Morningstar DBRS Takes Credit Rating Actions on Three GLS Auto Receivables Issuer Trust Transactions

DBRS, Inc. (Morningstar DBRS) upgraded three credit ratings and confirmed six credit ratings on three GLS Auto Receivables Issuer Trust transactions.

The credit rating actions are based on the following analytical considerations:

-- The transaction assumptions consider Morningstar DBRS’ baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns - December 2023 Update, published on December 19, 2023. These baseline macroeconomic scenarios replace Morningstar DBRS’ moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020.

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

-- The credit rating actions are the result of collateral performance to date and Morningstar DBRS’ assessment of future performance assumptions.

-- The transactions’ capital structures and the form and sufficiency of available credit enhancement.

-- For GLS Auto Receivables Issuer Trust 2020-3 and GLS Auto Receivables Issuer Trust 2020-4, losses are tracking below Morningstar DBRS’ initial base case CNL expectations. The current level of hard credit enhancement and estimated excess spread are sufficient to support the Morningstar DBRS’ projected remaining cumulative net loss assumption at a multiple of coverage commensurate with the credit ratings.

-- For GLS Auto Receivables Issuer Trust 2023-1, losses are tracking above Morningstar DBRS’ initial base case CNL expectation. However, due to the transaction structure, credit enhancement has increased for all classes mitigating the weaker than expected collateral performance. The current level of hard credit enhancement and estimated future excess spread are sufficient to support the Morningstar DBRS’ projected remaining cumulative net loss assumption at a multiple of coverage commensurate with the credit ratings.

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

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (January 23, 2024) at https://dbrs.morningstar.com/research/427030.

Notes:
The principal methodology applicable to the credit ratings is DBRS Morningstar Master U.S. ABS Surveillance (October 22, 2023), https://dbrs.morningstar.com/research/422279.

Other methodologies referenced in this transaction are listed at the end of this press release.

The credit ratings were initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for these credit rating actions.

Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with these credit rating actions.

This is a solicited credit rating.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process.

DBRS, Inc.
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The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Operational Risk Assessment for U.S. ABS Servicers (July 20, 2023),
https://dbrs.morningstar.com/research/417415
-- Operational Risk Assessment for U.S. ABS Originators (July 20, 2023),
https://dbrs.morningstar.com/research/417416
-- Legal Criteria for U.S. Structured Finance (December 7, 2023),
https://dbrs.morningstar.com/research/425081
-- Rating U.S. Structured Finance Transactions (October 30, 2023),
https://dbrs.morningstar.com/research/422592
-- Rating U.S. Retail Auto Loan Securitizations (May 9, 2023),
https://dbrs.morningstar.com/research/413731

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at [email protected].