Class A-1 Notes, Series 2021-1 (the Class A-1 Notes) at
Class A-2 Notes, Series 2021-1 (the Class A-2 Notes) at
Class A-3 Notes, Series 2021-1 (the Class A-3 Notes) at
DBRS Morningstar considered additional analyses and, where appropriate, additional adjustments to expected performance as a result of the global efforts to contain the spread of the Coronavirus Disease (COVID-19). DBRS Morningstar initially published macroeconomic scenarios on
The Notes are supported by a portfolio of retail closed-end lease contracts of new passenger cars and sport-activity vehicles (the Portfolio of Assets). The lease contracts were originated by authorized
Repayment of the Notes will be made from collections from the Portfolio of Assets, which includes scheduled monthly lease payments (including residual value payments in the case of customer-retained vehicles) as well as proceeds from vehicle sales either at the end of the lease term or earlier, in the case of prepayments and defaults. Proceeds from excess mileage and wear-and-tear charges, if any, also form part of the collections used to repay the Notes.
The pass-through structure repays the Notes as monthly principal payments are collected from the Portfolio of Assets. The Notes will be repaid in sequential order, with the Class A-1 Notes being repaid first, followed by repayment of the Class A-2 Notes and then the Class A-3 Notes. The ratings assigned are based on the full repayment of the Notes by their respective Maturity Dates.
The ratings incorporate the following considerations:
On the Closing Date, 15.50% of credit enhancement will be available (0.25% of cash and 15.25% of overcollateralization (OC)). Excess collections will be applied monthly to repay outstanding principal of the Notes until the OC reaches the Target OC of 17.25%, which is expected by month five based on scheduled payments. In addition, 4.58% (annualized) of excess spread, net of the cost of funds and the Replacement Servicer Fee provision, will be available to offset any collection shortfalls on a monthly basis.
NON-AMORTIZING CREDIT ENHANCEMENT
The requirement to maintain the cash account and the OC amounts at their target levels provides a deleveraging structure as the principal on the Notes is repaid. Residual values represent the largest risk in closed-end auto lease securitizations, and the exposure to such risk is highest at contract maturity. Non-amortizing credit enhancement ensures that an increasing level of protection is available to offset potential vehicle disposition losses as these contracts mature.
CONSERVATIVE ADVANCE RATE ON RESIDUAL VALUES
The Base Residual Value is determined by using the lower of the contract residual values and the Automotive Lease Guide's (ALG) estimated values as of January/
STRONG OBLIGOR PROFILE
The obligors of the underlying lease contracts represent high-credit-quality customers, as the weighted-average (WA)
ESTABLISHED REMARKETING STRATEGY
OPERATIONAL AND BRAND STRENGTH OF SELLER
The Seller and its parent,
The DBRS Morningstar cash flow analysis includes a conservative base-case cumulative net loss estimate. Available credit enhancement is able to withstand the stresses at levels commensurate with the assigned ratings.
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 Canadian dollars unless otherwise noted.
The principal methodology is Rating Canadian Auto Retail Loan and Lease Securitizations (
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 release: 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 related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link under Related Documents or by contacting us at info@dbrsmorningstar.com.
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.
Tel. +1 416 593-5577
Ratings
Date Issued Debt Rated Action Rating Trend Attributes
i
US = Lead Analyst based in USA
CA = Lead Analyst based in
EU = Lead Analyst based in EU
E = EU endorsed
U =
Unsolicited Participating With Access
Unsolicited Participating Without Access
Unsolicited Non-participating
17-Feb-21 Class A-1 Notes, Series 2021-1 Provis.-FinalAAA (sf) -- CA
17-Feb-21 Class A-2 Notes, Series 2021-1 Provis.-FinalAAA (sf) -- CA
17-Feb-21 Class A-3 Notes, Series 2021-1 Provis.-FinalAAA (sf) -- CA
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