Morningstar DBRS Finalizes Provisional Credit Ratings on Bridgecrest Lending Auto Securitization Trust 2024-2

DBRS, Inc (Morningstar DBRS) finalized its provisional credit ratings on the following classes of notes issued by Bridgecrest Lending Auto Securitization Trust 2024-2 (BLAST 2024-2 or the Issuer):

-- $58,500,000 Class A-1 Notes at R-1 (high) (sf)
-- $130,525,000 Class A-2 Notes at AAA (sf)
-- $130,525,000 Class A-3 Notes at AAA (sf)
-- $55,650,000 Class B Notes at AA (sf)
-- $90,300,000 Class C Notes at A (sf)
-- $90,300,000 Class D Notes at BBB (sf)
-- $39,200,000 Class E Notes at BB (high) (sf)

CREDIT RATING RATIONALE/DESCRIPTION
The credit ratings are based on Morningstar DBRS's review of the following analytical considerations:

(1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement.
-- Credit enhancement is in the form of overcollateralization, subordination, a fully funded reserve fund, and excess spread, if any. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected cumulative net loss assumption under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date for each respective class.

(2) BLAST 2024-2 provides for the Notes' coverage multiples that are slightly below the Morningstar DBRS range of multiples set forth in the criteria for this asset class. Morningstar DBRS believes that this is warranted, given the magnitude of expected loss, company history, and structural features of the transaction.

(3) The Morningstar DBRS CNL assumption is 24.50% based on the expected pool composition.

(4) The transaction assumptions consider Morningstar DBRS's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: March 2024 Update," published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020.

(5) The transaction parties' capabilities with regard to originations, underwriting, and servicing.
-- DriveTime has an experienced and stable management team and has had relatively stable performance in carrying economic environments because of its expertise in the subprime auto market.
-- Morningstar DBRS has performed an operational review of DriveTime and Bridgecrest and considers the entities acceptable originators and servicers of subprime auto loans.
-- Morningstar DBRS did not perform an operational review of GoFi given their relatively small contribution to the pool.
-- The Company has made substantial investments in technology and infrastructure to continue to improve its ability to predict borrower behavior, manage risk, and mitigate loss.
-- DriveTime has centrally developed and maintained underwriting and loan servicing platforms. Underwriting is performed in the DriveTime dealerships by specially trained DriveTime employees.
-- Computershare, an experienced auto-loan servicer, is the standby servicer for the portfolio in this transaction.

(6) The quality and consistency of historical static pool data for DriveTime originations and performance of the DriveTime auto loan portfolio.

(7) 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 DriveTime, that the trust has a valid first-priority security interest in the assets, and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance."

The transaction represents a securitization of a portfolio of motor vehicle retail installment sales contracts originated by DriveTime Car Sales Company, LLC and GoFi, LLC. DriveTime Car Sales Company, LLC is a wholly owned subsidiary of DriveTime, a leading used-vehicle retailer in the United States that focuses primarily on the sale and financing of vehicles to the subprime market. GoFi is an AI-enabled, digital-first lending platform primarily focused on franchise dealers.

The rating on the Class A Notes reflects 55.85% of initial hard credit enhancement provided by the subordinated notes in the pool (39.35%), the reserve account (1.50%), and OC (15.00%). The ratings on the Class B, C, D, and E Notes reflect 47.90%, 35.00%, 22.10%, and 16.50% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure.

Morningstar DBRS' credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the Noteholders' Monthly Accrued Interest and the related Note Balance.

Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligations that are not financial obligations are the related interest on unpaid Noteholders' Interest Carryover Shortfall for each of the rated notes.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

ENVIRONMENTAL, SOCIAL, AND 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 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; https://dbrs.morningstar.com/research/427030).

Notes:
All figures are in U.S. dollars unless otherwise noted.  
 
The principal methodology applicable to the credit ratings is Rating U.S. Retail Auto Loan Securitizations (May 9, 2023; https://dbrs.morningstar.com/research/413731/rating-us-retail-auto-loan-securitizations)  
 
Other methodologies referenced in this transaction are listed at the end of this press release.  

The credit rating was initiated at the request of the rated entity. 

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

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

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.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277

The credit 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 (March 21, 2024), https://dbrs.morningstar.com/research/430003/operational-risk-assessment-for-us-abs-servicers

Operational Risk Assessment for U.S. ABS Originators (March 21, 2024), https://dbrs.morningstar.com/research/430004/operational-risk-assessment-for-us-abs-originators

Rating U.S. Structured Finance Transactions (April 15, 2024), https://dbrs.morningstar.com/research/431204/rating-us-structured-finance-transactions

Legal Criteria for U.S. Structured Finance (April 15, 2024), https://dbrs.morningstar.com/research/431205

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