Approximately $1.3 billion of asset-backed securities rated
Toronto, April 14, 2021 -- Moody's Investors Service, ("Moody's") has
assigned definitive ratings to the notes issued by GM Financial Consumer
Automobile Receivables Trust 2021-2 (GMCAR 2021-2).
This is the second auto loan transaction of the year from the GMCAR shelf
for GM Financial (GMF, unrated), the wholly owned subsidiary
of General Motors Financial Company, Inc. (Baa3, stable).
The notes are backed by a pool of prime retail automobile loans originated
by GMF, who is also the servicer and administrator for the transaction.
Issuer: GM Financial Consumer Automobile Receivables Trust 2021-2
$230,230,000, 0.13738%, Class
A-1 Notes, Definitive Rating Assigned P-1 (sf)
$471,000,000, 0.27%, Class
A-2 Notes, Definitive Rating Assigned Aaa (sf)
$441,000,000, 0.51%, Class
A-3 Notes, Definitive Rating Assigned Aaa (sf)
$100,570,000, 0.82%, Class
A-4 Notes, Definitive Rating Assigned Aaa (sf)
$21,120,000, 1.09%, Class
B Notes, Definitive Rating Assigned Aaa (sf)
$19,790,000, 1.28%, Class
C Notes, Definitive Rating Assigned Aa1 (sf)
$16,500,000, 0.00%, Class
D Notes, Definitive Rating Assigned Aa3 (sf)
RATINGS RATIONALE
Moody's expected median cumulative net loss expectation for GMCAR 2021-2
is 1.15% and the loss at a Aaa stress is 5.00%.
Moody's based its cumulative net credit loss expectation and loss at a
Aaa stress on an analysis of the quality of the underlying collateral;
the historical credit loss performance of similar collateral, including
securitization performance and managed portfolio performance; the
ability of GMF to perform the servicing functions; and current expectations
for the macroeconomic environment during the life of the transaction.
At closing, the Class A notes, Class B notes, Class
C notes and Class D notes benefit from 6.10%, 4.50%,
3.00% and 1.75% of hard credit enhancement,
respectively. Hard credit enhancement for the notes consists of
a combination of overcollateralization, non-declining reserve
account and subordination, except for the Class D notes, which
do not benefit from subordination. The notes may also benefit from
excess spread.
The COVID-19 pandemic has had a significant impact on economic
activity. Although global economies have shown a remarkable degree
of resilience to date and are returning to growth, the uneven effects
on individual businesses, sectors and regions will continue throughout
2021 and will endure as a challenge to the world's economies well
beyond the end of the year. While persistent virus fears remain
the main risk for a recovery in demand, the economy will recover
faster if vaccines and further fiscal and monetary policy responses bring
forward a normalization of activity. As a result, there is
a heightened degree of uncertainty around our forecasts. Our analysis
has considered the effect on the performance of consumer assets from a
gradual and unbalanced recovery in US economic activity. Specifically,
for auto loan ABS, loan performance will continue to benefit from
government support and the improving unemployment rate that will support
the borrower's income and their ability to service debt.
However, any softening of used vehicle prices will reduce recoveries
on defaulted auto loans. Furthermore, any elevated use of
borrower assistance programs, such as extensions, may adversely
impact scheduled cash flows to bondholders.
We regard the COVID-19 outbreak as a social risk under our ESG
framework, given the substantial implications for public health
and safety.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's
Global Approach to Rating Auto Loan- and Lease-Backed ABS"
published in December 2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1202515.
Alternatively, please see the Rating Methodologies page on www.moodys.com
for a copy of this methodology.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the Class C and D notes if levels of credit enhancement
are higher than necessary to protect investors against current expectations
of portfolio losses. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or appreciation
in the value of the vehicles securing an obligor's promise of payment.
Portfolio losses also depend greatly on the US job market and the market
for used vehicles. Other reasons for better-than-expected
performance include changes to servicing practices that enhance collections
or refinancing opportunities that result in prepayments.
Down
Moody's could downgrade the notes if levels of credit enhancement are
insufficient to protect investors against current expectations of portfolio
losses. Losses could rise above Moody's original expectations as
a result of a higher number of obligor defaults or deterioration in the
value of the vehicles securing an obligor's promise of payment.
Portfolio losses also depend greatly on the US job market and the market
for used vehicles. Other reasons for worse-than-expected
performance include poor servicing, error on the part of transaction
parties, inadequate transaction governance and fraud. Additionally,
Moody's could downgrade the Class A-1 short-term rating
following a significant slowdown in principal collections that could result
from, among other things, high delinquencies or a servicer
disruption that impacts obligor's payments.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and
sensitivity analysis, see the sections Methodology Assumptions and
Sensitivity to Assumptions in the disclosure form. Moody's
Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.
Moody's took into account one or more third party due diligence
assessment(s) regarding the underlying assets or financial instruments
(the "Due Diligence Assessment(s)") in this credit rating
action and used the Due Diligence Assessment(s) in preparing the ratings.
This had a neutral impact on the ratings.
The Due Diligence Assessment(s) referenced herein were prepared and produced
solely by parties other than Moody's. While Moody's
uses Due Diligence Assessment(s) only to the extent that Moody's
believes them to be reliable for purposes of the intended use, Moody's
does not independently audit or verify the information or procedures used
by third-party due-diligence providers in the preparation
of the Due Diligence Assessment(s) and makes no representation or warranty,
express or implied, as to the accuracy, timeliness,
completeness, merchantability or fitness for any particular purpose
of the Due Diligence Assessment(s).
Further information on the representations and warranties and enforcement
mechanisms available to investors are available on http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1277176.
The analysis includes an assessment of collateral characteristics and
performance to determine the expected collateral loss or a range of expected
collateral losses or cash flows to the rated instruments. As a
second step, Moody's estimates expected collateral losses or cash
flows using a quantitative tool that takes into account credit enhancement,
loss allocation and other structural features, to derive the expected
loss for each rated instrument.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
For ratings issued on a program, series, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or note of the
same series, category/class of debt, security or pursuant
to a program for which the ratings are derived exclusively from existing
ratings in accordance with Moody's rating practices. For ratings
issued on a support provider, this announcement provides certain
regulatory disclosures in relation to the credit rating action on the
support provider and in relation to each particular credit rating action
for securities that derive their credit ratings from the support provider's
credit rating. For provisional ratings, this announcement
provides certain regulatory disclosures in relation to the provisional
rating assigned, and in relation to a definitive rating that may
be assigned subsequent to the final issuance of the debt, in each
case where the transaction structure and terms have not changed prior
to the assignment of the definitive rating in a manner that would have
affected the rating. For further information please see the ratings
tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
The ratings have been disclosed to the rated entity or its designated
agent(s) and issued with no amendment resulting from that disclosure.
These ratings are solicited. Please refer to Moody's Policy
for Designating and Assigning Unsolicited Credit Ratings available on
its website www.moodys.com.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Moody's general principles for assessing environmental, social
and governance (ESG) risks in our credit analysis can be found at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1243406.
At least one ESG consideration was material to the credit rating action(s)
announced and described above.
The Global Scale Credit Rating on this Credit Rating Announcement was
issued by one of Moody's affiliates outside the EU and is endorsed
by Moody's Deutschland GmbH, An der Welle 5, Frankfurt
am Main 60322, Germany, in accordance with Art.4 paragraph
3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies.
Further information on the EU endorsement status and on the Moody's
office that issued the credit rating is available on www.moodys.com.
The Global Scale Credit Rating on this Credit Rating Announcement was
issued by one of Moody's affiliates outside the UK and is endorsed
by Moody's Investors Service Limited, One Canada Square,
Canary Wharf, London E14 5FA under the law applicable to credit
rating agencies in the UK. Further information on the UK endorsement
status and on the Moody's office that issued the credit rating is
available on www.moodys.com.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Aliya Ehmar
Analyst
Structured Finance Group
Moody's Canada Inc.
70 York Street
Suite 1400
Toronto, ON M5J 1S9
Canada
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Daniela Jayesuria
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Releasing Office:
Moody's Canada Inc.
70 York Street
Suite 1400
Toronto, ON M5J 1S9
Canada
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
