With a weighted average FICO score of 780, the highest of its program, the GM Financial Automobile Leasing Trust, 2023-3 is preparing to issue $1 billion in asset-backed securities secured by retail closed-end vehicle leases.
A pool has an undiscounted residual value (RV) of 75.9%, which is consistent with the GMALT 2023-2 transaction. GM's residual value performance has been strong in recent years, the rating agency said. In order to derive the 'BB' residual value proxy, the rating agency used the worst 18 months of historically observed residuals, it said.
Nevertheless, the rating agency is vigilant about the current economic environment, state of the mobility and auto industries, and the wholesale vehicle market, all of which can impact the ratings of the outstanding notes. Among the deal's other positive credit aspects, the deal has initial credit enhancement that have been consistent with previous transactions since 2022. The deal has the lowest concentration of leases with 37- to 48-month original terms, according to Fitch Ratings, at 34.6%. It is only slightly lower that the 35.1% seen on the GMALT 2023-2, but lower than the 48.8% in the GMALT 2021-1.
The collateral pool consists of a mix of relatively diverse combination of segment and vehicle mixes, according to Fitch Ratings. Crossover utility vehicles (CUV), represent the largest concentration of vehicles in the pool, at 60.4%, according to the rating agency.
J.P. Morgan Chase is underwriting the deal, according to Fitch, with AmeriCredit Financial Services as servicer and sponsor. The deal has a smaller number of leases, compared with recent auto lease transactions in Fitch's comparison group.
All of the vehicles in the pool are new. Outside of crossover utility vehicles (CUVs), which make up the majority of the pool, trucks account for 26.0% and sport utility vehicles (SUV) for the other 9.4%. By model type, the pool appears to be well diversified, with Silverado accounting for 16.4%, followed by Equinox and Sierra, at 14.6% and 7.2%, respectively.
Fitch expects to assign ratings of 'F1+' to the $154.3 million, class A-1 notes; 'AAA" to the A-2-A notes through the A-4 notes; 'AA' to the class B notes; and 'A' to the class C notes. It does not expect to assign ratings to the $29.2 million, class D notes.
