RPT-Fitch to Rate AmeriCredit Automobile Receivables Trust 2014-2; Issues Presale
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June 2 (Reuters) - (The following statement was released by the rating agency)
Fitch Ratings expects to assign the following ratings and Rating Outlooks to the notes issued by AmeriCredit Automobile Receivables Trust (AMCAR) 2014-2:
--$197,000,000 class A-1 'F1+sf';
--$391,110,000 class A-2-A/A-2-B 'AAAsf'; Outlook Stable;
--$264,240,000 class A-3 'AAAsf'; Outlook Stable;
--$91,830,000 class B 'AAsf'; Outlook Stable;
--$113,980,000 class C 'Asf'; Outlook Stable;
--$112,090,000 class D 'BBBsf'; Outlook Stable;
--$29,750,000 class E 'BBsf'; Outlook Stable.
KEY RATING DRIVERS
Stable Credit Quality: The 2014-2 pool displays relatively consistent credit quality versus 2013 pools, with a 566 weighted average (WA) Fair Isaac Corp. (FICO) score, and a 241 WA internal credit score. Extended term contracts continue to account for the majority of the pool at 89.24%. New vehicles total 47.43% of the pool, consistent with prior AMCAR transactions.
Consistent Credit Enhancement: The cash flow distribution is a sequential-pay structure. Initial hard credit enhancement (CE) is consistent with the prior nine transactions. The reserve is 2% (non-declining), and initial overcollateralization (OC) is 5.25%, growing to a target of 14.25% of the outstanding pool balance (less the required reserve amount for the distributing period). Of note, excess spread has decreased to one of the lowest levels seen to date, at 8.59% per annum.
Stable Portfolio/Securitization Performance: Losses on GM Financial's managed portfolio and securitizations declined to some of its lowest levels, given the gradual economic recovery and stronger used vehicle values.
Stable Corporate Health: Fitch rates GM and GM Financial Company Inc. 'BB+' with a Positive Rating Outlook. GM has recorded positive corporate financial results since 2010. Fitch assessed the potential impact of GM/ GM-affiliated brand vehicle recalls in relation to this transaction; Fitch expects this to have limited to no impact on the 2014-2 pool.
Consistent Origination/Underwriting/Servicing: AFSI demonstrates adequate abilities as originator, underwriter, and servicer, as evidenced by historical portfolio delinquency and loss experience and securitization performance. Fitch deems AFSI capable of adequately servicing this series.
Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of GM Financial would not impair the timeliness of payments on the securities.
Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case and could result in potential rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to each class of AmeriCredit Automobile Receivables Trust 2014-2 to increased losses over the life of the transaction.
Fitch's analysis found that each class of notes displays some sensitivity to increased defaults and losses, with some classes showing potential downgrades of up to two rating categories under Fitch's moderate (1.5x base case loss) scenario. Some classes of notes could experience downgrades of more than three rating categories under Fitch's severe (2.5x base case loss) scenario. Key rating drivers and rating sensitivities are further detailed in the accompanying presale report at 'www.fitchratings.com' or by clicking on the below link.
Fitch's analysis of the Representation and Warranties (R&W) of this transaction can be found in 'AmeriCredit Automobile Receivables Trust 2014-2 --Appendix'. These R&W are compared to those of typical R&W for the asset class as detailed in Fitch's April 17, 2012 special report, 'Representations, Warranties, and Enforcement Mechanisms in the Global Structured Finance Transactions'.
Link to Fitch Ratings' Report: AmeriCredit Automobile Receivables Trust 2014-2 (US ABS)