Press Release

DBRS Morningstar Takes Rating Actions on Seven American Credit Acceptance Receivables Trust Transactions

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December 22, 2021

DBRS, Inc. (DBRS Morningstar) upgraded 21 ratings, confirmed eight ratings, and discontinued six ratings as a result of repayment from seven American Credit Acceptance Receivables Trust transactions.

The rating actions are based on the following analytical considerations:

-- The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios For Rated Sovereigns December 2021 Update”, published on December 9, 2021. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. The baseline macroeconomic scenarios reflect the view that recent COVID-19 developments, particularly the new Omicron variant with subsequent restrictions, combined with rising inflation pressures in some regions, may dampen near-term growth expectations in coming months. However, DBRS Morningstar expects the baseline projections will continue to point to an ongoing, gradual recovery.

-- The collateral performance to date and DBRS Morningstar's assessment of future performance, including upward revisions to the expected cumulative net loss (CNL) assumptions.

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

-- The transactions’ capital structure and form and sufficiency of available credit enhancement. The current level of hard credit enhancement and estimated excess spread are sufficient to support the DBRS Morningstar-projected remaining CNL assumption at a multiple of coverage commensurate with the ratings.

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:
The principal methodology is DBRS Morningstar Master U.S. ABS Surveillance (May 26, 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 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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