DBRS Morningstar Upgrades CPS Auto Securitization Trust 2018-1

DBRS, Inc. (DBRS Morningstar) upgraded the rating on the Class A Notes (the Notes) issued by CPS Auto Securitization Trust 2018-1 to BBB (low) (sf) from BB (low) (sf).

The rating action is 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 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 Trusts 2017-A, 2017-B, 2017-C, and 2017-D (together, the Underlying Securitization Transactions). The transaction was also secured by residuals from CPS Auto Receivables Trusts 2013-C, 2013-D, 2014-A, 2014-B, 2014-C, 2014-D, 2015-A, 2015-B, 2015-C, 2016-A, 2016-B, 2016-C, and 2016-D, which have been paid in full.

-- The performance of the DBRS Morningstar rated Underlying Securitization Transactions and the stability and migration of outstanding ratings.

-- Pursuant to the DBRS Morningstar Internal Assessment Global Policy, DBRS Morningstar 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 Morningstar. Pursuant to the DBRS Morningstar 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.

-- 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 rating.

-- 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 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.

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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