DBRS Morningstar Confirms GM Financial Automobile Leasing Trust 2018-PP7

DBRS, Inc. (DBRS Morningstar) has confirmed the AAA (sf) rating of the 2018-PP7 Note issued by GM Financial Automobile Leasing Trust 2018-PP7. The performance of the transaction is such that credit enhancement is sufficient to cover DBRS Morningstar’s loss expectations at the current rating level.

As of the September 2020 Distribution Date, credit enhancement was 48.98%. The Indenture Note factor was 21.85%. The pool factor of the Aggregate Securitization Value of the collateral was 35.83%. Delinquencies aged 30-plus days were 0.84% and delinquencies aged 60-plus days were 0.27%. The cumulative credit loss rate was -0.08%. The cumulative residual gain on returned vehicles was over 100%.

Confirmation on the notes considers 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 were last updated on September 10, 2020, and are reflected in DBRS Morningstar’s analysis. The moderate scenario remains predicated on a more rapid return of confidence and a steady recovery heading into 2021.

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.

DBRS Morningstar notes that this press release was amended on December 2, 2020, to remove notes that indicated that the rating was unsolicited. The rating was solicited and the press release has been amended as such.

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

The principal methodology is the DBRS Morningstar Master U.S. ABS Surveillance Methodology (May 27, 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 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 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.

This rating is endorsed by DBRS Ratings Limited (DBRS Morningstar) for use in the European Union. The following additional regulatory disclosures apply to endorsed ratings:

The last rating action on these transactions took place on October 15, 2019, when the rating was upgraded to AAA (sf) from AA (sf).

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Lead Analyst: Jayce Fox, Senior Vice President, U.S. ABS – Global Structured Finance
Rating Committee Chair: Chris D’Onofrio, Managing Director, Head of US ABS
Global Structured Finance DBRS, Inc.
Initial Rating Date: October 16, 2018

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

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DBRS Morningstar Master U.S. ABS Surveillance Methodology (May 27, 2020) https://www.dbrsmorningstar.com/research/361480/dbrs-morningstar-master-us-abs-surveillance