The General Motors is sponsoring its first auto asset-backed securities (ABS) of the year, a $1.2 billion deal that will issue notes through the GM Financial Consumer Automobile Receivables Trust, 2022-1.
BNP Paribas Securities, Corp. is the lead underwriter on the transaction, which will issue notes through a structure with subordination and excess spread. The class A, B, C and D notes have initial hard credit enhancement levels of 6.1%, 4.5%, 3.0% and 1.7%, respectively. The notes also benefit from excess spread, according to Fitch Ratings, which expects to rate the notes.
Fitch expects to assign ‘F1+’ ratings to the $226 million A-1 class of notes; ‘AAA’ ratings to the notes on classes A-2 through A-4; and then ‘AA’ through ‘BBB+’ on the notes through out the rest of the deal.
The collateral pool comprises about 39,499 loans on new and used vehicles, mostly light trucks and utility vehicles according to the collateral breakdown. Cars make up just 8.1% of the pool, while the rest of the pool consists of light trucks (43%), crossover utility vehicles (35.6%), and sport utility vehicles (13%).
Fitch did note a dynamic in the automobile market that is currently impacting the pool composition. “Vehicle concentrations still generally reflect a shifting mix in GMF originations, which were heavily truck-oriented in prior transactions,” the rating agency said. “Although current relatively low fuel prices make less fuel-efficient trucks/SUVs/CUVs more attractive to consumers, recover rates could come under pressure in the future if fuel prices increase substantially.”
Nevertheless, Chevrolet remains the top vehicle make in the 2022-1 transaction, making up 57.5% of the pool. GMC and Cadillac follow, with 23.1% and 9.5% of the pool, respectively.
On average, the loans have a current principal balance of $31,508, and a weighted average (WA) APR of 4.0%. On a WA basis, the borrowers have a FICO score of 774.
A majority of the underlying loans in the collateral pool are on new cars, 79.4%, while used vehicles make up the rest of the pool.
The pool is geographically diverse, with Texas being the largest, accounting for 14.8% of the pool. California, Florida, New York and Ohio follow, accounting for 9.5%, 7.3%, 4.8% and 4.4% of the pool, respectively.
