DBRS Morningstar Confirms Ratings on Silver Arrow Canada LP Series 2022-1 Notes

DBRS Limited (DBRS Morningstar) confirmed the ratings on the following notes issued by Silver Arrow Canada LP as part of DBRS Morningstar’s continued effort to provide market participants with updates on an annual basis:

-- 2022-1 Class A-1 Asset Backed Notes (the Class A-1 Notes) at AAA (sf)
-- 2022-1 Class A-2 Asset Backed Notes (the Class A-2 Notes) at AAA (sf)
-- 2022-1 Class A-3 Asset Backed Notes (the Class A-3 Notes; together with the Class A-1 Notes and the Class A-2 Notes, the Notes) at AAA (sf)

The rating confirmations are based on the following factors as of December 2022:

(1) Credit enhancement (CE) is available to protect the Notes. Credit protection is provided by overcollateralization and a nonamortizing cash reserve account representing approximately 3.8% and 0.4%, 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 4.2%, before any assumed provision for replacement servicer fees.

(2) Total CE has grown to approximately 4.2% from 2.8% at the time of the initial rating.

(3) Cumulative losses (null as of December 2022) remain well below DBRS Morningstar’s expectations set at the time of the initial rating.

(4) Mercedes-Benz Group AG (formerly Daimler AG) (rated A (low) with a Stable trend by DBRS Morningstar), the parent company of Mercedes-Benz Financial Services Corporation, remains above investment grade as of November 2022.

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.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance (ESG) factors that had a significant or relevant effect on the credit analysis.

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/396929 (May 17, 2022).

Notes:
All figures are in Canadian dollars unless otherwise noted.

The principal methodology applicable to the rating is the Master Canadian Structured Finance Surveillance Methodology (December 13, 2022; https://www.dbrsmorningstar.com/research/407359).

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.com/about/methodologies.

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 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.

DBRS Limited
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Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577

The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

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