NEW YORK--(BUSINESS WIRE)--Fitch Ratings assigns the following ratings and Outlooks to AmeriCredit Automobile Receivables Trust 2016-4 (AMCAR 2016-4):
--$196,000,000 class A-1 notes 'F1+sf';
--$430,000,000 class A-2-A notes 'AAAsf'; Outlook Stable;
--$246,250,000 class A-3 notes 'AAAsf'; Outlook Stable;
--$94,670,000 class B notes 'AAsf'; Outlook Stable;
--$117,520,000 class C notes 'Asf'; Outlook Stable;
--$115,560,000 class D notes 'BBBsf'; Outlook Stable;
--$30,700,000 class E notes 'NR'.
KEY RATING DRIVERS
Consistent Credit Quality: The 2016-4 pool displays consistent credit quality relative to recent pools based on the WA Fair Isaac Corp. (FICO) score of 576 and internal credit scores. Obligors with FICOs greater than 600 represent over 30% of the pool, up from AMCAR transactions issued prior to 2016.
Increased Extended-Term Contracts: 60+ month contracts total 92.5% of the pool, consistent with recent transactions. 73-75 month contracts total 3.6%, up slightly from 2016-3. Performance data for these contracts are limited due to lack of seasoning. However, GMF offered the 73-75 month loans in this pool to obligors with stronger credit metrics. Given this fact and the small concentration in the pool, Fitch did not apply an additional stress to these loans.
Sufficient Credit Enhancement: Initial hard credit enhancement (CE) is consistent with 2016-3, totalling 35.20%, 27.95%, 18.95% and 10.10% for classes A, B, C and D, respectively. Excess spread is slightly higher than 2016-3 due to the higher WA APR of the pool.
Stable Performance: Losses on GMF's managed portfolio and securitizations have been stable and relatively low, supported by the currently stable economy and healthy used vehicle values. Contrary to other nonprime lenders, recent vintage performance has not exhibited any notable weakness, with losses remaining stable for the 2013-2015 vintages to date. The cumulative net loss proxy for 2016-4 is 11.10%, down from 11.35% in 2016-3.
Improving Corporate Health: Fitch rates GM and GMF 'BBB-' with a Positive Rating Outlook. The recent affirmation and Rating Outlook revision to Positive reflect the ongoing fundamental improvement in the company's core business over the past several years.
Consistent Origination/Underwriting/Servicing: AFSI demonstrates adequate abilities as originator, underwriter and servicer as evidenced by historical portfolio and securitization performance. Fitch deems AFSI capable of adequately servicing the transaction.
Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of GMF 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. This in turn could result in Fitch taking negative rating actions on the notes.
Fitch evaluated the sensitivity of the ratings assigned to AmeriCredit Automobile Receivables Trust 2016-4 to increased credit losses over the life of the transaction. Fitch's analysis found that the transaction displays some sensitivity to increased defaults and credit losses. This shows a potential downgrade of two categories under Fitch's moderate (1.5x base case loss) scenario, especially for the subordinate bonds. The notes could experience downgrades of three or more rating categories, potentially leading to distressed ratings (below 'Bsf'), or possibly default, under Fitch's severe (2.5x base case loss) scenario.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte and Touche, LLP. The third-party due diligence described in Form 15E focused on comparing or recomputing certain information with respect to 225 loans from the statistical data file. Fitch considered this information in its analysis and the findings did not have an impact on our analysis/conclusions. A copy of the ABS Due Diligence Form-15E received by Fitch in connection with this transaction may be obtained through the link contained on the bottom of this rating action commentary.
REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS
A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by accessing the appendix referenced under 'Related Research' below. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions,' dated May 31, 2016.
Additional information is available at www.fitchratings.com.
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 01 Sep 2016)
Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 17 May 2016)
Global Structured Finance Rating Criteria (pub. 27 Jun 2016)
Rating Criteria for U.S. Auto Loan ABS (pub. 21 Mar 2016)
AmeriCredit Automobile Receivables Trust 2016-4 - Appendix
Dodd-Frank Rating Information Disclosure Form
ABS Due Diligence Form 15E 1
Copyright © 2016 by Fitch Ratings, Inc., Fitch Ratings Ltd. and its subsidiaries. 33 Whitehall Street, NY, NY 10004. Telephone: 1-800-753-4824, (212) 908-0500. Fax: (212) 480-4435. Reproduction or retransmission in whole or in part is prohibited except by permission. All rights reserved. In issuing and maintaining its ratings and in making other reports (including forecast information), Fitch relies on factual information it receives from issuers and underwriters and from other sources Fitch believes to be credible. Fitch conducts a reasonable investigation of the factual information relied upon by it in accordance with its ratings methodology, and obtains reasonable verification of that information from independent sources, to the extent such sources are available for a given security or in a given jurisdiction. The manner of Fitch's factual investigation and the scope of the third-party verification it obtains will vary depending on the nature of the rated security and its issuer, the requirements and practices in the jurisdiction in which the rated security is offered and sold and/or the issuer is located, the availability and nature of relevant public information, access to the management of the issuer and its advisers, the availability of pre-existing third-party verifications such as audit reports, agreed-upon procedures letters, appraisals, actuarial reports, engineering reports, legal opinions and other reports provided by third parties, the availability of independent and competent third- party verification sources with respect to the particular security or in the particular jurisdiction of the issuer, and a variety of other factors. Users of Fitch's ratings and reports should understand that neither an enhanced factual investigation nor any third-party verification can ensure that all of the information Fitch relies on in connection with a rating or a report will be accurate and complete. Ultimately, the issuer and its advisers are responsible for the accuracy of the information they provide to Fitch and to the market in offering documents and other reports. In issuing its ratings and its reports, Fitch must rely on the work of experts, including independent auditors with respect to financial statements and attorneys with respect to legal and tax matters. Further, ratings and forecasts of financial and other information are inherently forward-looking and embody assumptions and predictions about future events that by their nature cannot be verified as facts. As a result, despite any verification of current facts, ratings and forecasts can be affected by future events or conditions that were not anticipated at the time a rating or forecast was issued or affirmed.
The information in this report is provided "as is" without any representation or warranty of any kind, and Fitch does not represent or warrant that the report or any of its contents will meet any of the requirements of a recipient of the report. A Fitch rating is an opinion as to the creditworthiness of a security. This opinion and reports made by Fitch are based on established criteria and methodologies that Fitch is continuously evaluating and updating. Therefore, ratings and reports are the collective work product of Fitch and no individual, or group of individuals, is solely responsible for a rating or a report. The rating does not address the risk of loss due to risks other than credit risk, unless such risk is specifically mentioned. Fitch is not engaged in the offer or sale of any security. All Fitch reports have shared authorship. Individuals identified in a Fitch report were involved in, but are not solely responsible for, the opinions stated therein. The individuals are named for contact purposes only. A report providing a Fitch rating is neither a prospectus nor a substitute for the information assembled, verified and presented to investors by the issuer and its agents in connection with the sale of the securities. Ratings may be changed or withdrawn at any time for any reason in the sole discretion of Fitch. Fitch does not provide investment advice of any sort. Ratings are not a recommendation to buy, sell, or hold any security. Ratings do not comment on the adequacy of market price, the suitability of any security for a particular investor, or the tax-exempt nature or taxability of payments made in respect to any security. Fitch receives fees from issuers, insurers, guarantors, other obligors, and underwriters for rating securities. Such fees generally vary from US$1,000 to US$750,000 (or the applicable currency equivalent) per issue. In certain cases, Fitch will rate all or a number of issues issued by a particular issuer, or insured or guaranteed by a particular insurer or guarantor, for a single annual fee. Such fees are expected to vary from US$10,000 to US$1,500,000 (or the applicable currency equivalent). The assignment, publication, or dissemination of a rating by Fitch shall not constitute a consent by Fitch to use its name as an expert in connection with any registration statement filed under the United States securities laws, the Financial Services and Markets Act of 2000 of the United Kingdom, or the securities laws of any particular jurisdiction. Due to the relative efficiency of electronic publishing and distribution, Fitch research may be available to electronic subscribers up to three days earlier than to print subscribers.
For Australia, New Zealand, Taiwan and South Korea only: Fitch Australia Pty Ltd holds an Australian financial services license (AFS license no. 337123) which authorizes it to provide credit ratings to wholesale clients only. Credit ratings information published by Fitch is not intended to be used by persons who are retail clients within the meaning of the Corporations Act 2001.