Morningstar DBRS Confirms Credit Ratings on GMF Canada Leasing Trust 2024-1

DBRS Limited (Morningstar DBRS) confirmed the credit ratings on the following notes issued by GMF Canada Leasing Trust 2024-1:

-- Class A-1 Asset Backed Notes, Series 2024-1 (the Class A-1 Notes) at AAA (sf)
-- Class A-2 Asset Backed Notes, Series 2024-1 (the Class A-2 Notes) at AAA (sf)
-- Class A-3 Asset Backed Notes, Series 2024-1 (the Class A-3 Notes; collectively with the Class A-1 Notes and the Class A-2 Notes, the Class A Notes) at AAA (sf)
-- Class B Asset Backed Notes, Series 2024-1 (the Class B Notes, together with the Class A Notes, the Series 2024-1 Notes) at AA (sf)

The collateral consists of Senior and Subordinated Borrower Notes (the 2024-1 Borrower Notes) that are supported by a first-priority security interest in a portfolio of closed-end lease contracts of new automobiles, light-duty trucks, and utility vehicles (the Designated Pool). The lease contracts were originated through authorized General Motors dealers in Canada.

Collections from the Designated Pool are used to repay the 2024-1 Borrower Notes, and the proceeds from the 2024-1 Borrower Notes are used to repay the 2024-1 Notes. Collections from the Designated Pool generally include scheduled monthly lease payments (including residual value payments in the case of customer-retained vehicles, as well as proceeds from vehicle sales either at the end of the lease term or earlier in the case of prepayments and defaults). Proceeds from excess mileage and wear-and-tear charges, if any, also form part of the collections from the Designated Pool.

(1) Total credit enhancement available represented 23.5%, 19.0%, and 14.9% of the balance of the 2024-1 Notes for the Class A, Class B, and Class C Notes, respectively, as of July 2024 and continues to provide sufficient enhancement to support the credit rating actions. Credit enhancement consisted of a nonamortizing cash account and overcollateralization equivalent to 0.3% and 9.2%, respectively, of the balance of the 2024-1 Notes as of July 2024, in addition to subordination.

(2) Based on the discount rate applied to the Designated Pool, there is approximately 4.6% (annualized) of excess spread available net of the cost of funds and a monthly servicer fee to offset any collection shortfall on a monthly basis.

(3) The collateral for the 2024-1 Notes has performed well since closing. To date, the trust has reported cumulative losses of 8 basis points. The Designated Pool has posted a cumulative residual value gain of 1 bps as of July 2024.

(4) General Motors Financial of Canada, Ltd (rated BBB (high) with a Stable trend by Morningstar DBRS) has demonstrated its ability to manage successful securitization transactions supported by auto leases in Canada.

Morningstar DBRS monitors the performance of each transaction to identify any deviation from its expectation at issuance and to ensure the credit ratings remain appropriate. The review is predicated upon the timely receipt of performance information from the related providers.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

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.

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 Factors in Credit Ratings (13 August 2024) https://dbrs.morningstar.com/research/437781.

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

The principal methodology applicable to the credit ratings is Master Canadian Structured Finance Surveillance Methodology (06 August 2024) https://dbrs.morningstar.com/research/437538.

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

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 info-DBRS@morningstar.com.

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 Limited
DBRS Tower, 181 University Avenue, Suite 700
Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577

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

Legal and Derivatives Criteria for Canadian Structured Finance (12 August 2024)
https://dbrs.morningstar.com/research/437761
Operational Risk Assessments for Canadian Structured Finance (06 August 2024)
https://dbrs.morningstar.com/research/437547
Rating Canadian Auto Retail Loan and Lease Securitizations (27 August 2024)
https://dbrs.morningstar.com/research/438382

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/410863.

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