GM Financial Consumer Automobile Receivables Trust 2023-3 is raising nearly $1.3 billion, with the potential to upsize the deal to $1.54 billion. GMCAR 2023-3 is based on a portfolio of prime U.S. auto loans originated by AmeriCredit Financial Services (AFS), a wholly-owned subsidiary of General Motors Financial Company (GMF).
The pool, which has a weighted-average FICO score of 782, includes 41,038 contracts with an average LTV of 97% and average remaining loan size of $34,427.
AFS is the transaction's servicer and administrator. The sponsor, GMF, is a wholly-owned subsidiary of General Motors, with assets of $267 billion, says Moody's Investor Service. The sponsor's strength enhances the issue, Moody's says, as it is more likely to be able to originate and service loans in a reliable manner even in the event of new competitive challenges.
GMCAR 2023-3 is issuing eight classes of fixed-interest notes with a weighted-average APR of 5.21%. Their final maturity dates range from 2024 to 2031, and the issue closes on July 19. The class A-2-B notes, if issued at closing, will accrue interest at a floating rate of SOFR plus a margin. The class D notes will initially be retained by the depositor or an affiliate, S&P Global Ratings says.
GMCAR 2023-3, the third issue this year for AFS, is generally comparable to the 2023-2 pool, according to S&P Global Ratings.
Credit enhancements include excess spread, cash reserve account, overcollateralization and senior/subordinate structure, according to the ASR deal database. The lead underwriters are Barclays Capital, Citigroup Global Markets, Scotia Capital (USA) and Wells Fargo Securities.
According to S&P, the transaction's key credit strengths are GMF's experience in servicing and sponsoring auto transactions, the pool's high credit quality, and the expected build in credit enhancement stemming from the sequential pay structure. The credit challenges include a high proportion of 76-84 month original term loans, the risk of decline in used vehicle prices, and a floating rate note.
Performance typically weakens as terms lengthen for prime loans as the longer terms present more opportunity for a life event to occur, increasing the volatility of expected losses, S&P says.
Moody's expected median cumulative net loss expectation for GMCAR 2023-3 is 0.75% and the loss at an Aaa stress is 4.75%.
Moody's expects to assign P-1 to the class A-1 notes, Aaa to the class A-2-A, A-2-B, A-3 and A-4 notes, Aa1 to the class B notes, Aa3 to the class C notes, and A2 to the class D notes.
S&P expects to assign A-1+ to the class A-1 notes, AAA to the class A-2-A, A-2-B, A-3 and A-4 notes, AA+ to the class B notes, and AA to the class C notes. It didn't rate the class D notes.
