Morningstar DBRS Takes Credit Rating Actions on Three United Auto Credit Securitization Trust Transactions

DBRS, Inc. (Morningstar DBRS) upgraded one credit rating, downgraded one credit rating, and confirmed seven credit ratings from three United Auto Credit Securitization Trust transactions as detailed in the summary chart below.

The credit rating actions are based on the following analytical considerations:
-- The collateral performance to date and Morningstar DBRS' assessment of future performance as of the September 2024 payment date.

-- United Auto Credit Securitization Trust 2022-1 has amortized to a pool factor of 18.91% and has a current cumulative net loss (CNL) to date of 23.05%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 19.60%. Consequently, the revised base-case loss expectation was increased to 25.75%. The current level of hard Credit Enhancement (CE) and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at a multiple of coverage commensurate with the credit ratings.

-- United Auto Credit Securitization Trust 2022-2 has amortized to a pool factor of 29.77% and has a current CNL to date of 27.30%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 19.90%. Consequently, the revised base-case loss expectation was increased to 33.50%. As of the September 2024 payment date, the current overcollateralization amount is 0.00% relative to the target of 10.50% of the outstanding receivables balance. Additionally, the transaction structure includes a fully funded non-declining reserve account (RA) of 1.50% of the initial aggregate pool balance. As of the September 2024 payment date, the RA amount has been fully depleted. As a result, the current level of hard CE and estimated excess spread are insufficient to support the current credit rating on the Class E Notes and, consequently, the credit rating has been downgraded to a rating level commensurate with the current implied multiple. While CNL is tracking above the initial expectation, the Class C Notes and the Class D Notes have benefited from deleveraging and have sufficient CE commensurate with the current credit ratings, and Morningstar DBRS has confirmed the credit ratings on these classes.

-- For the Class E Notes in United Auto Credit Securitization Trust 2022-2, given the insufficient level of CE to support the full repayment of interest and principal, the credit rating has been downgraded to `CCC' (sf). In accordance with the applicable Morningstar DBRS credit rating methodology, there is a high probability that the Class E Notes will not receive the full interest and principal payments by the legal final maturity.

-- United Auto Credit Securitization Trust 2023-1 has amortized to a pool factor of 42.09% and has a current CNL to date of 17.55%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 19.50%. Consequently, the revised base-case loss expectation was increased to 26.75%. The current level of hard Credit Enhancement (CE) and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at a multiple of coverage commensurate with the credit ratings.

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

-- The Transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, " Baseline Macroeconomic Scenarios for Rated Sovereigns September 2024 Update," published on September 25, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020.

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 (August 13, 2024) https://dbrs.morningstar.com/research/437781.

Notes:
The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (August 06, 2024) https://dbrs.morningstar.com/research/437535.

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.

These are solicited credit ratings.

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 Originators and Servicers (August 06, 2024),
https://dbrs.morningstar.com/research/437545

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

-- Rating U.S. Structured Finance Transactions (August 06, 2024),
https://dbrs.morningstar.com/research/437571

-- Rating U.S. Retail Auto Loan Securitizations (August 06, 2024),
https://dbrs.morningstar.com/research/437569

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