DBRS Morningstar Assigns Provisional Ratings to American Credit Acceptance Receivables Trust 2022-1.
ENPNewswire-January 13, 2022--DBRS Morningstar Assigns Provisional Ratings to American Credit Acceptance Receivables Trust 2022-1
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Release date- 12012022 - DBRS, Inc. (DBRS Morningstar) assigned provisional ratings to the following classes of notes to be issued by American Credit Acceptance Receivables Trust 2022-1 (ACAR 2022-1 or the Issuer).
$197,880,000 Class A Notes at AAA (sf)
$56,220,000 Class B Notes at AA (sf)
$58,010,000 Class C Notes at A (sf)
$53,520,000 Class D Notes at BBB (sf)
$42,050,000 Class E Notes at BB (sf)
$17,320,000 Class F Notes at B (sf)
The provisional ratings are based on DBRS Morningstar's review 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 fund, and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stress scenarios.
The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms on which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the final scheduled distribution date.
(2) ACAR 2022-1 provides for Class A, B, C, D, and E coverage multiples slightly below the DBRS Morningstar range of multiples set forth in the criteria for this asset class. DBRS Morningstar believes that this is warranted, given the magnitude of expected loss and structural features of the transaction.
(3) The DBRS Morningstar CNL assumption is 29.00% based on the expected cut-off date pool composition.
(4) The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary 'Baseline Macroeconomic Scenarios For Rated Sovereigns December 2021 Update', published on December 9, 2021. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse pandemic scenarios, which were first published in April 2020. The baseline macroeconomic scenarios reflect the view that recent pandemic-related developments, particularly the new omicron variant with subsequent restrictions, combined with rising inflation pressures in some regions, may dampen near-term...
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