A collateral pool that is consistent with high-quality auto loans that secured a previous transaction will secure at least $1.3 billion in auto asset-backed securities (ABS) coming to market from GM Financial Automobile Receivables Trust.
AmeriCredit Financial Services, a subsidiary of General Motors Financial Company, is sponsoring GMCAR 2024-1, its first of the year, according to a pre-sale report from Moody's Investors Service. The $1.3 billion securitization amount represents the base pool, which can be increased to $1.5 billion, the rating agency said. GMCAR 2024-1 will issue notes through nine classes, and all major characteristics are the same regardless of the securitization amount.
Moody's expects to assign a P1 rating to the A1 notes; Aaa to the A2 through A4 classes of notes; Aa1 to the class B notes; Aa2 to the class C notes; and A2 to the class D notes, the rating agency said. All of the class A notes have total hard credit enhancement derived from a combination of overcollateralization, a non-declining reserve account and subordination, except for the class D notes, the rating agency said. The trust will repay principal to investors sequentially, the rating agency said, so non-declining enhancement will grow as a percentage of remaining assets, as the pool amortizes.
Barclays Capital, Deutsche Bank Securities, MUFG Securities Americas, RBC Capital Markets and Scotia Capital are lead underwriters on the deal.
The rating agency expects a cumulative net loss of 0.65% for GMCAR 2024-1, which is 10 basis points lower than the previous transaction from the shelf. At a Aaa stress level, the rating agency expects a loss of 4.5%, which is 25 bps lower than the GMCAR 2023-4.
Moody's points out that the transaction's collateral pool is of high quality, with a weighted average (WA) FICO score of 783, the same as the 2023-4 pool. On a weighted average (WA) basis, the receivables have an original term of 69 months, Moody's said. The collateral has an average remaining loan size of $34,323, and 50% of the pool has a loan-to-value ratio of less than 100%. The rating agency noted that loans with original terms longer than 60 months make up about 70% of both the base—and the upsized pool.
Nevertheless, some caveats remain on the deal, the rating agency said. Some 21% of the GMCAR 2024-1 includes 76-84 month loans compared to 22% in the 2023-4 for both the base amount and the upsized pool.
