DBRS Morningstar Confirms Rating on Silver Arrow Canada LP 2018-1 Class A-3 Asset Backed Notes

DBRS Limited (DBRS Morningstar) confirmed its rating on the 2018-1 Class A-3 Asset Backed Notes (the Class A-3 Notes) issued by Silver Arrow Canada LP at AAA (sf). The confirmation is part of DBRS Morningstar’s continued effort to provide timely credit rating opinions and increased transparency to market participants. The rating confirmations are based on the following factors as of August 2021:

(1) High levels of credit enhancement (CE) are available to protect the Class A-3 Notes. Credit protection is provided by overcollateralization and a nonamortizing cash reserve account representing approximately 27.2% and 2.7%, respectively, of the outstanding Note balance. In addition, excess spread is available to offset collection shortfalls on a monthly basis. Current excess spread is approximately 3.8%, before any assumed provision for replacement servicer fees.

(2) Total CE has grown to approximately 29.9% from 2.8% at the time of the initial rating.

(3) To date, cumulative losses amount to 14 basis points and remain well below DBRS Morningstar’s expectations set at the time of the initial rating.

(4) Daimler AG (rated BBB (high) with a Stable trend by DBRS Morningstar), the parent company of Mercedes-Benz Financial Services Corporation, remains above investment grade as of August 2020.

DBRS Morningstar monitors the performance of each transaction to identify any deviation from its expectations at issuance and to ensure that the ratings remain appropriate. The review is predicated upon the timely receipt of performance information from the related providers. The performance and characteristics of each publicly rated auto loan portfolio and the notes are available and updated each month in the Monthly Canadian ABS Report available at www.dbrsmorningstar.com.

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 Canadian dollars unless otherwise noted.

The principal methodology is Master Canadian Structured Finance Surveillance Methodology (June 7, 2021), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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 [email protected].

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].

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