Americredit may price its $1 billion subprime retail auto loan ABS, AMCAR 2014-3 this week.
Price guidance on the 2.3-year, class A-3 notes to be offered from Americredit’s Automobile Receivables Trust 2014-3 securitization is at 37 to 39 basis points over interpolated swaps curve, according to a Bloomberg report.
In June, the GM Financial-owned company priced a comparable tranche from its AMCAR 2014-2 deal at a spread of 33 basis points. The class A3 notes were structured with a weighted average life of 2.17-year and rated triple-A.
Some spread widening was expected because Americredit's 2014-3 deal is the first subprime auto loan securitization to be issued following the Department of Justice’s investigation of subprime underwriting and securitization practices.
At the beginning of August both GM Financial and Santander Consumer US received a civil subpoena from the DOJ requesting documents and communications that relate to the underwriting and securitization of nonprime auto loans since 2007.
Analysts believe that the headline risk may put pressure on spreads. John McElravey, director and head of consumer ABS research at Wells Fargo, wrote in an Aug. 19 report that "the regulatory scrutiny of subprime auto lending and securitization may make the sector vulnerable to spread widening or greater tiering to the extent headline or servicer risk increases.”
AMCAR 2014-3 will issue five classes of senior notes, including a $141 million money market tranche with a preliminary P-1’ rating from Moody’s Investors Service and four classes of longer-term notes with preliminary Aaa’ ratings. All five tranches benefit from initial had credit enhancement of 34.07%.
BNP Paribas Securities, Credit Suisse Securities, Goldman, Sachs, and J.P. Morgan Securities are the lead underwriters.
The credit quality of the loans backing AmeriCredit’s latest offering is in line with that of its two prior deals of this year, according to Moody’s. The pool’s weighted average internal score of 245 is four points higher than the weighted average score for the 2014-2 pool and “on the high end” of recent AMCAR transactions.
The weighted average LTV of 110% is in the middle of the 109% to 111% range for recent AMCAR transactions.
The weighted average APR of 12.07% for the 2014-3 pool is lower than the weighted average APR for the 2014-2 transaction.
The collateral in the 2014-3 transaction has lower weighted average seasoning than the 2014-2 transaction. This is because the 2014-2 transaction includes a small amount of receivables that were called from 2010 securitizations at less than 10% pool factor.