Morningstar DBRS Takes Credit Rating Actions on Three Wheels Fleet Lease Funding 1 LLC Transactions

DBRS, Inc. (Morningstar DBRS) reviewed its credit ratings on nine classes of notes issued by three Wheels Fleet Lease Funding 1 LLC transactions. Of the nine classes reviewed, Morningstar DBRS upgraded its credit ratings on two classes and confirmed its credit ratings on seven classes.

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.

-- One-notch upgrades for Class B and Class C of Wheels Fleet Lease Funding 1 LLC, Series 2022-1, which have adequate credit enhancement to cover current net loss expectations based on the number of obligors that are stressed for the corresponding credit rating category. Series 2022-1 has begun to amortize following a six month revolving period with a current pool factor of 50.63%.

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

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

-- The credit quality of the collateral pools and historical performance, with low delinquencies and charge-offs to date.

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 Morningstar DBRS Master U.S. ABS Surveillance (February 22, 2024), https://dbrs.morningstar.com/research/428506.

Other methodologies referenced in these transactions 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 and other relevant internal documents of the rated entity or its related entities in connection with these credit rating actions.

These are solicited credit ratings.

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

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The credit rating methodologies used in the analysis of these transactions can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Operational Risk Assessment for U.S. ABS Servicers (February 22, 2024), https://dbrs.morningstar.com/research/428505
-- Operational Risk Assessment for U.S. ABS Originators (February 22, 2024), https://dbrs.morningstar.com/research/428504
-- Legal Criteria for U.S. Structured Finance (December 7, 2023),
https://dbrs.morningstar.com/research/425081
-- Rating U.S. Structured Finance Transactions (February 22, 2024),
https://dbrs.morningstar.com/research/428503
-- Rating U.S. Auto Fleet Lease Securitizations (September 25, 2023),
https://dbrs.morningstar.com/research/421024

For more information on these credits or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.