A pool of prime retail auto loans will secure $545.5 million in auto asset-backed securities (ABS) to be issued from the GM Financial Revolving Trust (GMREV) 2023-2.
AmeriCredit Financial Services originated and services the auto contracts, according to a pre-sale report from Moody's Investors Service. The transaction has a total securitized portfolio amount of $1.0 billion. Some 29,506 obligors and contracts are underpinning the deal, Moody's said. A vast majority of the pool, 82%, are new cars, while 18% are used, according to the rating agency.
The deal will issue notes through four tranches, all of which have the same legal final maturity date, Aug. 11, 2036 and a reserve fund amounting to 0.50% of the pool, according to Moody's. Total initial hard credit enhancements to vary, however, with levels of 8.85% and 6.85% on the class A and B notes, respectively.
Moody's intends to assign ratings of 'Aaa' to the classes A and B notes; 'Aa3' to the class C notes and 'Baa1' to the class D notes, the rating agency said. Moody's says it expects a cumulative net loss expectation of 1.50% on the asset pool. According to the Asset Securitization Report's deal database, Fitch Ratings expects to assign ratings of 'AAA' to the class A notes; 'AA' to the class B notes; and 'A' and 'BBB' to classes C and D notes.
A group of banks are on the deal as lead underwriters—BNP Paribas Securities, BofA Securities, Credit Agricole Securities, Deutsche Bank Securities and AG Americas Securities.
The deal has several credit strengths in its favor, according to Moody's. One is GM Financial's reputation as an experienced sponsor and servicer with significant scale. GM Financial is the name that AmeriCredit Financial Services does business under, and it has completed more than 100 public retail auto loans since 1994. The underlying pool is also of high credit quality, Moody's notes. On a weighted average (WA) basis the contracts have an average FICO score of 780, which is generally in line with similar scores on GMREV deals.
The notes also benefit from several net loss and delinquency triggers in the transaction to protect the deal from performance deterioration, the rating agency said.
Yet the rating agency did note a number of concerns, from a credit standpoint. The transaction has a relatively long revolving period—up to five years before amortization begins, Moody's said. This could expose the transaction to performance uncertainties. There is also a high ratio of longer-term loans. In fact, 71% of the pool balance is represented by loans with original terms of 61-84 months, Moody's said.
