DBRS Morningstar Finalizes Provisional Ratings on AmeriCredit Automobile Receivables Trust 2021-3

DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on the following classes of notes issued by AmeriCredit Automobile Receivables Trust 2021-3 (AMCAR 2021-3 or the Issuing Entity):

-- $144,600,000 of Class A-1 at R-1 (high) (sf)
-- $290,000,000 of Class A-2 at AAA (sf)
-- $224,440,000 of Class A-3 at AAA (sf)
-- $62,100,000 of Class B at AA (high) (sf)
-- $86,100,000 of Class C at AA (low) (sf)
-- $67,000,000 of Class D at A (low) (sf)

The ratings are based on a review by DBRS Morningstar of the following analytical considerations:

(1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement.
-- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve account, and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar expected cumulative net loss (CNL) assumptions under various stress scenarios.

(2) 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.

(3) The DBRS Morningstar CNL assumption is 8.25% based on the expected pool composition as of the Cut-Off Date.
-- The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios For Rated Sovereigns,” published on September 8, 2021. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. The baseline macroeconomic scenarios reflect the view that, although coronavirus remains a risk to the outlook, uncertainty around the macroeconomic effects of the pandemic has gradually receded. Current median forecasts considered in the baseline macroeconomic scenarios incorporate some risks associated with further outbreaks, but remain fairly positive on recovery prospects given expectations of continued fiscal and monetary policy support. The policy response to coronavirus may nonetheless bring other risks to the forefront in the coming months and years.

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

(5) The credit quality of the collateral and performance of AmeriCredit’s auto loan portfolio.

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

The receivables securitized in AMCAR 2021-3 are subprime auto loan contracts secured by new and used automobiles, light-duty trucks, and vans.

This transaction is structured as a public transaction offering three classes of notes (collectively, the Notes): Class A (in three sequential tranches — Classes A-1, A-2, and A-3), Class B, and Class C. The AMCAR 2021-3 Class D and E Notes are not publicly offered and will initially be retained by the Depositor or an affiliate thereof. Initial Class A credit enhancement of 33.10% includes a reserve account (2.00% of the initial pool balance, funded at inception and nondeclining), OC of 5.75%, and subordination of 25.35% of the initial pool balance. Initial Class B enhancement of 26.61% includes a 2.00% reserve account, OC of 5.75%, and subordination of 18.86%. Initial Class C enhancement of 17.61% includes a 2.00% reserve account, OC of 5.75%, and subordination of 9.86%. Initial Class D enhancement of 10.60% includes a 2.00% reserve account, OC of 5.75%, and subordination of 2.85%.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

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

The principal methodology is Rating U.S. Retail Auto Loan Securitizations (May 10, 2021), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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 info@dbrsmorningstar.com.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

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