A pool of retail loans financing new and used car purchases will secure a $1.3 billion securitization from GM Financial, in its second sponsored deal of the year.
The 2024-2 series will issue class A, B, C and D through about eight tranches of notes, according to sources. Issued notes are expected to see spreads range between 13 basis points on the A1 notes through 105 basis points on the C notes, at least, according to the Asset Securitization Report's deal database. Moody's Investors Service and S&P Global Ratings.
Series 2024-2 can be upsized to $1.5 billion from the base pool amount, but regardless of the securitization size most aspects of the deal remain the same. GM Financial Consumer automobile Receivables Trust, 2024-, will offer four senior/class A tranches, most of which issue fixed rate notes. The A2 tranche has the option of including floating-rate A2B notes, according to the rating agencies. The subordinate tranches also issue fixed-rate notes.
Moody's says the class A notes have total initial hard credit enhancement totaling 6.10%. Classes B, C and D notes, meanwhile have enhancement levels of 4.50%, 3.00% and 1.75%, respectively, regardless of the issuance amount. The total enhancement includes a reserve fund representing 0.25%.
BNP Paribas Securities, CIBC World Market, Lloyds Securities, SG Americas Securities and Wells Fargo Securities are lead underwriters on the deal.
Moody's notes that GM Financial's experience as a sponsor, having completed over 100 securitization transactions across retail auto loans, dealer floorplan loans and auto lease are all credit strengths to the deal. The underlying contracts are also of high credit quality, with a weighted average FICO score of 784 for the base pool, and 785 for the increased amount.
The receivables also have a WA original term of 69 months for both the base and the upsized pool amount, Moody's said. The rating agency added that at closing classes A, B, C and D notes are expected to benefit from 6.10%, 4.50%, 3.00% and 1.75% of hard credit enhancement. The deal's sequential payment structure should encourage a rapid buildup of credit enhancement.
Moody's assigns ratings of P1 to the A1 notes; Aaa to the A2 through A4 notes; and Aa1, Aa2 and A2 to classes B, C and D notes. S&P assigns ratings of A1+ to the A1 notes; AAA to the A2 through A4 tranches; and AA+ and AA to tranches B and C.
Notes have legal final maturity dates that range from April 18, 2025 through Oct. 16, 2021.
