GM Financial is bringing $1.3 billion in asset-backed securities backed by prime auto loan receivables to market, according to a Moody’s Investors Service presale report. This transaction has the highest share of longer-term loans compared with GMF’s other securitizations — approximately 82% of the pool consists of loans with original terms of 61 to 75 months.
Still, the captive ushered in the new year with a transaction backed by strong credit quality, which includes 48,929 prime auto loans with a weighted average Fico of 773. Despite limited prime ABS transaction-performance history, which can make forecasting losses difficult, Moody’s expects the 2020-1 deal to have a cumulative net loss of 0.8%.
There were a few notable changes from GM Financial’s previous transaction in the fourth quarter of 2019, S&P Global Ratings pointed out in its presale report. While the collateral pool’s credit quality is similar, the percentage of new vehicles decreased to 87.9% from 90.5%, S&P noted, and the weighted average loan-to-value ratio increased to 91.2% from 88%.
GM Financial’s experience as a servicer — the captive has completed more than 100 public retail auto loan transactions since 1994 — and the buildup of credit enhancement as the pool amortizes were cited as other credit strengths.
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