Revenue from a pool of retail, closed-end vehicle leases made to predominantly prime obligors will secure $1.3 billion in asset-backed bonds to be sold to investors by mid-February.
AmeriCredit Financial Services, or GM Financial, is sponsoring the deal, GMALT 2023-2, which could be upsized, according to S&P Global Ratings. For the most part many structural features are unchanged from GMALT 2023-3, such as initial and target overcollateralization levels of 8.00% and 10.50%, respectively, the rating agency said.
BMO Capital Markets, Citigroup Global Markets, J.P.Morgan Securities, Mizuho Securities and SMBC Nikko Securities are managers on the deal, according to the Asset Securitization Report's deal database. ASR also notes that the deal will issue and repay the notes from a senior-subordinate structure.
Fitch Ratings also assigned ratings to the notes, which have credit enhancement levels of 19.15% on the A1 through A4 notes, according to the rating agency. The class B notes are expected to have a credit enhancement level of 14.80%; 10.75% on the C tranche; and 8.25% on the D tranche. Final maturity dates that range from Feb. 20, 2025 on the F1+-rated A1 notes to July 20, 2028 on the class D notes.
Otherwise, Fitch assigns AAA to A2A through A4 notes; AA on the class B notes; and A on the class C notes.
S&P notes that almost all of the notes are fixed rate, and that the A-2-B tranche could be rated on the one-month Secured Overnight Financing Rate (SOFR). It assigns A1+ to the A1 notes; AAA to the A2 through A4 notes; AA+ to the class B notes; and A+ to the class C notes.
As for the collateral pool, the loans have a weighted average (WA) score of 781, the highest to date for the platform, according to Fitch. The rating agency added that the segment and vehicle mix are diverse, with crossover utility vehicles (CUV) accounting for a majority of the pool, at 59.0%. The undiscounted residual value (RV) composition is 76.0%, Fitch added.
The deal also has several key positive credit highlights, including the lowest concentration of leases with terms greater than 36 months. A minority of the concentration, 29.6%, have original terms between 37 months and 48 months, even lower than the 34.6% concentration in the GMALT 2023-3 pool.
