DBRS Morningstar Finalizes Provisional Ratings on OneMain Direct Auto Receivables Trust 2023-1

DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on the following classes of notes issued by OneMain Direct Auto Receivables Trust 2023-1 (ODART 2023-1 or the Issuer):

-- $544,190,000 Class A Notes at AAA (sf)
-- $96,570,000 Class B Notes at AAA (sf)
-- $59,760,000 Class C Notes at AA (sf)
-- $49,480,000 Class D Notes at A (sf)

The ratings are based on DBRS Morningstar’s review of 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 2022 Update,” published on December 21, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020.
--The DBRS Morningstar Cumulative Net Loss assumption is 4.00% based on the worst-case loss pool constructed, giving consideration to the concentration limits present in the structure.
-- Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement.
-- The ODART 2023-1 multiple assumptions for the Class A, Class B, Class C, and Class D Notes are at the higher end of the DBRS Morningstar range set forth in the criteria for this asset class.
-- There will be no backup servicer for the ODART 2023-1 transaction; however, HSBC Bank USA, National Association will serve as the Indenture Trustee.
-- The transaction parties’ capabilities with regard to originations, underwriting, and servicing.
-- The quality and consistency of provided historical static pool data for OneMain Finance Corporation originations and performance of the OneMain Direct Auto loan portfolio.
-- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with OneMain, that the trust has a valid first-priority security interest in the assets, and consistency with DBRS Morningstar’s “Legal Criteria for U.S. Structured Finance.”

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factor(s) 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 in U.S. dollars unless otherwise noted.

The principal methodology applicable to the rating is Rating U.S. Retail Auto Loan Securitizations (May 10, 2022) https://www.dbrsmorningstar.com/research/396623).

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

-- Operational Risk Assessment for U.S. ABS Servicers (February 6, 2023)
https://www.dbrsmorningstar.com/research/409447/operational-risk-assessment-for-us-abs-servicers

-- Operational Risk Assessment for U.S. ABS Originators (November 8, 2022)
https://www.dbrsmorningstar.com/research/405082/operational-risk-assessment-for-us-abs-originators

-- Legal Criteria for U.S. Structured Finance (December 7, 2022)
https://www.dbrsmorningstar.com/research/407008/legal-criteria-for-us-structured-finance

-- Rating U.S. Structured Finance Transactions (February 6, 2023)
https://www.dbrsmorningstar.com/research/409449/rating-us-structured-finance-transactions

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