DBRS Morningstar Assigns Rating to GMF Prime Automobile Trust 2021-PP4

DBRS, Inc. (DBRS Morningstar) assigned a rating of AA (sf) to the Series 2021-PP4 Floating Rate Asset Backed Notes issued by GMF Prime Automobile Trust 2021-PP4.

RATING RATIONALE
-- Transaction capital structure, proposed rating, and form and sufficiency of available credit enhancement.
-- Credit enhancement in the form of overcollateralization, amounts held in the reserve fund and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected cumulative net loss assumption under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and the payment of principal by the legal final maturity date.
-- The capabilities of the Issuer with regard to originations, underwriting, and servicing.
-- DBRS Morningstar's projected losses include the assessment of the impact of the Coronavirus Disease (COVID-19) pandemic. While considerable uncertainty remains with respect to the intensity and duration of the shock, the DBRS Morningstar-projected Cumulative Net Loss (CNL) includes an assessment of the expected impact on consumer behavior.
-- The transaction assumptions consider DBRS Morningstar’s set of macroeconomic scenarios for select economies related to the coronavirus, available in its commentary “Global Macroeconomic Scenarios: June 2021 Update,” published on June 18, 2021. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have been regularly updated. The scenarios were last updated on June 18, 2021, and are reflected in DBRS Morningstar’s rating analysis.
-- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with GM Financial, and that the trust has a valid first-priority security interest in the assets, and is consistent with DBRS Morningstar’s “Legal Criteria for U.S. Structured Finance” methodology.

ESG CONSIDERATIONS
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 U.S. dollars unless otherwise noted.

The principal methodologies are Rating U.S. Retail Auto Loan Securitizations (May 10, 2021) and Legal Criteria for U.S. Structured Finance (December 21, 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.

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].