Presale:
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AmeriCredit Automobile Receivables
Trust 2016-4
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$1.0 Billion Automobile Receivables-Backed Notes Series
2016-4
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!- +!
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This presale report is based on information as of Sept. 28, 2016. The ratings shown are preliminary. This
report does not constitute a recommendation to buy, hold, or sell securities. Subsequent information may
result in the assignment of final ratings that differ from the preliminary ratings.
.+ / '0 123 45
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Preliminary Ratings As Of Sept. 28, 2016
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Upsized
Preliminary preliminary Legal
amount
amount final
(mil. $) (mil. $)(iii) maturity
Upsized
Legal
final
maturity
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Preliminary
Class rating(i)
Type
Interest rate(ii)
4' ( )!,
A-1
A-1+ (sf)
Senior
Fixed
164.00
196.00 Oct. 10,
2017
Oct. 10,
2017
A-2
AAA (sf)
Senior
Fixed/floating(iv)
363.00
430.00 April 8,
2020
April 8,
2020
A-3
AAA (sf)
Senior
Fixed
199.88
246.25 June 8,
2021
July 8,
2021
B
AA+ (sf)
Subordinate Fixed
78.89
94.67 Nov. 8,
2021
Dec. 8,
2021
C
A+ (sf)
Subordinate Fixed
97.93
117.52 June 8,
2022
July 8,
2022
D
BBB+ (sf)
Subordinate Fixed
96.30
115.56 Nov. 8,
2022
Dec. 8,
2022
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!! !&
Primary Credit Analyst:
Timothy J Moran, CFA, FRM, New York (1) 212-438-2440; [email protected]
Secondary Contact:
Ines A Beato, New York (1) 212-438-9372; [email protected]
See complete contact list on last page(s)
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Preliminary Ratings As Of Sept. 28, 2016 (cont.)
Preliminary
Class rating(i)
Type
E(v)
NR
Interest rate(ii)
Upsized
Preliminary preliminary Legal
amount
amount final
(mil. $) (mil. $)(iii) maturity
Subordinate Fixed
25.59
30.70 July 8,
2024
Upsized
Legal
final
maturity
July 8,
2024
(i)The rating on each class of securities is preliminary and subject to change at any time. (ii)The tranches'
coupons will be determined on the pricing date. (iii)The anticipated bond sizes if the aggregate initial principal
balance of the notes is $1.2 billion. (iv)The class A-2 notes will be split into a fixed-rate class A-2-A and a
floating-rate class A-2-B. The sizes of classes A-2-A and A-2-B will be determined at pricing. The class A-2-B
coupon will be expressed as a spread tied to one-month LIBOR. (v)Class E will be unrated and retained by the
depositor. NR--Not rated.
Profile
Expected closing date
Oct. 13, 2016.
Collateral
Subprime auto loan receivables.
Sponsor and servicer
AmeriCredit Financial Services Inc., a subsidiary of General Motors Financial Co. Inc.
(BBB-/Positive/--).
Depositor
AFS SenSub Corp.
Issuer
AmeriCredit Automobile Receivables Trust 2016-4.
Indenture trustee and trust collateral agent
The Bank of New York Mellon (AA-/Stable/A-1+).
Owner trustee
Wilmington Trust Co. (A/Negative/A-1).
Structuring agent and lead underwriter
JPMorgan Securities LLC (A+/Stable/A-1).
Credit Enhancement Summary (%)
AMCAR 2016-4
AMCAR 2016-3
Initial(i)
Target(ii)
Floor(i)
Initial(i)
Target(ii)
Floor(i)
Overcollateralization
5.75
14.75(iii)
0.50
5.75
14.75(iii)
0.50
Reserve account
2.00
2.00(i)
2.00
2.00
2.00(i)
2.00
Subordination
27.45
N/A
N/A
27.45
N/A
N/A
Total
35.20
14.75
2.50
35.20
14.75
2.50
5.75
14.75(iii)
0.50
5.75
14.75(iii)
0.50
Class A
Class B
Overcollateralization
Reserve account
2.00
2.00(i)
2.00
2.00
2.00(i)
2.00
Subordination
20.20
N/A
N/A
20.20
N/A
N/A
Total
27.95
14.75
2.50
27.95
14.75
2.50
Overcollateralization
5.75
14.75(iii)
0.50
5.75
14.75(iii)
0.50
Reserve account
2.00
2.00(i)
2.00
2.00
2.00(i)
2.00
Class C
Subordination
11.20
N/A
N/A
11.20
N/A
N/A
Total
18.95
14.75
2.50
18.95
14.75
2.50
Overcollateralization
5.75
14.75(iii)
0.50
5.75
14.75(iii)
0.50
Reserve account
2.00
2.00(i)
2.00
2.00
2.00(i)
2.00
Class D
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Credit Enhancement Summary (%) (cont.)
Subordination
2.35
N/A
N/A
2.35
N/A
N/A
10.10
14.75
2.50
10.10
14.75
2.50
Overcollateralization
5.75
14.75(iii)
0.50
5.75
14.75(iii)
0.50
Reserve account
2.00
2.00(i)
2.00
2.00
2.00(i)
2.00
Subordination
N/A
N/A
N/A
N/A
N/A
N/A
Total
7.75
14.75
2.50
7.75
14.75
2.50
7.97
N/A
N/A
7.39
N/A
N/A
Total
Class E
Estimated annual excess spread(iv)
(i)Percentage of the initial receivables balance. (ii)Percentage of the current receivables balance. (iii)The overcollateralization target is a
percentage of the current receivables balance minus the amount in the reserve account. (iv)Includes the 2.25% annual servicing fee.
AMCAR--AmeriCredit Automobile Receivables Trust. N/A--Not applicable.
Rationale
The preliminary ratings assigned to AmeriCredit Automobile Receivables Trust 2016-4's (AMCAR 2016-4's) auto
receivables-backed series 2016-4 notes reflect:
• The availability of approximately 41.2%, 35.7%, 28.6%, and 22.0% credit support for the class A-1, A-2, and A-3
(collectively, class A), B, C, and D notes, respectively (based on stressed cash flow scenarios, including excess
spread). This provides coverage of more than 3.50x, 3.25x, 2.55x, and 1.93x our 10.00%-10.50% expected
cumulative net loss range for the class A, B, C, and D notes, respectively. These credit support levels are
commensurate with the assigned preliminary 'A-1+ (sf)' and 'AAA (sf)', 'AA+ (sf)', 'A+ (sf)', and 'BBB+ (sf)' ratings on
the class A, B, C, and D notes, respectively (for more information, see the Expected Loss and Cash Flow Modeling
sections).
• Our expectation that under a moderate (or 'BBB') stress scenario our ratings on the notes will not decline by more
than one rating category from our preliminary ratings (all else being equal) over a 12-month period. Our ratings
stability criteria describe the outer bound of credit deterioration within one year as one rating category for 'AAA'
and 'AA' rated securities and two rating categories for 'A', 'BBB', and 'BB' rated securities (see "Methodology: Credit
Stability Criteria," published May 3, 2010).
• The credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread
(for more information, see the Credit Enhancement Summary table above).
• The timely interest and ultimate principal payments made under the stressed cash flow modeling scenarios, which
are consistent with the assigned preliminary ratings.
• The collateral characteristics of the securitized pool of subprime auto loans.
• General Motors Financial Co. Inc.'s (GM Financial's, formerly known as AmeriCredit Corp.; 'BBB-/Positive/--')
extensive securitization performance history since 1994.
• The transaction's payment and legal structures.
Transaction Overview
The AMCAR 2016-4 issuance will be AmeriCredit Financial Services Inc.'s (AmeriCredit's, or the sponsor and
originator's) fourth subprime auto loan securitization in 2016 and its 94th since 1994. The series 2016-4 transaction is
structured as a true sale of the receivables to AFS SenSub Corp. (AFS) from AmeriCredit. Through this true sale, AFS
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will sell the acquired assets to the trust, a bankruptcy-remote special-purpose entity, which will then pledge its interest
in the receivables to the indenture trustee on the noteholders' behalf (see chart 1).
We expect the principal and interest payments on the AMCAR 2016-4 notes to begin on Nov. 8, 2016, with subsequent
payments on the eighth day or the next succeeding business day of each month as long as AmeriCredit is the servicer.
The class A, B, C, and D notes, which will total $1.0 billion unless upsized to $1.2 billion, will receive principal
sequentially and will be paid a fixed interest rate, except for the class A-2-B notes, which will receive a fixed spread
tied to one-month LIBOR, as described in the Transaction Structure section below. The class E notes will not be
offered or rated and are expected to bear a zero coupon.
In rating this transaction, we will review the relevant legal matters and opinions outlined in our criteria.
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Changes From The AMCAR 2016-3 Transaction
The credit enhancement structure is unchanged from the series 2016-3 transaction.
We consider the collateral changes to be (figures in parentheses refer to the upsized pool if the two pools differ):
• The series 2016-4 pool contains approximately 3.32% (3.52%) of collateral with 73- to 75-month original terms
compared with 3.21% in the series 2016-3 pool. AmeriCredit began originating collateral with these longer terms
earlier in 2015, and this will be the fourth time that it has securitized such collateral.
• The percentage of 61-72 month terms collateral decreased to 89.1% (88.9%) from 90.3%.
• The average current loan balance decreased to $20,925 ($20,976) from $21,864.
• The percentage of new collateral increased to approximately 58.5% (58.1%) from 56.8%.
• The weighted average annual percentage rate increased to 12.2% (12.3%) from 11.8%.
• The weighted average seasoning decreased to approximately 4.6 months (4.3 months) from 4.9 months.
• The percentage of loans within AmeriCredit's highest score bucket (those loans with a score higher than 244)
increased to approximately 47.6% (47.7%) from 47.0%. In addition, the percentage of loans within the lowest score
bucket (those with a score lower than 215) decreased to 9.5% (9.5%) from 11.1%.
Transaction Structure
The AMCAR 2016-4 transaction incorporates the following structural features:
• A sequential payment structure in which the subordinate classes will provide nonamortizing credit enhancement to
the senior classes.
• Notes that pay a fixed interest rate except for the class A-2-B notes, which pay a floating interest rate tied to
one-month LIBOR. The exact amounts of the class A-2-A and A-2-B notes will be determined at pricing.
• An initial 5.75% overcollateralization amount that will build to a target of 14.75% of the current pool balance, minus
the 2.00% reserve account amount, through applied excess spread.
• A reserve account that will be funded with an initial deposit of 2.00% of the initial pool balance. The reserve account
will be nondeclining throughout the transaction's term.
Payment Structure
Distributions will be made from the available funds according to a specific priority (see table 1).
Table 1
Payment Waterfall
Priority
Payment
1
To the servicer, the 2.25% servicing fee, any supplemental servicing fees, any reimbursements for mistaken deposits, and other
related amounts. To AmeriCredit, amounts paid to the collection account that are not related to the interest, principal, or
extension fees due on the auto loan contracts.
2
To the trustee, owner trustee, trust collateral agent, and the asset representations reviewer, any due and unpaid fees and
expenses, in each case subject to a maximum specified annual limit.
3
Interest on the class A notes, which will be paid pari passu to the class A-1, A-2, and A-3 noteholders.
4
Principal to the extent necessary to reduce the class A notes' principal balance to the pool balance.
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Table 1
Payment Waterfall (cont.)
Priority
Payment
5
The remaining principal balance of any outstanding class A notes on their respective final scheduled distribution dates.
6
Interest on the class B notes.
7
Principal to the extent necessary to reduce the combined class A and B notes' principal balance to the pool balance.
8
The remaining principal balance of any outstanding class B notes on their final scheduled distribution dates.
9
Interest on the class C notes.
10
Principal to the extent necessary to reduce the combined class A, B, and C notes' principal balance to the pool balance.
11
The remaining principal balance of any outstanding class C notes on their final scheduled distribution dates.
12
Interest on the class D notes.
13
Principal to the extent necessary to reduce the combined class A, B, C, and D notes' principal balance to the pool balance.
14
The remaining principal balance of any outstanding class D notes on their final scheduled distribution dates.
15
Interest on the class E notes.
16
Principal to the extent necessary to reduce the combined class A, B, C, D, and E notes' principal balance to the pool balance.
17
The remaining principal balance of any class E notes on their final scheduled distribution dates.
18
To the noteholders, the principal distributable amount.
19
To the reserve account, the amount necessary to reach the required level.
20
Principal to achieve the specified overcollateralization amount.
21
To the indenture trustee, owner trustee, trust collateral agent, and asset representations reviewer, any fees and expenses due that
exceed the related cap on each.
22
All remaining amounts to the certificateholder.
AmeriCredit--AmeriCredit Financial Services Inc.
Servicing Portfolio
As of June 30, 2016, AmeriCredit's consumer finance receivable portfolio in North America was approximately $19.4
billion, up approximately 25% from $15.5 billion as of June 30, 2015.
Net credit losses for North America as a percentage of the average month-end balance outstanding were flat for the six
months ended June 30, 2016, at 2.4% compared with the same period in 2015 (see table 2). Total delinquencies and
repossessions decreased to 7.0% of the outstanding loan balance as of June 30, 2016, from 8.3% a year earlier.
Delinquencies and repossessions peaked at approximately 10.3% in 2013, while net losses peaked at 3.1% in 2014.
Recovery rates are expected to decline gradually over the course of the next few years, which, all else being equal,
could contribute to a higher loss severity. This could be offset though by better portfolio credit quality because of
higher-quality originations including more new and GM vehicles.
Table 2
Servicing Portfolio
Six months ended June 30
Year ended Dec. 31
2016
2015
2015
2014
2013
2012
2011
19.428
15.524
18.164
13.409
11.493
10.993
9.680
Delinquency experience
Consumer finance receivables at the end of the
period (bil. $)(i)
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Table 2
Servicing Portfolio (cont.)
Six months ended June 30
Year ended Dec. 31
2016
2015
2015
2014
2013
2012
2011
7.0
8.3
8.7
10.1
10.3
8.5
7.5
18.850
14.396
15.688
12.205
11.335
10.421
9.112
2.4
2.5
2.6
3.1
2.7
2.5
3.2
Total delinquencies and repossessed assets as a
% of the portfolio(ii)
Loan loss experience
Avg. month-end amount outstanding during the
period (bil. $)
Net credit losses as a % of the avg. month-end
amount outstanding(iii)(iv)
(i)All amounts and percentages are based on the contractual amounts due. (ii)AmeriCredit considers an automobile loan contract delinquent
when an obligor fails to make a contractual payment by the due date. (iii)Net credit losses equal gross credit losses minus recoveries. Gross credit
losses do not include unearned finance charges and other fees. Recoveries include repossession proceeds received from the sale of repossessed
financed vehicles net of repossession expenses, refunds of unearned premiums from credit life, and credit accident and health insurance and
extended service contract costs obtained and financed in connection with the vehicle financing and recoveries from obligors on deficiency
balances. (iv)Results for the six months ended June 30, 2016, and June 30, 2015, are annualized.
Pool Analysis
As of the Sept. 6, 2016, statistical cutoff date, the series 2016-4 collateral pool contained approximately $1.1 billion
($1.3 billion if upsized) of auto loans. Approximately 95% of the pool is newly originated loans, and 5% is highly
seasoned loans originated predominantly from 2011 and 2012 and sourced from recently called securitizations. The
pool has a combined weighted average proprietary internal credit score of 245 and a weighted average loan-to-value
(LTV) ratio of approximately 108% (see table 3).
Table 3
Collateral Comparison
AMCAR
2016-4
($1.1 bil.
pool)
2016-4
($1.3 bil.
upsized
pool)
2016-3
2016-2
2016-1
2015-4
2015-3
2015-2
2015-1(i)
1,088.16
1,305.79
1,414.58
1,305.76
1,298.70
1,058.50
1,270.00
1,272.00
1,164.02
No. of receivables
52,002
62,251
64,698
67,600
63,019
54,604
68,518
63,313
51,484
Avg. loan balance
($)
20,925
20,976
21,864
19,316
20,608
19,385
18,535
20,091
22,609
Weighted avg. APR
(%)
12.17
12.25
11.80
12.08
12.15
12.62
12.66
12.67
12.63
Weighted avg.
original term (mos.)
71
71
71
71
71
71
71
71
71
Weighted avg.
remaining term
(mos.)
66
67
66
63
66
65
64
66
69
Weighted avg.
seasoning (mos.)
5
4
5
8
5
6
7
5
2
245
245
245
244
246
244
244
246
245
Receivables balance
(mil. $)
AmeriCredit's
weighted avg.
proprietary internal
credit score
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Table 3
Collateral Comparison (cont.)
AMCAR
2016-4
($1.1 bil.
pool)
2016-4
($1.3 bil.
upsized
pool)
2016-3
2016-2
2016-1
2015-4
2015-3
2015-2
2015-1(i)
AmeriCredit's
weighted avg.
proprietary internal
credit score of 245
and higher (%)
47.63
47.69
46.99
46.46
49.27
46.14
47.79
49.38
48.31
AmeriCredit's
weighted avg.
proprietary internal
credit score of less
than 215 (%)
9.49
9.46
11.06
10.84
9.23
10.56
9.35
9.07
9.60
Weighted avg. FICO
score
576
576
577
573
576
567
571
573
572
Original term 61-72
mos. (%)
89.09
88.90
90.26
90.51
90.56
92.85
92.15
91.07
89.90
Original term 73-75
mos. (%)
3.32
3.52
3.21
2.75
2.81
N/A
N/A
N/A
N/A
% of new vehicles
58.46
58.10
56.79
53.65
55.92
51.16
47.59
47.68
48.16
% of used vehicles
41.54
41.90
43.21
46.35
44.08
48.84
52.41
52.32
51.84
Weighted avg. LTV
(%)(ii)
108
108
108
109
110
111
110
110
111
53.48
53.10
57.42
55.54
52.54
47.34
48.20
47.84
47.03
Car
49.28
49.37
48.82
49.33
49.43
52.82
50.31
46.66
47.47
SUV
30.48
30.56
28.28
28.57
28.95
28.36
29.30
29.57
29.09
Van/truck
20.24
20.06
22.71
22.09
21.60
18.80
20.36
22.18
22.20
Unavailable
0.01
0.01
0.19
0.01
0.02
0.02
0.03
1.59
1.25
TX=18.90
TX=18.77
TX=19.72
TX=19.33
TX=19.25
TX=17.80
TX=17.83
TX=19.24
TX=19.01
CA=7.82
CA=7.80
FL=7.27
FL=7.45
FL=7.34
FL=7.15
FL=7.24
CA=7.00
FL=6.80
FL=7.14
FL=7.12
CA=6.99
CA=6.73
CA=6.57
CA=6.61
CA=6.39
FL=6.71
CA=6.73
% of GM vehicles
Vehicle type breakout (%)
Top three state concentrations (%)(iii)
(i)S&P Global Ratings did not rate this transaction. (ii)AmeriCredit calculates the weighted average wholesale LTV ratio using the total financed
amount, which may include taxes, title fees, and ancillary products, divided by the financed vehicle's wholesale auction value when the vehicle is
financed. (iii)As a percentage of the principal balance. AMCAR--AmeriCredit Automobile Receivables Trust. AmeriCredit--AmeriCredit Financial
Services Inc. APR--Annual percentage rate. LTV--Loan-to-value. N/A--Not applicable.
In addition, the series 2016-4 transaction will be AmeriCredit's fourth securitized pool to include contracts with an
original term of 73-75 months. These contracts, however, make up only approximately 3.3% (3.5% if upsized) of the
total pool, and the weighted average FICO score for this subset is higher than for the pool as a whole. In addition, the
73- to 75-month loans in the series 2016-4 pool already have approximately one to two months of seasoning. The pool
also has among the highest weighted average FICO score and lowest weighted average LTV ratio compared with
AmeriCredit's overall securitized pools.
AmeriCredit uses its proprietary internal credit scoring model to score applications based on credit bureau attributes
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and loan structure.
Securitization Performance
AmeriCredit's securitization net losses reached their lowest levels in 2010 with losses on its 2010 securitizations
ranging from 5.4% to 7.1% and averaging approximately 5.8%. Losses increased in 2011, peaking to date with the 2012
securitizations. We believe the 2013 and 2014 pools will trend in line with the 2012 pools. Although somewhat early,
the 2015 pools appear to be trending higher. This is expected because credit underwriting has normalized in the past
two to three years and recovery rates have gradually declined as expected (see charts 2, 3, and 4). It is too early to see
performance trends on the 2016 securitizations, though these transactions, unlike their predecessors, contain a small
percentage of loans with a maximum loan term of 73-75 months. This is one to three months longer than the previous
maximum term of 72 months, though the seasoning as a whole on the first three 2016 securitizations has averaged
approximately six months.
Chart 2
Chart 3
The 2012 and 2013 vintages, which have the highest average losses, have the lowest average FICO and internal credit
scores (see table 4).
Table 4
Securitization Loss Summary
2010
Avg. pool factor (%)
Avg. seasoning (months)
2011 2012 2013 2014 2015 2016(i)
Paid off Paid off
14
24
48
69
95
6
5
7
4
3
5
6
Avg. FICO
583
574
569
564
568
571
576
Avg. internal score
246
243
240
240
242
245
245
Avg. LTV (%)
111
109
110
110
110
110
109
Avg. new (%)
33
43
46
46
47
49
56
Avg. 61- to 72-mo. loans (%)
75
84
88
91
90
91
90
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Table 4
Securitization Loss Summary (cont.)
2010
Avg. 73- to 75-mo. loans (%)
2011 2012 2013 2014 2015 2016(i)
N/A
N/A
N/A
N/A
N/A
N/A
3
Mo. 6 avg.
0.60
0.57
0.63
0.60
0.64
0.74
N/A
Mo. 12 avg.
1.61
1.63
1.98
1.84
1.89
Mo. 18 avg.
2.60
2.78
3.36
3.23
3.31
Mo. 24 avg.
3.45
3.83
4.61
4.39
Mo. 30 avg.
4.19
4.74
5.61
5.35
Mo. 36 avg.
4.79
5.42
6.42
6.18
Mo. 42 avg.
5.26
5.96
6.99
Mo. 48 avg.
5.58
6.33
Avg. net losses (%):
(i)Includes the 2016-4 statistical pool. LTV--Loan-to-value. N/A--Not applicable.
Recoveries for AmeriCredit's 2012-2016 transactions remain relatively strong (see chart 4). We attribute this to those
pools' lower LTVs compared with those of earlier pools, together with still-strong used vehicle values. However, we
expect recoveries to soften over the next two to three years as an increasing number of vehicles come off lease. The
slightly longer loan terms that the company is underwriting could also result in lower recoveries going forward, though
they remain a small portion of the pool to be securitized.
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Chart 4
S&P Global Ratings' Expected Loss: 10.00%-10.50%
To derive the base-case loss for the AMCAR 2016-4 transaction, we analyzed static pool cumulative net loss,
cumulative gross loss, and cumulative recovery performance for AmeriCredit's 2000-2012 paid-off securitized pools
and the loss projections on the 2012-3 through 2015-2 outstanding securitized pools. We examined more recent
performance trends and reviewed the cumulative loss performance and loss projections for monthly origination
vintage static pools. In our analysis, we also compared the AMCAR 2016-4 pool's credit quality with that of the
previous pools and considered the seasoned collateral's effect on our loss projection.
The static pool analysis indicated that the 2010 originations experienced the lowest losses. Losses increased in 2011,
peaking to date with the 2012 originations. We believe the 2013 and 2014 originations will trend in line with those of
2012. Although somewhat early, it appears that the 2015 originations are trending lower.
In our view, the collateral composition of the loans in the AMCAR 2016-4 pool is generally similar to, or better than,
those of prior pools.
In addition, the series 2016-4 transaction will be AmeriCredit's fourth securitization of contracts with an original term
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of 73-75 months. These contracts, however, make up approximately 3.3% of the total pool. Their weighted average
FICO score is much higher than the 577 for the pool as a whole. Because AmeriCredit did not begin originating these
loans until mid-2015, no meaningful performance data are available. Still, these loans' terms are only one to three
months longer than AmeriCredit's 72-month loans. In addition, the 73- to 75-month loans in the series 2016-4 pool
already have approximately one to two months of seasoning, as well as among the highest weighted average FICO
score and the lowest weighted average LTV ratio when compared with AmeriCredit's overall securitization pools.
Therefore, we expect the performance of the 73- to 75-month term loans to be at least in line with that of the 72-month
term loans.
At the same time, we expect recovery values to decline slightly this year. As a result, we believe this pool may
experience higher cumulative net losses than those of prior vintages, but we also considered the better-than-expected
performance on the company's outstanding securitizations. We also accounted for the addition of highly seasoned
collateral, which was originated in 2011 and 2012. As a result, we believe its remaining losses should generally be
lower than those of nonseasoned collateral.
We expect the AMCAR 2016-4 transaction to experience cumulative net losses of 10.00%-10.50%, based on our
review of the securitization data, the monthly origination static pool data, the pool characteristics, the seasoned loans,
and our forward-looking view of the auto sector and macroeconomy.
AMCAR Performance: Surveillance Update
We currently maintain ratings on 15 AmeriCredit transactions that were issued between 2012 and 2016. The
transactions issued in 2012 through 2014 continue to perform better than we had previously expected because of
strong economic conditions and high recovery rates, and we expect this trend to continue. We recently revised our
loss expectations for each series issued up to and including the series 2014-1. The remaining 2014 and early 2015
transactions appear to be performing better than our initial expectations, while, with less than 12 months of data, it
appears to be too early to predict the performance of the remaining 2015 and early 2016 transactions, and we
maintained our loss expectation on these series pending further collateral performance.
Table 5
Collateral Performance(i)
Series
Month
Pool factor
(%)
60+ days delinq.
(%)(ii)
Current CNL
(%)
Initial lifetime CNL
expected (%)
Revised expected lifetime CNL
(%)(revised July 29, 2015)
2012-3
51
11.42
4.06
7.62
11.00-11.50
7.85-8.15
2012-4
48
15.02
3.63
7.74
11.75-12.25
8.10-8.40
2012-5
46
14.64
3.38
6.84
11.25-11.75
7.50-7.80
2013-1
44
18.16
3.32
6.75
10.75-11.25
7.80-8.20
2013-2
41
20.06
3.31
6.53
10.25-10.75
7.80-8.20
2013-4
37
25.93
3.23
6.32
10.25-10.75
8.00-8.50
2014-1
30
37.39
3.20
5.62
10.75-11.25
8.25-8.75
2014-3
24
46.41
2.92
4.74
10.50-11.00
N/A
2014-4
22
49.95
2.96
4.20
10.25-10.75
N/A
2015-2
17
59.36
2.70
3.32
10.25-10.75
N/A
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Table 5
Collateral Performance(i) (cont.)
Series
Month
Pool factor
(%)
60+ days delinq.
(%)(ii)
Current CNL
(%)
Initial lifetime CNL
expected (%)
Revised expected lifetime CNL
(%)(revised July 29, 2015)
2015-3
13
67.29
2.84
2.47
9.75-10.25
N/A
2015-4
10
76.24
2.24
1.81
10.00-10.50
N/A
2016-1
8
82.10
1.87
1.06
10.10-10.60
N/A
2016-2
5
88.62
1.94
0.62
9.75-10.25
N/A
2016-3
1
98.37
0.04
0.01
10.00-10.50
N/A
(i)As of the September 2016 distribution. (ii)We calculate 60-plus-day delinquencies as a percentage of ending pool balance. CNL--Cumulative net
loss. N/A--Not applicable.
Each transaction has credit enhancement in the form of a spread account, overcollateralization, and excess spread. In
addition, they were all structured with subordination for the more senior classes. The credit support levels have grown
for all outstanding classes as a percentage of the declining collateral balances. In our view, all of the classes have
adequate credit enhancement at their current rating levels. We will continue to monitor each outstanding transaction's
performance and take rating actions as we deem appropriate.
Cash Flow Modeling
We modeled the transaction to simulate the rated stress scenarios appropriate for the assigned preliminary ratings (see
table 6). In our cash flow analysis, we applied appropriate stresses for the class A-2-B unhedged floating-rate note
issuance, up to a $272.25 million maximum ($322.50 if upsized).
Table 6
Cash Flow Assumptions And Results
Class
Preliminary rating
Cumulative net loss timing (mos.)
A
B
C
D
AAA (sf)
AA+ (sf)
A+ (sf)
BBB+ (sf)
12/24/36
12/24/36/48
12/24/36/48/60
12/24/36/48/60
Cumulative net loss (%)
43/77/100
36/65/93/100
32/58/83/97/100
31/56/80/95/100
Cumulative net loss (if upsized) (%)
44/78/100
37/66/94/100
33/59/83/97/100
32/57/81/95/100
ABS voluntary prepayments (%)
1.20
1.20
1.20
1.20
40.00
40.00
40.00
40.00
3
3
3
3
Servicing fee (%)
2.25
2.25
2.25
2.25
Approximate break-even levels giving 100% credit to spread
(%)(i)
41.2
35.7
28.6
22.0
Approximate upsized issuance break-even levels giving
100% credit to spread (%)(i)
41.3
35.9
28.8
22.2
Recoveries (%)
Recovery lag (mos.)
(i)The maximum cumulative net losses on the pool that the transaction can withstand without triggering a payment default on the relevant note
classes. ABS--Absolute prepayment speed.
The break-even results show that the class A, B, C, and D notes are sufficiently credit-enhanced to withstand stressed
net loss levels that are consistent with the assigned preliminary ratings.
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Modeling The Class A-2-B Floating-Rate Notes
Class A-2 will be split into two classes: class A-2-A (fixed rate), which is anticipated as having a minimum issuance
value of approximately $90.75 million ($107.50 million if upsized), and A-2-B (floating rate). This introduces interest
rate risk into the transaction because the assets are fixed-rate contracts, while the class A-2-B notes are unhedged
floating-rate notes. Our approach in this scenario was to model the coupon on the floating-rate notes using the
appropriate high-path interest rate vector to simulate a stressed floating-rate scenario (see "U.S. Interest Rate
Assumptions Revised For May 2012 And Thereafter," published April 30, 2012). The class A-2-B notes' coupon is
modeled using a spread tied to a 'AAA' high-path one-month LIBOR curve. Under this approach, the one-month
LIBOR curve reaches a 7.12% peak in month 37.
Sensitivity Analysis
In addition to running break-even cash flows, we ran a sensitivity analysis to see how higher-than-expected losses
could affect our ratings on the notes (see table 7 and charts 5 and 6).
Table 7
Scenario Analysis Summary
Stress multiple (x)
1.75
Loss level (%)
17.94
Loss timing (month 12/24/36/48/60) (%)
32/57/81/95/100
Loss timing if upsized (month 12/24/36/48/60) (%) 32/57/81/95/100
Voluntary ABS (%)
1.0
Recoveries (%)
40.0
Recovery lag (mos.)
3
Servicing fee (%)
2.25
Credit enhancement
'AAA (sf)' rated notes
2.66x at month one, reaches 3.48x in month 12 and continues to grow thereafter
'AA+ (sf)' rated notes
2.26x at month one, reaches 2.89x in month 12 and continues to grow thereafter
'A+ (sf)' rated notes
1.75x at month one, reaches 2.15x in month 12 and continues to grow thereafter
'BBB+ (sf)' rated notes
1.26x at month one, reaches 1.43x in month 12 and gradually increases thereafter
Credit enhancement if upsized
'AAA (sf)' rated notes
2.68x at month one, reaches 3.50x in month 12 and continues to grow thereafter
'AA+ (sf)' rated notes
2.27x at month one, reaches 2.91x in month 12 and continues to grow thereafter
'A+ (sf)' rated notes
1.77x at month one, reaches 2.18x in month 12 and continues to grow thereafter
'BBB+ (sf)' rated notes
1.28x at month one, reaches 1.46x in month 12 and gradually increases thereafter
ABS--Absolute prepayment speed.
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Chart 5
Chart 6
Scenario analysis: 17.94% cumulative net loss results
Our sensitivity analysis allows us to simulate a moderate (or 'BBB') loss scenario to determine the degree to which the
ratings are susceptible to a negative rating action (see table 6). Under the 17.94% stressed loss scenario, which is
approximately 1.75x our expected loss level, the transaction reaches the 14.75% enhancement target in month 17 and
remains at that level through month 35. Thereafter it dips before returning to the target again in months 37 to 40, after
which it begins to decrease. The overcollateralization floor is breached in month 41, and overcollateralization is
exhausted by month 44. The rated bonds are fully paid by month 61, while the unrated class E bonds are fully paid by
month 69. Excess cash flow is released between months 17 and 35, months 37-40, and again in months 69-70 after all
of the bonds are paid off. The reserve account is drawn upon in months 44 through 60 and in months 66-67. Having
dropped below its target level in month 44, it is never fully replenished. The amount remaining in the account is
released in months 67-70.
Interest is paid on a timely basis for all classes, and the class A-1, A-2, A-3, B, C, and D notes are paid full principal in
months 6, 19, 31, 37, 46, and 61, respectively.
Our rating stability criteria describe the outer bounds of credit deterioration over a one-year period as one rating
category in the case of 'AAA' and 'AA' rated securities and two rating categories in the case of securities rated 'A' and
lower. Given these results, all else being equal, we expect our ratings on the class A, B, C, and D notes to remain
within one rating category of our preliminary 'A-1+ (sf)' and 'AAA (sf)', 'AA+ (sf)', 'A+ (sf)', and 'BBB+ (sf)' ratings,
respectively. (For more information, see "Methodology: Credit Stability Criteria," published May 3, 2010.)
Money Market Tranche Sizing
The proposed money market tranche (class A-1) has a 12-month legal final maturity date (Oct. 10, 2017). To test
whether the money market tranche can be repaid by month 11, we ran cash flows using assumptions to delay the
principal collections during the 11-month period. In addition to zero defaults, we assumed a 0.25% absolute
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prepayment speed for our cash flow run, and we checked that approximately 11 months of principal collections would
be sufficient to pay off the money market tranche.
Legal Final Maturity
To test the legal final maturity dates set for classes A through D, we determined when the respective notes would be
fully amortized in a zero-loss, zero-prepayment scenario and then added four months to the result. To test the legal
final maturity date for the class E notes, we determined the latest maturing loan's distribution date and then added six
months to accommodate extensions. Furthermore, in the break-even scenario for each respective rating level, we
confirmed that there was sufficient credit enhancement to both cover losses and repay the related notes in full by the
legal final maturity date. The notes were all paid off by their legal final maturity dates using these modeling
assumptions.
AmeriCredit
The sponsor, which was incorporated in Delaware on July 22, 1992, is the wholly owned primary operating subsidiary
of GM Financial (formerly known as AmeriCredit Corp.), a Texas corporation and a wholly owned subsidiary of
General Motors Holdings LLC, which, in turn, is a wholly owned subsidiary of GM Motors Co. The sponsor originates
and services auto loan contracts and acts as the servicer for all of its transactions. It is a leading auto finance company
that has been operating since September 1992. The sponsor purchases auto loan contracts, generally without recourse,
for new and used vehicles that consumers purchase from franchised and select independent auto dealerships.
The sponsor, under its AmeriCredit-branded platform, offers auto loan financing predominantly to consumers who are
typically unable to obtain financing from traditional sources, such as banks and credit unions. Sales and underwriting
groups are further segregated with separate teams servicing GM-franchised dealerships and non-GM-franchised
dealerships, allowing AmeriCredit to continue service for non-GM dealerships under the "AmeriCredit" brand while
providing GM-franchised dealerships the broader loan, lease, and commercial lending products it offers under the "GM
Financial" brand. It maintains a team of regional sales and credit representatives--with credit centers located in major
markets throughout the U.S. and Canada--and services its loan portfolio using automated loan servicing and collection
systems. The sponsor funds its auto-lending activities through its credit facilities, securitization transactions, and
unsecured debt.
On Oct. 1, 2010, GM acquired AmeriCredit, at which time AmeriCredit's corporate parent was renamed GM Financial.
On April 27, 2016, we revised our outlook on GM Motors Co. and its subsidiary GM Financial (which we deem a core
subsidiary) to positive from stable and affirmed our 'BBB-' ratings on both companies.
Related Criteria And Research
Related Criteria
• Ratings Above The Sovereign - Structured Finance: Methodology And Assumptions, Aug. 8, 2016
• Methodology: Criteria For Global Structured Finance Transactions Subject To A Change In Payment Priorities Or
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Sale Of Collateral Upon A Nonmonetary EOD, March 2, 2015
Criteria Methodology Applied To Fees, Expenses, And Indemnifications, July 12, 2012
Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012
U.S. Interest Rate Assumptions Revised For May 2012 And Thereafter, April 30, 2012
General Methodology And Assumptions For Rating U.S. Auto Loan Securitizations, Jan. 11, 2011
Standard & Poor's Revises Criteria Methodology For Servicer Risk Assessment, May 28, 2009
Legal Criteria For U.S. Structured Finance Transactions: Securitizations By Code Transferors, Oct. 1, 2006
Legal Criteria: Legal Criteria For U.S. Structured Finance Transactions: Special-Purpose Entities, Oct. 1, 2006
Legal Criteria: Legal Criteria For U.S. Structured Finance Transactions: Select Issues Criteria, Oct. 1, 2006
Legal Criteria: Legal Criteria For U.S. Structured Finance Transactions: Criteria Related To Asset-Backed Securities,
Oct. 1, 2006
• Legal Criteria: Legal Criteria For U.S. Structured Finance Transactions: Appendix III: Revised UCC Article 9
Criteria, Oct. 1, 2006
•
•
•
•
•
•
•
•
•
Related Research
• General Motors Co. And Subsidiary Outlook Revised To Positive On Improving Profitability, 'BBB-' Ratings
Affirmed, April 27, 2016
• AmeriCredit Automobile Receivables Trust Long-Term Ratings Raised On 35 Classes, Affirmed On 32, July 30,
2015
• Global Structured Finance Scenario And Sensitivity Analysis: Understanding The Effects Of Macroeconomic Factors
On Credit Quality, July 2, 2014
In addition to the criteria specific to this type of security (listed above), the following criteria articles, which are
generally applicable to all ratings, may have affected this rating action: "Post-Default Ratings Methodology: When
Does Standard & Poor's Raise A Rating From 'D' Or 'SD'?," March 23, 2015; "Global Framework For Assessing
Operational Risk In Structured Finance Transactions," Oct. 9, 2014; "Methodology: Timeliness of Payments: Grace
Periods, Guarantees, And Use of 'D' And 'SD' Ratings," Oct. 24, 2013; "Counterparty Risk Framework Methodology
And Assumptions," June 25, 2013; "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," Oct. 1, 2012;
"Methodology: Credit Stability Criteria," May 3, 2010; and "Use of CreditWatch And Outlooks," Sept. 14, 2009.
Analytical Team
Primary Credit Analyst:
Timothy J Moran, CFA, FRM, New York (1) 212-438-2440; [email protected]
Secondary Contact:
Ines A Beato, New York (1) 212-438-9372; [email protected]
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