Moody’s has released a pre-sale report for the AMCAR 2024-1 transaction, a securitization of primarily non-prime quality retail installment auto loan contracts originated by AmeriCredit Financial Services, a subsidiary of General Motors Financial Company. The expected closing date is May 29, 2024.
The report presents two scenarios for provisional (P) ratings based on different initial note balances: $1,241,160,000 and $1,579,600,000. The sponsor will determine the initial principal balance based on market conditions at the time of pricing. The reserve fund will be at least 1% of the initial pool balance. Class D and E notes will not be offered and will initially be retained by the depositor.
AmeriCredit has a serviced auto loan portfolio of about $67.8 billion and over 20 years of experience in underwriting and servicing non-prime auto loans.
Resilient Performance: AMCAR transactions have shown strong performance during the 2008 financial recession, with losses lower than other issuers in the non-prime sector. Transactions after 2009 have also performed well.
Buildup of Enhancement: At closing, credit enhancement for Class A notes will include an initial overcollateralization (OC) of 5.75%, increasing to a target of 14.75% of the outstanding pool balance, a non-declining reserve fund of 1%, and 25.34% in subordinated notes for the base pool.
High Proportion of Long-Term Loans: Approximately 94.6% of the AMCAR 2024-1 pool consists of loans with original terms of 61-84 months. Longer-term loans typically present higher volatility in expected losses.
Non-Prime Credit Quality: The pool primarily consists of non-prime quality auto loans with a weighted average FICO score of 588, reflecting mid-range credit quality.
Unhedged Floating Rate Liability: The transaction includes Class A-2-B notes that pay a floating rate based on one-month SOFR, while the assets pay fixed rates, exposing the transaction to interest rate fluctuations.
Risk of Declining Used Car Prices: Recent declines in used car prices due to easing new vehicle supply shortages and reduced demand pose a risk of higher net losses for the transaction.
ESG Considerations: Environmental, social, and governance credit risks are considered low for this transaction.
