Approximately $950 million of asset-backed securities affectedApproximately $950 million of asset-backed securities affected
New York, April 04, 2011 -- Moody's Investors Service has assigned provisional ratings to the
notes to be issued by AmeriCredit Automobile Receivables Trust 2011-2
(AMCAR 2011-2). This is the second senior/subordinated transaction
of the year for AmeriCredit Financial Services, Inc. (AmeriCredit).
The complete rating actions are as follows:
Issuer: AmeriCredit Automobile Receivables Trust 2011-2
Class A-1 Notes, rated (P) Prime-1 (sf);
Class A-2 Notes, rated (P) Aaa (sf);
Class A-3 Notes, rated (P) Aaa (sf);
Class B Notes, rated (P) Aa1 (sf);
Class C Notes, rated (P) Aa3 (sf);
Class D Notes, rated (P) Baa1 (sf);
Class E Notes, rated (P) Ba1 (sf);
RATINGS RATIONALS
Moody's said the ratings are based on the quality of the underlying
auto loans and their expected performance, the strength of the structure,
the availability of excess spread over the life of the transaction,
the experience and expertise of AmeriCredit Financial Services,
Inc. (AmeriCredit) as servicer, and the backup servicing
arrangement with Aa2-rated Wells Fargo Bank, N.A.
The principal methodology used in rating the transaction is "Moody's Approach
to Rating U.S. Auto Loan-Backed Securities,"
published in June 2007.
Moody's median cumulative net loss expectation for the AMCAR 2011-2
pool is 11.75% and total credit enhancement required to
achieve Aaa rating (i.e. Aaa proxy) is 39.0%.
The loss expectation was based on an analysis of AmeriCredit's portfolio
vintage performance as well as performance of past securitizations,
and current expectations for future economic conditions.
The Assumption Volatility Score for this transaction is Low/Medium versus
a Medium for the sector. This is driven by the a Low/Medium assessment
for Governance due to the strong back-up servicing arrangement
present in this transaction in addition to the size and strength of AmeriCredit's
servicing platform.
Moody's V Scores provide a relative assessment of the quality of available
credit information and the potential variability around the various inputs
to a rating determination. The V Score ranks transactions by the
potential for significant rating changes owing to uncertainty around the
assumptions due to data quality, historical performance, the
level of disclosure, transaction complexity, the modeling
and the transaction governance that underlie the ratings. V Scores
apply to the entire transaction (rather than individual tranches).
Moody's Parameter Sensitivities: If the net loss used in determining
the initial rating were changed to 20%, 25% or 35.0%,
the initial model output for the Class A notes might change from Aaa to
Aa1, Aa2, and A2, respectively; Class B notes might
change from Aa1 to A3, Baa3, and below B3, respectively;
Class C notes might change from Aa3 to Ba1, B3, and below
B3, respectively; Class D notes might change from Baa1 to below
B3 in all three scenarios; and Class E notes might change from Ba1
to below B3 in all three scenarios.
Parameter Sensitivities are not intended to measure how the rating of
the security might migrate over time, rather they are designed to
provide a quantitative calculation of how the initial rating might change
if key input parameters used in the initial rating process differed.
The analysis assumes that the deal has not aged. Parameter Sensitivities
only reflect the ratings impact of each scenario from a quantitative/model-indicated
standpoint. Qualitative factors are also taken into consideration
in the ratings process, so the actual ratings that would be assigned
in each case could vary from the information presented in the Parameter
Sensitivity analysis.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or financial
instruments in this transaction.
Additional research including a pre-sale report for this transaction
is available at www.moodys.com. The special reports,
"Updated Report on V Scores and Parameter Sensitivities for Structured
Finance Securities" and "V Scores and Parameter Sensitivities in the U.S.
Vehicle ABS Sector" are also available on moodys.com.
REGULATORY DISCLOSURE
Information sources used to prepare the credit rating is/are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, and confidential and proprietary Moody's
Investors Service's information.
Moody's Investors Service considers the quality of information available
on the issuer satisfactory for the purposes of assigning a credit rating.
However, the credit rating action was based on limited historical
data.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
New York
Mack Caldwell
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Yan Yan
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's assigns provisional ratings to AmeriCredit Automobile Receivables Trust 2011-2 Notes