AmeriCredit Automobile Receivables Trust

Transcription

1 Presale: AmeriCredit Automobile Receivables Trust Primary Credit Analyst: Timothy J Moran, CFA, FRM, New York (1) ; timothy.moran@standardandpoors.com Secondary Contact: Ines A Beato, New York (1) ; ines.beato@standardandpoors.com Table Of Contents $1.0 Billion Automobile Receivables-Backed Notes Series Rationale Transaction Overview Changes From The AMCAR Transaction Transaction Structure Payment Structure Securitization Performance Servicing Portfolio Pool Analysis AMCAR Performance: Surveillance Update Standard & Poor's Expected Loss: 9.75%-10.25% Cash Flow Modeling MARCH 31,

2 Table Of Contents (cont.) Modeling The Class A-2-B Floating-Rate Notes Sensitivity Analysis Money Market Tranche Sizing Legal Final Maturity AmeriCredit Related Criteria And Research MARCH 31,

3 Presale: AmeriCredit Automobile Receivables Trust $1.0 Billion Automobile Receivables-Backed Notes Series This presale report is based on information as of March 31, 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. Preliminary Ratings As Of March 31, 2016 Class Preliminary rating(i) Type Interest rate(ii) Preliminary amount (mil. $) Upsized preliminary amount (mil. $)(iii) Legal final maturity A-1 A-1+ (sf) Senior Fixed April 10, 2017 A-2 AAA (sf) Senior Fixed/floating(iv) Oct. 8, 2019 A-3 AAA (sf) Senior Fixed Nov. 9, 2020 B AA+ (sf) Subordinate Fixed April 8, 2021(v) C A+ (sf) Subordinate Fixed Nov. 8, 2021 D BBB (sf) Subordinate Fixed May 9, 2022 E(vi) NR Subordinate Fixed Jan. 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 proncipal 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)the preliminary upsized class B legal final maturity date is May 10, (vi)class E will be unrated and retained by the depositor. NR--Not rated. Profile Expected closing date April 14, Collateral Sponsor and servicer Depositor Subprime auto loan receivables. AmeriCredit Financial Services Inc., a subsidiary of General Motors Financial Co. Inc. (BBB-/Stable/--). AFS SenSub Corp. Issuer AmeriCredit Automobile Receivables Trust Indenture trustee and trust collateral agent Owner trustee Underwriters Citibank N.A. (A/Watch Pos/A-1). Wilmington Trust Co. (A/Negative/A-1). RBC Capital Markets LLC, Barclays Capital Inc., Goldman, Sachs & Co., Citigroup Global Markets Inc., Deutsche Bank Securities Inc., J.P. Morgan Securities LLC, RBS Securities Inc., and Wells Fargo Securities LLC. Credit Enhancement Summary (%) AMCAR AMCAR Initial(i) Target(ii) Floor(i) Initial(i) Target(ii) Floor(i) Class A Overcollateralization (iii) (iii) 0.50 Reserve account (i) (i) MARCH 31,

4 Credit Enhancement Summary (%) (cont.) AMCAR AMCAR Initial(i) Target(ii) Floor(i) Initial(i) Target(ii) Floor(i) Subordination N/A N/A N/A N/A Total Class B Overcollateralization (iii) (iii) 0.50 Reserve account (i) (i) 2.00 Subordination N/A N/A N/A N/A Total Class C Overcollateralization (iii) (iii) 0.50 Reserve account (i) (i) 2.00 Subordination N/A N/A N/A N/A Total Class D Overcollateralization (iii) (iii) 0.50 Reserve account (i) (i) 2.00 Subordination 2.35 N/A N/A 2.10 N/A N/A Total Class E Overcollateralization (iii) (iii) 0.50 Reserve account (i) (i) 2.00 Subordination N/A N/A N/A N/A N/A N/A Total Estimated annual excess spread(iv) 7.28 N/A N/A 7.15 N/A N/A (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 's (AMCAR 's) auto receivables-backed series notes reflect: The availability of approximately 40.1%, 34.2%, 26.8%, and 20.1% (40.2%, 34.4%, 27.0, and 20.3% if upsized) 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 1.75x our 9.75%-10.25% 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 ratings (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 MARCH 31,

5 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, formerly known as AmeriCredit Corp.; 'BBB-/Stable/--') extensive securitization performance history since The transaction's payment and legal structures. Transaction Overview The AMCAR issuance will be AmeriCredit Financial Services Inc.'s (AmeriCredit's or the sponsor and originator's) second subprime auto loan securitization in 2016 and its 92nd since The series transaction is structured as a true sale of the receivables to AFS SenSub Corp. (AFS) from AmeriCredit. Through this true sale, AFS 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). MARCH 31,

6 We expect the principal and interest payments on the AMCAR notes to begin on May 9, 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 will total $1.0 billion unless upsized to $1.2 billion, and will receive principal sequentially and 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. In rating this transaction, we will review the relevant legal matters and opinions outlined in our criteria. Changes From The AMCAR Transaction In our view, the significant credit enhancement and collateral composition changes in this pool from the AMCAR transaction are as follows: Our expected net loss range decreased to 9.75%-10.25% from to 10.10%-10.60% due primarily to the presence of approximately 13% collateral cleaned up from earlier transactions. MARCH 31,

7 The subordination for the class A notes increased to 27.45% from 27.20%. The subordination for the class B notes increased to 20.20% from 19.95%. The subordination for the class C notes increased to 11.20% from %. The subordination for the class D notes increased to 2.35% from 2.10%. The initial overcollateralization increased to 5.75% from 5.50% of the initial pool balance. We consider the significant collateral changes to be (figures in parentheses refer to the upsized pool if the two pools differ): The series pool contains approximately 3% of collateral with 73- to 75-month original terms. AmeriCredit began originating collateral with these longer terms earlier in 2015, and this will be the second time that it has securitized such collateral. The average current loan balance decreased to $18,712 ($19,302) from $20,608. The percentage of new collateral decreased to approximately 53.1% (53.2%) from 55.9%. The weighted average FICO score decreased to 574 from 576. The weighted average internal score decreased to 244 from 246. The percentage of loans within AmeriCredit's highest score bucket (those loans with a score higher than 244) decreased to approximately 47.3% (46.4%) from 49.3%. In addition, the percentage of loans within the lowest score bucket (those with a score lower than 215) increased to 10.2% (10.8%) from 9.2%. Transaction Structure The AMCAR 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 lockbox 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, lockbox bank, lockbox processor, 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. MARCH 31,

8 Table 1 Payment Waterfall (cont.) Priority Payment 4 Principal to the extent necessary to reduce the class A notes' principal balance to the pool balance. 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, lockbox bank, lockbox processor, 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. Securitization Performance AmeriCredit's outstanding transactions are performing significantly better than its paid-off transactions, which we believe is primarily because the company tightened its underwriting standards during late 2008 through This resulted in lower weighted average loan-to-value (LTV) ratios, which declined to 109%-111% for the transactions from 119%-124% for the pools. The weighted average proprietary internal credit scores for of approximately are comparable with the range of In our view, the lower LTVs in the vintages have improved performance relative to AMCAR's earlier vintages. For instance, the series pool has a cumulative net loss of only 7.54% at month 52; even though its weighted average proprietary score of 240 is closer to its normal level, the weighted average LTV held relatively steady at approximately 110%. MARCH 31,

9 Chart 2 MARCH 31,

10 Chart 3 We believe improved economic conditions, including higher used vehicle values, and the growing mix of new vehicles (to approximately 39%-46% in 2011, 47%-49% in 2012, 44%-49% in 2013, 42%-51% in 2014, and 48%-51% in 2015 to date from as low as approximately 22%-25% in 2008) have also contributed to lower losses. In making these comparisons, we looked, where possible, at characteristics from the pools' current production loans only because several recent securitizations have included collateral cleaned up from earlier transactions. Such collateral can have different characteristics from current production loans because it was originated several years earlier. The pools also show progressively higher projected loss ranges. We believe the 2013 pools will trend somewhat higher than the 2012 pools. Although somewhat early, it appears that the 2014 pools are trending higher. This is to be expected given the current credit underwriting normalization that has been ongoing over the past two to three years, the expected gradual decline in recovery rates, and the recent extension of the maximum loan term from 72 months to 75 months. Table 4 shows our revised expected lifetime cumulative net loss ranges on the outstanding securitized pools. Recoveries for AmeriCredit's transactions remain relatively strong (see chart 4). We attribute this to those pools' lower LTVs compared with those of the pools as noted above, together with still-strong used vehicle values. However, we expect recoveries to soften over the next two years as an increasing number of vehicles come off MARCH 31,

11 lease. The slightly longer loan terms that the company is writing could also result in lower recoveries going forward, though they remain a small portion of the pool to be securitized. Chart 4 Servicing Portfolio AmeriCredit's servicing portfolio started to grow moderately in 2011 and has expanded since The portfolio declined in 2008 and 2009, with fewer originations during those years, and then stabilized in the second half of 2010 once origination volume started to rise. As of year-end 2015, AmeriCredit's consumer finance receivable portfolio in North America was approximately $18.2 billion, up approximately 35% from $13.4 billion as of Dec. 31, Net credit losses for North America as a percentage of the average month-end balance outstanding decreased to 2.6% for the 12 months ended Dec. 31, 2015, from 3.1% for the same period in 2014 (see table 2). Total delinquencies and repossessions decreased to 8.7% of the outstanding loan balance as of Dec. 31, 2015, from 10.1% a year earlier. Performance has remained relatively stable since the company's credit expansion. Recovery rates are expected to decline gradually over the course of the next few years, which, all else being equal, could contribute to a MARCH 31,

12 higher loss severity. This could be offset though by better portfolio credit quality due to higher-quality originations including more new and GM vehicles. Table 2 Servicing Portfolio Successor Delinquency experience Year ended Dec Consumer finance receivables at the end of the period (bil. $)(i) 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) (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. Pool Analysis As of the March 7, 2016, statistical cutoff date, the series collateral pool contained approximately $1.1 billion ($1.3 billion if upsized) of auto loans. Approximately 87% of the pool is newly originated loans, and 13% (11% if upsized) is highly seasoned loans originated predominantly from mid-2009 through late 2011 and sourced from recently called securitizations. The pool has a combined weighted average proprietary internal credit score of 244 and a weighted average LTV ratio of approximately 110% (109.4% if upsized; see table 3). Table 3 Collateral Comparison AMCAR Receivables balance (mil. $) ($1.1 bil. pool) ($1.3 bil. upsized pool) (i) , , , , , , , , No. of receivables 58,153 67,650 63,019 54,604 68,518 63,313 51,484 51,228 Avg. loan balance ($) 18,712 19,302 20,608 19,385 18,535 20,091 22,609 20,657 Weighted avg. APR (%) Weighted avg. original term (mos.) Weighted avg. remaining term (mos.) Weighted avg. seasoning (mos.) MARCH 31,

13 Table 3 Collateral Comparison (cont.) AMCAR AmeriCredit's weighted avg. proprietary internal credit score AmeriCredit's weighted avg. proprietary internal credit score of 245 and higher (%) AmeriCredit's weighted avg. proprietary internal credit score of less than 215 (%) ($1.1 bil. pool) ($1.3 bil. upsized pool) (i) Weighted avg. FICO score Original term mos. (%) Original term mos. (%) n/a n/a n/a n/a n/a % of new vehicles % of used vehicles Weighted avg. LTV (%)(ii) % of GM vehicles Vehicle type breakout (%) Car SUV Van/truck Unavailable Top three state concentrations (%)(iii) TX=19.14 TX=19.28 TX=19.25 TX=17.80 TX=17.83 TX=19.24 TX=19.01 TX=17.88 FL=7.62 FL=7.51 FL=7.34 FL=7.15 FL=7.24 CA=7.00 FL=6.80 CA=7.75 CA=6.77 CA=6.76 CA=6.57 CA=6.61 CA=6.39 FL=6.71 CA=6.73 FL=6.33 (i)standard & Poor's 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. In addition, the series transaction will be AmeriCredit's second securitization pool to include contracts with an original term of months. These contracts, however, make up only approximately 3% of the total pool. Their weighted average FICO score is higher for this subset than for the pool as a whole. In addition, the 73- to 75-month loans in the series pool already have approximately seven months of seasoning (six months if upsized), as well as the highest weighted average FICO score and among the lowest weighted average LTV ratios when compared with AmeriCredit's overall securitization pools. AmeriCredit uses its proprietary internal credit scoring model to score applications based on credit bureau attributes MARCH 31,

14 and loan structure. AMCAR Performance: Surveillance Update We currently maintain ratings on 15 AmeriCredit transactions that were issued between 2011 and The transactions issued in 2011 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 The remaining 2014 transactions appear to be performing better than our initial expectations, while, with less than 12 months data, it appears to be too early to predict the performance of the 2015 transactions, and we maintained our loss expectation on these series pending further collateral performance. Table 4 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) N/A N/A N/A N/A N/A N/A (i)as of the March 2016 distribution. (ii)we calculate 60+ 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. MARCH 31,

15 Standard & Poor's Expected Loss: 9.75%-10.25% To derive the base-case loss for the AMCAR transaction, we analyzed static pool cumulative net loss, cumulative gross loss, and cumulative recovery performance for AmeriCredit's paid-off securitized pools and the loss projections on the through 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 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 demonstrated that loss performance began to stabilize with the 2008 originations (particularly those after first-quarter 2008) and significantly improved with the 2009, 2010, 2011, and 2012 originations. Likewise, the projections for the 2010, 2011, and 2012 securitized pools indicated lower losses than the 2006 and 2007 securitized pools. Losses on AmeriCredit's series through transactions remain significantly lower than the transactions. We are currently projecting approximately 7.5%-9.3% losses for these transactions compared with the 10.0%-19.0% final loss range on the transactions. In our view, the collateral composition of the loans in the AMCAR pool is generally similar to, or better than, those in the 2013 and 2014 pools and comparable with those in the 2015 pools. We have observed a gradual increase in the percentage of loans in GM Financial's lowest credit tier bucket since The percentage of loans by balance in this bucket ranged from approximately 11.4% to 13.6% for the 2013 pools, 10.1% to 13.2% for the 2014 pools, and 9.1% to 10.6% for the 2015 pools. The percentages for the pool and the statistical pool are 9.2% and 10.2% (10.8% upsized), respectively. In addition, the series transaction will be AmeriCredit's second securitization of contracts with an original term of months. These contracts, however, make up less than 3% of the total pool. Their weighted average FICO score is much higher than the 574 for the pool as a whole. Since AmeriCredit did not begin originating these loans until mid-2015, no 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 pool already have approximately seven (six upsized) months of seasoning, as well as 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 the 2012 and 2013 pools, but we also considered the better-than-expected performance on the company's outstanding securitizations. As a result our expected base-case cumulative net loss range for the current production loans in the AMCAR securitized pool is 9.75%-10.25%. This compares with our revised expectation of 7.50%-8.40% noted above for the 2012 and 2013 pools. We also accounted for the addition of highly seasoned collateral, which was originated between late 2009 and mid As a result, we believe its remaining losses should generally be lower than those of nonseasoned collateral. MARCH 31,

16 We expect the AMCAR transaction to experience cumulative net losses of 9.75%-10.25%, 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. Cash Flow Modeling We modeled the transaction to simulate the rated stress scenarios appropriate for the assigned preliminary ratings (see table 5). In our cash flow analysis, we applied appropriate stresses for the class A-2-B unhedged floating-rate note issuance, up to a $187.0 million maximum ($214.0 if upsized). Table 5 Cash Flow Assumptions And Results Class A B C D Preliminary rating AAA (sf) AA+ (sf) A+ (sf) BBB (sf) Cumulative net loss timing (mos.) 12/24/36 12/24/36/48 12/24/36/48/60 12/24/36/48/60 Cumulative net loss (%) 44/77/100 36/65/92/100 32/58/82/96/100 31/58/81/94/100 Cumulative net loss (if upsized) (%) 43/77/100 36/65/92/100 31/57/81/96/100 30/57/80/94/100 ABS voluntary prepayments (%) Recoveries (%) Recovery lag (mos.) Servicing fee (%) Approximate break-even levels giving 100% credit to spread (%)(i) Approximate upsized issuance break-even levels giving 100% credit to spread (%)(i) (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. 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 $57.88 million ($68.27 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 MARCH 31,

17 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 6 and charts 5 and 6). Table 6 Scenario Analysis Summary Stress multiple (x) 1.75 Loss level (%) Loss timing (month 12/24/36/48/60) (%) 31/58/81/94/100 Loss timing if upsized (month 12/24/36/48/60) (%) 30/57/80/94/100 Voluntary ABS (%) 1.0 Recoveries (%) 40.0 Recovery lag (mos.) 3 Servicing fee (%) 2.25 Coverage of remaining losses Credit enhancement 'AAA (sf)' rated notes 'AA+ (sf)' rated notes 'A+ (sf)' rated notes 'BBB (sf)' rated notes Credit enhancement if upsized 'AAA (sf)' rated notes 'AA+ (sf)' rated notes 'A+ (sf)' rated notes 'BBB (sf)' rated notes 2.61x at month one, reaches 3.36x in month 12, and continues to grow thereafter 2.19x at month one, reaches 2.76x in month 12, and continues to grow thereafter 1.68x at month one, reaches 2.02x in month 12, and continues to grow thereafter 1.17x at month one, reaches 1.29x in month 12, and gradually increases thereafter 2.62x at month one, reaches 3.35x in month 12, and continues to grow thereafter 2.20x at month one, reaches 2.76x in month 12, and continues to grow thereafter 1.69x at month one, reaches 2.03x in month 12, and continues to grow thereafter 1.18x at month one, reaches 1.31x in month 12, and gradually increases thereafter ABS--Absolute prepayment speed. MARCH 31,

18 Chart 5 MARCH 31,

19 Chart 6 Scenario analysis: 17.50% 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 17.50% stressed loss scenario, which is approximately 1.75x our expected loss level, the transaction reaches the 14.75% enhancement target in month 19 (month 18 in the upsized run) and remains at that level through month 32, drops briefly, and then returns to target in month 39 (months 38 and 39), after which it begins to decrease. The overcollateralization is exhausted by month 43 (month 44), and the reserve account is fully depleted at month 69. 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 six, 20, 30 (31), 36, 45 (46), and 61, respectively. The unrated class E bonds are fully paid by month 68. Our rating stability criteria describes 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.) MARCH 31,

20 Money Market Tranche Sizing The proposed money market tranche (class A-1) has a 12-month legal final maturity date (April 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 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. 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 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 in an all-cash acquisition of approximately $3.5 billion. At that time, AmeriCredit's corporate parent was renamed GM Financial. On Sept. 25, 2014, Standard & Poor's raised its long-term counterparty credit rating on GM Financial to 'BBB-' from 'BB' after designating the entity as a "core" subsidiary of GM. MARCH 31,

21 Related Criteria And Research Related Criteria Methodology And Assumptions For Ratings Above The Sovereign--Single-Jurisdiction Structured Finance, May 29, 2015 Methodology: Criteria For Global Structured Finance Transactions Subject To A Change In Payment Priorities Or 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 Understanding Standard & Poor's Rating Definitions, June 3, 2009 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 AmeriCredit Automobile Receivables Trust Long-Term Ratings Raised On 35 Classes, Affirmed On 32, July 30, 2015 General Motors Financial Co. Inc., April 9, 2015 General Motors Co. 'BBB-' Rating Affirmed Following Announcement Of Capital Allocation Strategy; Outlook Stable, March 9, 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, The primary analyst would like to thank Linda Yeh and Tiffany Ho for their analytical contributions to this presale report. MARCH 31,

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