AmeriCredit’s first senior subordinate retail auto loan issuance of 2024

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.

Roberto Sergio

Managing Director of Credit Village, Roberto Sergio has more than 20 years of experience in NPL and distressed debt in the Italian and International market. He is the editor of the NPL column in Credit Village Magazine and the director of Credit Village's National NPL Market Observatory.

Credit Village is a leading company in the field of specialized publishing and event organization for the credit management industry and in all issues and aspects related to the NPE market, including ESG , M&A, Real Estate etc. Credit Village has been the first company in Italy to bring the culture of the credit management industry to the press, events and online, creating the largest community in the sector around itself.