DBRS Morningstar Finalizes Provisional Ratings on AmeriCredit Automobile Receivables Trust 2020-3

DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on the following classes of notes issued by AmeriCredit Automobile Receivables Trust 2020-3 (the Issuer):

-- $144,000,000 of Class A-1 at R-1 (high) (sf)
-- $435,000,000 of Class A-2 at AAA (sf)
-- $238,800,000 of Class A-3 at AAA (sf)
-- $87,000,000 of Class B at AA (high) (sf)
-- $108,000,000 of Class C at A (high) (sf)
-- $82,250,000 of Class D at BBB (high) (sf)
-- $34,150,000 of Class E at BB (high) (sf)

The ratings are based on a review by DBRS Morningstar of the following analytical considerations:
-- Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement.

-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and principal by the legal final maturity date.

-- AmeriCredit’s capabilities with regard to originations, underwriting, and servicing and ownership by General Motors Company.

-- The credit quality of the collateral and performance of AmeriCredit’s auto loan portfolio.

-- DBRS Morningstar's projected losses include the assessment of the impact of the Coronavirus Disease (COVID-19). While considerable uncertainty remains with respect to the intensity and duration of the shock, DBRS Morningstar-projected CNL includes an assessment of the expected impact on consumer behavior. The DBRS Morningstar CNL assumption is 9.35% based on the cut-off date pool composition.

-- The transaction assumptions consider DBRS Morningstar’s set of macroeconomic scenarios for select economies related to the coronavirus, available in its commentary “Global Macroeconomic Scenarios: September Update,” published on September 10, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have been regularly updated. The scenarios were last updated on September 10, 2020, and are reflected in DBRS Morningstar’s rating analysis. The assumptions also take into consideration observed performance during the 2008–09 financial crisis and the possible impact of stimulus. The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario remains predicated on a more rapid return of confidence and a steady recovery heading into 2021.

-- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with AmeriCredit, and that the Trust has a valid first-priority security interest in the assets and the consistency with DBRS Morningstar’s “Legal Criteria for U.S. Structured Finance” methodology.

The receivables securitized in AMCAR 2020-3 are subprime auto loan contracts secured by new and used automobiles, light-duty trucks, and vans.

This transaction is being structured as a public transaction offering four classes of notes (collectively, the Notes): Class A (in three sequential tranches — Classes A-1, A-2, and A-3), Class B, Class C, and Class D. The AMCAR 2020-3 Class E Notes are not publicly offered and will initially be retained by the Depositor or an affiliate thereof. Initial Class A credit enhancement of 34.35% includes a reserve account (2.50% of the initial pool balance, funded at inception and nondeclining), overcollateralization (OC) of 5.90%, and subordination of 25.95% of the initial pool balance. Initial Class B enhancement of 27.10% includes a 2.50% reserve account, OC of 5.90%, and subordination of 18.70%. Initial Class C enhancement of 18.10% includes OC of 5.90%, subordination of 9.70%, and a reserve account of 2.50%. Initial Class D enhancement of 11.24% includes OC of 5.90%, subordination of 2.85%, and a reserve account of 2.50%. Initial Class E enhancement of 8.40% includes OC of 5.90% and a reserve account of 2.50%.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at https://www.dbrsmorningstar.com/research/357792.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is Rating U.S. Retail Auto Loan Securitizations (May 13, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press releases: https://www.dbrsmorningstar.com/research/358308.

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at [email protected].

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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