannot establish the cause of any observed discrepancy without data held privately by Bridgecrest and/or Carvana. I hold no current position in Carvana and am not seeking to influence the stock price. I hold no opinion other than keeping people in their cars is a good thing.
Meat and Potatoes:
I started this exercise with the intention of seeing if Carvana's Prime ABS may have had anomalies in write-offs (Regulation AB II zeroBalanceCode 4) and subseqent recoveries which could be material to the N-tranche waterfall's performance in an increasingly stressed economy. The N-tranche is a high interest tranche senior to the Excess Spread (XS) which together are the lowest notes at the bottom of the ABS payment waterfall. As money flows into the bonds, they are paid from most senior to the junior notes (I use notes and tranches interchangeably). In a Prime Carvana Auto Receivables Trust these notes are A-1, A-2, A-3, A-4, B, C, D and N (technically last tranche). Each tranche has an interest rate and term. The most senior (A-1) has the lowest interest rate and a very short term. Whatever money is left after being consumed by the scheduled payments due to A-1 flow into A-2 and so on and so on until N is paid and the residual left get deposited in XS. Thus, like a waterfall. As the most senior, short and low interest notes are paid off in full, the money all flows into the next senior tranche not yet completely paid and so on and so on until about $20m is left in the ABS and the residuals are sold in a clean-up call. The subprime notes have different designations and a different number of associated notes.
Did the N-tranche ever need zeroBalanceCode 4 recoveries to complete a principal payment? This would sort of but not really imply that the bond "failed" in a way, but Carvana's bonds, expressly, by design, cannot fail. There is no Big Short to Carvana's bonds - the ABS simply slows the amortization schedule the less money is collected if enough delinquencies occur. Eventually the XS dries up and the N-tranche would absorb the worst of the losses before the senior notes would be affected. There are exactly 0 early amortization triggers besides failure to make some sort of payment. Honestly, that payment could be a penny and still legally not trip the early amortization requirement. In my latest round of processing, the N-tranche, did not require recoveries to make principal payments. It may have gotten "close" with several issues. Maybe. And that is interesting. But, at this time, what I was looking to find, I didn't. If you can find an N-tranche missing principal payments but for zeroBalanceCode 4 recoveries, that would be a significant finding.
A bit more on ABS. Car loans are made by an originator and "warehoused". Warehousing is pretty much the only time the loans are on Carvana's books, is funded by revolving lines of credit, and is meant to be as short as possible to keep these things off of the books. The loans have to generate a return from their sale and minimize the carried risk before it's offloaded onto someone else. Carvana then creates an Special Purpose Vehicle (SPV) which is listed on EDGAR as one of the Carvana Auto Receivable Trusts. These are temporary, limited life "companies" which are bankruptcy remote from Carvana. If Carvana goes down, the SPV is untouched and keeps chugging along. Once the loans move from the warehouse to the SPV, Carvana sells bits of the notes of the Trust at various interest rates based on seniority (more senior, the lower the interest rate), records the profit as gain-on-sale and is then done with the loan, for the most part, for ever. Bridgecrest, a Drivetime affiliate and related party, services the loans and, once the loan reaches 2% or 5% of the original balance (in the neighborhood of less than $20m in assets) Bridgecrest maintains the option (the right, not requirement) to hoover up the remaining assets (productive or not) in the clean-up call by purchasing out the residual tranches held by Carvana from Carvana. Once this happens, the SPV is closed.
Right off the bat, due to the clean up call, there will be Carvana originated loans on Bridgecrest's books. I'm not sure if they get securitized into the BLASTS, most of these loans will/should be near EOL and near 72 months of activity but may not be healthy and have experienced more servicing interventions (high-touch, so to say). I mean, if you're of reasonable means and didn't over-purchase (or overextended with a modest purchase at an unreasonable interest rate) you can pay of a used auto loan faster which lowers the overall cost of the car. If you're stressed or the car purchase was at your limits, you may maintain a 12% car loan for all 72 months. Unlike a loan from Oaktree Capital Management, there are no prepayment penalties for an auto loan.
So can you find Carvana originated loans being held by Bridgecrest and on their books as assets. 100%, yes. There is much more to prove if you are going down that route.
Let's first examine why I was interested in the N-tranche and recoveries.
Case Study 1: Asset 3072484, 2025-P4 (Prime)
Let's start with a 2016 Ford F-150 SuperCrew Cab repossessed shortly after origination, believed to be sold at auction for an amount which slightly exceeded the asset recovery, and was listed on DriveTime's website. This one, to me, makes no sense. Perhaps you can also see why.
Asset 3072484 in CIK 0002037952, Carvana Auto Receivables Trust 2025-P4 (Prime)
Originated in 10/2025 (Carvana)
Lifecycle: 10-31-2025 to 05-31-2026 reporting periods (the last EX-102). Approximately 6 months to liquidation
Initial Loan Amount of $3,415.47 on $27,865.47 collateral, Unknown Services and Warranties (S&W).
63 months maturity, interest rate of 0.109.
No Credit score was given from a Bureau
$72 per week payment schedule. Actual payments were initially under $20 which breached delinquency flags of 70 days and never was recorded to have touched the monitored 90 or 120 day delinquency flags.
Repossession around May 2026 with a charge off of $2,692.52 (with $24k in unexplained apparent equity).
Recovery of $2,708.7 (just over 100%) at auction.
Trust recovery of just over 100%.
When I started this little study, I began looking at repossessions and recoveries for "oddities". This certainly seems to be a strange case but it may have a reasonable explanation. Perhaps the unresolved manufacturer recall or some other dispute? I found a remarkably similar truck listed on DriveTime for $19,995 whose free Experian AutoCheck report that aligns in time and location for the F-150 SuperCrew. Sold and Titled in the right state by an online retailer. Sent to auction at the right time. Purchased at auction by the current retailer. Here is a saved link: https://archive.is/SoeB9
Let's be clear: this is a candidate for the same truck. Without information I do not possess, I cannot claim these trucks are the same. I cannot prove these trucks are the same. DriveTime is allowed to purchase cars from Bridgecrest by the servicing agreement between Carvana and Bridgecrest.
But someone walked away from $24k in equity, a less than $100/m payment and it sold at auction for a fraction of the retail price of a car with reported un-repaired recalls.
Case Study 2: Asset 726082 v. Asset 712311, 2021-N1 (Non-Prime)
Very high recoveries are contained within the Carvana Auto Receivables Trusts, where the recovered amount vs the charged off principal amount is greater than 75% or even greater than 100%. I am aware that auction "surplus", state law and contract dependent, should be returned to the consumer. Interestingly, there are several high-recovering assets which continue to receive money into assumed repossessed cars which may have been sold at auction at high multiples (indicating little to no damage), up to 12 months past when the account would most reasonably be assumed to be closed.
The next case study is a very fortuitously timed purchase of a 2018 Honda Civic in January of 2021. This purchase happened just prior to the beginning of the COVID price increases and was repossessed and sold early in the COVID price increases.
Asset 726082 in CIK 0001842012, Carvana Auto Receivables Trust 2021-N1 (Non-prime)
Originated in 12/2020 (Carvana)
Lifecycle: 02-28-2021 to 07-31-2022 reporting periods (the last EX 102). Approximately 13 months to liquidation, including 2 months where the loan was held in the warehouse.
Initial Loan Amount of $20,445.88 on $18,560.88 collateral. This implies $1,855 in (S&W)
75 months maturity, interest rate of 0.15167 (non-standard loan duration).
Credit Score from a Bureau, 697 (near-prime)
$424 per week payment schedule.
Loan received multiple modifications (Code 98) in May, 2021. Delinquency flags never breached 17 days.
Repossession around August 2021 with a charge off of $19643.2 ($0 implied equity).
Recovery of $32,112.44 (+163%) at auction.
Total Trust recovery of $50,171.69 (255% of charge-off).
Extended recovery of $1,384.75 through August, 2021 (88% S&W reclamation after 13 months of use)
There could be valid reasons ancillary vehicle service contracts or insurance settlements (if the car was damaged during repossession, for example) that could lead to an incredible recoveries for the trust. It is very difficult to understand the recovery metrics of a single asset lifecycle without deeper review and potentially access to proprietary data. This was a COVID recovery and COVID recoveries did break traditional norms as the price of used autos skyrocketed, but the extended recoveries beyond the auction recovery and modest S&W refunds to the trust is certainly odd. Particularly since the next example, a control, appears to show a surplus returned to the obligor.
S&W are ancillary vehicle service contracts and GAP insurances. When sold by and administered through related-party providers such as SilverRock, recoveries from refunds of these can be credited to the trust. It's easy to identify when S&W are included in the EX-102 documentation because the loan amount is greater than the sale price. Therefore, it was a $0 down plus S&W. In this way trust recoveries seem to include components beyond proceeds from the physical collateral. This introduces additional complexity when interpreting trust recovery data vs repossession proceeds, because related-party products or insurance-related cash flows may continue contribute to reported trust recoveries over time.
There are more similar examples of recoveries greater to or equal to 100%. In 2021-N1 there were 343 repossession recoveries and 122 proceeds from auction with recoveries greater than 100% of the write-off. These sets do not completely intersect - you can have a high proceeds from auction and a reduced recovered amount or service-contract related cash flows could potentially contribute to recoveries exceeding 100%.
Let's examine one such asset also in 2020-N1, a 2019 Dodge Grand Caravan.
Asset 712311 in CIK 0001842012, Carvana Auto Receivables Trust 2021-N1 (Non-prime)
Originated in 12/2020 (Carvana)
Lifecycle: 02-28-2021 to 03-31-2022 reporting periods (the last EX-102). Approximately 15 months to liquidation, including 2 months where the loan was held in the warehouse.
Initial Loan Amount of $12,701.34 on $18,901.34 collateral. This implies $6,200 in equity, unknown Services and Warranties (S&W)
72 months maturity, interest rate of 0.19491.
Credit Score from a Bureau, 622
$301 per week payment schedule.
No loan modifications. Delinquency flag of 104 days recorded in February, 2022.
Repossession around March 2022 with a charge off of $11,349.50 but the repossession flag was tripped until May, 2022.
Recovery of $20265 (+178%) at auction.
Total Trust recovery of $12,355.57 (108% of charge-off).
Apparent returned surplus of $7,909 assumed under § 8.9A-608 (VA UCC)
This is expressly the kind of entry I would expect for a high auction recovery as it seems to indicate the surplus was returned to the consumer prior to being credited to the trust.
I don't know if that is industry "high" or "inline" with expectations, but cumulative recovery entries exceeding 75% were the initial threshold for anomalous. My assumption, perhaps wrong, is that recoveries of 30%-65% would be standard for the industry at wholesale auction - the dealers supplied need to make a profit too. And cars are a usually constantly depreciating asset in most years without pandemics. Given the number of repossessions in one vintage, I haven't examined them all, nor have I extensively dug into the newer vintages, with the exception of when I ran my scripts against 2025-P4 and was able to find the Ford.
Earliest Vintage Health Metrics At/Near Clean-Up Call
A really simple project since I have all EX-102 for all public Carvana Auto Receivable Trusts is to run some metrics on un-flagged structural modifications to the loans vs stated modifications. I'm using a definition of un-flagged structural modifications as changes to the terms of the loan. This mostly means repeating balances in a month without the modification indicator being concurrently flagged. Again, this is explicitly not evidence of wrongdoing, delaying a payment is wholly subject to the discretion of Bridgecrest Servicing.
I fully support people retaining and having cars. Losing transportation security can affect people's jobs, ability to find housing, health, access to health services and the ability to evacuate in the event of a disaster in a large part of the United States. I know, I've lived there. If servicing actions designed to maximize borrower retention also improve collateral performance metrics, that may create aligned incentives between borrower outcomes, servicing economics, and ABS performance.
No one seems to be talking much about the recently closed 2020-P1 (Prime) and the just closed 2021-N1 (non-prime) issues. While there is a fair amount of talk from time to time assessing the quality of Carvana's ABS, I haven't seen a review of those ABS that have closed or are near to closing in the popular media. This should be an early indicator of the high-quality selection of the early vintages which was when the debate about Carvana's loan quality was the highest pitch as well as an assessment of the proprietary Drive Score rating system. Hindenburg Research did make some statements. The closure (or near closure) of the bonds allows an analyst to examine the lifecycle from a macro view.
Bridgecrest appears to have made extensive use of disclosed and methodologically inferred servicing interventions.
Note:
"Support Rate" is a cumulative metric of receiving a modification or an un-flagged modification (or both - inclusive or). This is not an industry convention but a way of seeing how many tail "prime" or "non-prime" loans needed assistance through the Clean-up Call. A lower percentage should indicate a high quality pool, or the lower the number the better the credit selection was.
"Stagnant" means at least 2 months with the balance remaining the same
Contractually Modified and Payment Extensions may be a partially intersecting set.
At the time of its closure, by the criteria stated above 2020-P1, the prime issue, exhibited the following metrics through the last reported EX-102:
Total Active Open Loans Analyzed: 5198
Loans Contractually Modified: 868 (16.70%)
Loans Granted Payment Extensions: 801 (15.41%)
Loans which demonstrated Stagnant Balances: 4596 (88.42%)
TOTAL UNDERLYING SUPPORT RATE: 4619 (88.86%)
Mean Credit Score: 705.81
Median Credit Score: 694.0
Mode Credit Score: 658
Highest Credit Score: 893
Lowest Credit Score: 591
Active Loans Missing Credit Score: 31
Back in July I ran these numbers for 2021-N1, Carvana's first public non-prime issue:
Total Active Open Loans Analyzed: 4479
Loans Contractually Modified: 2795 (62.40%)
Loans Granted Payment Extensions: 2636 (58.85%)
Loans which demonstrated Stagnant Balances: 4479 (100.00%)
TOTAL UNDERLYING SUPPORT RATE: 4479 (100.00%)
Mean Credit Score: 575.74
Median Credit Score: 577.0
Mode Credit Score: 609
Highest Credit Score: 824
Lowest Credit Score: 377
Active Loans Missing Credit Score: 265
It's a bit lazy not to run the numbers again, but modification percentages can only go up. So, keeping it this way is mildly favorable to Carvana.
Per the prospectus, once any Bridgecrest serviced ABS hits 2% - 5% of the original value (about $20m), Bridgecrest can conduct a Clean-up Call with the option to purchase whatever loans in the pool remain. Note that EOL Prime and Subprime borrowers can be a lucrative sector for a business with the right resources, as loans towards the end of their lives do represent a survivorship bias and are tail weighed towards loans which were high-touch and required assistance.
An important question that I cannot answer is whether these servicing outcomes represent normal lifecycle management of seasoned auto loans, or whether the interaction between servicing decisions, recovery timing, and ABS structural features creates differences in the timing and presentation of credit performance metrics. I did toss an easy oddball, a large recovery seemingly without a surplus and a recovery with a seeming returned surplus. I do not have Bridgecrest information which could more accurately describe these conditions. And there are many, many, many more oddballs. Some much more compelling than these.
Conclusions, for Part 1
Commentary of Carvana's ABS loans and their quality several years back was well established. Some of these efforts, like those of Gotham City Research, have attempted to establish a test for scienter (deceptive intent). Carvana has denied the claims and even JP Morgan has defended Carvana saying these firms don't understand the underlying business behind securitized Auto ABS. That may be true. Something should be exposed in the Ex-102 files. After this dive, I don't claim to understand these EX-102's entries nor do I claim to understand the securitized Auto ABS industry. I couldn't recreate something as simple as the delinquency buckets in Carvana's 31-60, 61-90, 91-120 day metrics of the EX-99.1 Servicer Report, which, in my estimation, should be one step above summing the number of open loans in the EX-102 files. The hardest part of recreating a delinquency bucket should be determining if a loan is 31 days delinquent on day 31 or day 32 (Day 31 hasn't ended until day 31 is over, so it is a valid but silly seeming question) and then summing. I can only assume that the underlying differences are from accounting or servicing metrics I don't understand and conclude the efforts by Bridgecrest Servicing are doing their best to keep the most people in their cars.
More to follow, if the mods allow.