DBRS Morningstar Confirms CPS Auto Securitization Trust 2018-1

DBRS, Inc. (DBRS Morningstar) confirmed the Class A Notes issued by CPS Auto Securitization Trust 2018-1 at BB (low) (sf). The rating was removed from Under Review with Negative Implications, where it was placed on July 14, 2020, and maintained on October 16, 2020.

The rating action is based on the following analytical considerations:
-- The Notes are secured by the right to receive certain residual cash flows resulting from the following 17 securitization transactions sponsored by CPS: CPS Auto Receivables Trust 2015-B, 2015-C, 2016-A, 2016-B, 2016-C, 2016-D, 2017-A, 2017-B, 2017-C and 2017-D (together, the Underlying Securitization Transactions). The transaction was also secured by residuals from 2013-C, 2013-D, 2014-A, 2014-B, 2014-C, 2014-D, 2015-A which have been paid in full.

-- The performance of the DBRS rated Underlying Securitization Transactions and the stability and migration of outstanding ratings. This includes DBRS Morningstar's assessment of future performance, including upward revisions to the expected CNL assumptions consistent with the expected unemployment levels in the moderate scenario.

-- The transaction assumptions for the Underlying Securitization Transactions consider DBRS Morningstar’s set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary “Global Macroeconomic Scenarios: December Update,” published on December 2, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have been regularly updated. The scenarios were last updated on December 2, 2020, and are reflected in DBRS Morningstar’s rating analysis (please refer to next bullet).

-- The assumptions for the Underlying Securitization Transactions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario factors in increasing success in containment during the first half of 2021, enabling the continued relaxation of restrictions.

-- Pursuant to the DBRS Internal Assessment Global Policy, DBRS has relied on public ratings issued by other credit rating agencies for the assessment of certain tranches of Underlying Securitization Transactions not rated by DBRS. Pursuant to the DBRS methodology Rating U.S. Structured Finance Transactions, generally, the highest rating assigned in a residual re-securitization may not exceed the lowest outstanding rating in the pool of primary transactions. DBRS Morningstar has excluded CPS Auto Receivables Trust 2016-C from the rating analysis as the most subordinated class of notes was determined to be below the CPS 2018-1 rating level. In addition DBRS Morningstar has excluded CPS Auto Receivables Trust 2016-A from the current rating analysis as the Class F Notes are currently Under Review with Negative Implications. DBRS Morningstar performed the analysis on CPS Auto Securitization Trust 2018-1 without credit to any cash allocation from CPS Auto Receivables Trust Series 2016-A and 2016-C.

-- The transaction’s capital structure, and form and sufficiency of available credit enhancement. The current level of hard credit enhancement and estimated excess spread are commensurate with the ratings.

-- The transaction parties’ capabilities with regard to origination, underwriting, and servicing.

ESG CONSIDERATIONS
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.

Notes:
The principal methodology is DBRS Morningstar Master U.S. ABS Surveillance (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 not 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.

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

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