DBRS Confirms Ratings on GMF Canada Leasing Trust’s Asset-Backed Notes, Series 2017-1

DBRS Limited (DBRS) confirmed the ratings on the following notes (the 2017-1 Notes) issued by GMF Canada Leasing Trust (the Trust) as part of DBRS’s continued effort to provide market participants with updates on an annual basis:

-- Class A-2 2.263% Asset-Backed Notes, Series 2017-1 rated AAA (sf) (the Class A-2 Notes)
-- Class A-3 2.465% Asset-Backed Notes, Series 2017-1 rated AAA (sf) (collectively, with the Class A-2 Notes, the Class A Notes)
-- Class B 2.785% Asset-Backed Notes, Series 2017-1 rated AA (sf) (the Class B Notes)
-- Class C 2.896% Asset-Backed Notes, Series 2017-1 rated A (sf) (the Class C Notes)

The collateral consists of Senior and Subordinated Borrower Notes (the 2017-1 Borrower Notes) that are supported by a first-priority security interest in a portfolio of closed-end lease contracts of new automobiles, light-duty trucks and utility vehicles (the Designated Pool). The lease contracts were originated through authorized General Motors dealers in Canada.

Collections from the Designated Pool are used to repay the 2017-1 Borrower Notes and the proceeds from the 2017-1 Borrower Notes are used to repay the 2017-1 Notes. Collections from the Designated Pool generally include 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 from the Designated Pool.

The confirmation of the ratings is based on performance of the transaction as of July 2019:

(1) Total credit enhancement available represents 74.0%, 60.6% and 48.3% of the balance of the 2017-1 Notes for the Class A, Class B and Class C Notes, respectively, and continues to provide sufficient protection to the 2017-1 Notes at their current ratings. Credit enhancement consists of a non-amortizing cash account and overcollateralization equivalent to 1.7% and 30.4% of the balance of the 2017-1 Notes as of July 2019, in addition to subordination.

(2) Based on the discount rate applied to the Designated Pool, there is currently approximately 3.9% (annualized) of excess spread available net of the cost of funds and a monthly servicer fee to offset any collection shortfall on a monthly basis.

(3) The collateral for the Notes has been performing well. To date, cumulative losses amounted to 27 basis points (bps), below DBRS’s expectations set at the time of the initial rating. The pool has posted Cumulative Residual Value gains since issuance and was reported at 88 bps as of July 2019.

(4) General Motors Financial of Canada, Ltd (rated BBB (high) with a Stable trend by DBRS) has demonstrated its ability to manage successful private securitization transactions supported by auto leases in Canada.

DBRS monitors the performance of each transaction to identify any deviation from its expectation at issuance and to ensure the ratings remain appropriate. The review is predicted upon the timely receipt of performance information from the related providers.

Notes:
All figures are in Canadian dollars unless otherwise noted.

The principal methodology is Master Canadian Structured Finance Surveillance Methodology (June 2019), which can be found on dbrs.com under Methodologies & Criteria.

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@dbrs.com.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS 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.

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

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