Morningstar DBRS Takes Credit Rating Actions on Five DT Auto Owner Trust Transactions

DBRS, Inc. (Morningstar DBRS) confirmed 11 credit ratings and upgraded six credit ratings from five DT Auto Owner Trust Transactions transactions as detailed in the summary chart below.

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

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

-- For DT Auto Owner Trust 2021-1 and DT Auto Owner Trust 2021-3, losses are tracking below the Morningstar DBRS initial base-case cumulative net loss (CNL) expectations. 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.

-- For DT Auto Owner Trust 2022-1, DT Auto Owner Trust 2022-3, and DT Auto Owner Trust 2023-2, although losses are tracking above the Morningstar DBRS initial base-case CNL expectations, the current level of hard 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's parties' capabilities regarding originating, underwriting, and servicing.

-- The transaction's capital structures and form and sufficiency of available credit enhancement.

-- The Transaction's 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 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, 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.

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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 (October 28, 2024),
https://dbrs.morningstar.com/research/441840

-- Rating U.S. Structured Finance Transactions (October 28, 2024),
https://dbrs.morningstar.com/research/441883

-- 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.