The GM Financial Consumer Automobile Receivables Trust 2022-2 is preparing to raise $1.1 billion from the capital markets, issuing notes that will be secured by a portfolio of prime auto loan receivables.
GM Financial is sponsoring the deal, for which RBC Capital Markets is the lead underwriter. Also, the Bank of New York Mellon will act as trustee and trust collateral agent. The trust will issue fixed-rate notes from a senior-subordinate structure, according to a pre-sale report from S&P Global Ratings.
The rating agency noted that all of the A classes, plus the B and C notes have credit support levels of 9.0%, 7.6% and 6.4%, respectively.
GMCAR 2022-2 features a number of notable changes from the previous deal, GMCAR 2022-1, including an estimated annual excess spread before pricing, which was 1.90%, down from 2.57%. S&P noted that this stemmed from higher expected bond coupons at pricing for the series.
Sport utility vehicles (SUVs) represent 26.6%—and 26.7% if upsized—of the deal’s portfolio, compared with 13.0% from the 2022-1 deal. Also among the changes is that the collateral had a weighted average (WA) season of eight months, up from seven months.
One aspect of the 2022-2 is similar to the previous deal, however, which is a 12% concentration of 76-to 84-month loans.
“We generally believe that a higher concentration of 84-month loans increases the credit risk for an auto loan pool,” the rating agency said, adding that, “however, the credit characteristics of those loans in the GMCAR 2022-2 pool may help to mitigate some of the incremental risk.”
S&P also noted that the loans in the 76- to 84-month bracket show WA FICO scores that are similar to or slightly below that of the aggregate pool, but higher than that of the 73- to 75-month loans.
S&P also says it expects a cumulative net loss on the deal of 1.10%-1.30%. The rating agency says it plans to assign A-1+ ratings to the class A-1 notes; ‘AAA’ ratings to the A-2 through A-4 notes; AA+ to the class B subordinate notes, and ‘AA’ to the class C notes.
