GM Financial Automobile Leasing Trust is preparing to issue $1.4 billion in asset-backed bonds from a pool of retail, closed-end vehicle leases, and notes that have a discount rate of 9.5%, a decrease from 9.7%.
The Asset Securitization Report's deal database cites Bank of America Merrill Lynch, BMO Capital Markets, Deutsche Bank Securities, and RBC Capital Markets, while rating agencies FitchRatings notes that BMO Capital Markets is the transaction's underwriter.
GMALT 2024-2, as the transaction is known, will close this week, issuing class A, B, C and D notes through eight tranches of notes, according to Fitch and S&P Global Ratings. Pricing guidance suggests the notes rated A1+ and F1+ by S&P and Fitch, respectively, are expected to yield 5.5% over the three-month interpolated yield curve, pricing at par.
Yields are expected to vary from 5.49% to 5.42% on the AAA notes over three-month, interpolated yield curve, according to the ASR deal database. Pricing information wasn't available on the A-2B notes, which are expected to pay yields over the one-month Secured Overnight Financing Rate (SOFR). AA notes are expected to yield 5.63% over the 3-month I-curve, according to the database.
Fitch and S&P note a few characteristics that strengthen GMALT 2024-2's credit outlook. According to Fitch, the program's credit and residual losses have demonstrated strong and stable performances in recent years, and its residual value performance has been strong in recent years.
According to S&P, the A, B and C notes benefit from credit enhancement representing 22.47%, 18.69% and 15.12%, respectively. That enhancement package includes subordination, 8% in overcollateralization—which builds to a target of 10.50%--a non-amortizing reserve account of 0.25% and excess spread.
In another positive finding, Fitch found that only 31.3% of the 47,458 underlying leases in the collateral pool have original terms between 37 and 48 months, giving the current deal the second-lowest concentration to date for the securitization program, and continuing a downward trend from the 48.8% observed in the GMALT 2021-1, the rating agency said.
The leases have an average initial securitization value of $32,067 and a weighted average FICO score of 781, Fitch said.
S&P 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. Fitch, for its part, assigns ratings of F1+ to the A1 notes; AAA to the A2 and A4 notes; AA to the class B notes; and A to the C tranche.
