AmeriCredit continues to slightly improve the credit quality and risk parameters of subprime auto loans supporting its asset-backed transactions.
The new deal structured by the General Motors Financial Co. subsidiary includes more loans to borrowers with 600-plus FICO scores as well as to those populating the higher end of AmeriCredit’s internal scoring tables. AMCAR also features slightly fewer loans over 60 months, and a higher weighted average APR.
AMCAR 2016-4, being underwritten by JPMorgan, is a $1.1 billion pool of loans that could be potentially upsized to $1.3 billion. It is the fourth AmeriCredit transaction of the year.
The capital stack in the $1.1 billion scenario includes a one-year Class A-1 money market tranche with a notional size of $164 million, and a pair of Class A tranches sized at $363 million and $199.88 million, according to ratings agency presale reports. The $363 million Class A-2 tranche will be split between fixed-rate and floating rate notes, with a maximum 75% of the notes being issued with floating rates.
If the notes are upsized, the Class A-1 notes will be issued at a size of $196 million, the Class A-2 notes at $430 million, and the A-3 notes at $246.25 million.
The Class A-1 notes carry an expected ‘F1’ structured finance rating from Fitch Ratings and a preliminary ‘A-1’ from Standard & Poor’s. Both agencies also assigned early triple-A ratings to the Class A notes. All the senior notes are supported by 35.2% credit enhancement, which is in line with AMCAR’s previous deals in 2016.
According to Fitch, AMCAR’s new deal has many consistent credit qualities in comparison to its recent deals, with average customer FICO scores of 576. However, the level of customers with FICOs greater than 600 (over 30% of the pool) is up from AMCAR transactions previous to 2016.
In addition, AMCAR has increased the bucket size of loans with the highest borrower internal credit scores (244 or higher) to 47.6%, up from 47% for its 2016-3 deal issued in July and 49.46% for its second transaction this year. In addition, the bucket of consumers with internal AmeriCredit scores below 215 fell to 9.49%, compared to 11.06% and 10.8% in the two prior AMCAR transactions.
Long-term contracts are still the standard with AMCAR’s collateral pool, with 60-plus month contracts totaling 92.4% of the pool, again consistent with recent transactions.
AMCAR 2016-4 does have a higher weighted average APR than the 2016-3 transaction, resulting in slightly less spread.
Cumulative losses have remained “relatively” low for a subprime transaction; Fitch estimates the cumulative net loss proxy at 11.1% for the 2016-4 transaction, down from the previous deal’s 11.35% level. S&P has its expected cumulative net loss range between 10-10.5%.
Prior to this transaction, AmeriCredit has had 94 total securitizations since 1994; since the start of 2015, the company has had 16 subprime securitizations totaling more than $3.4 billion.