DBRS Morningstar Confirms Rating on GM Financial Automobile Leasing Trust 2018-PP10

DBRS, Inc. (DBRS Morningstar) has confirmed the AAA (sf) rating of the Series 2018-PP10 Note issued by GM Financial Automobile Leasing Trust 2018-PP10. The performance of the transaction is such that credit enhancement is sufficient to cover the DBRS Morningstar loss expectations at the current rating level.

As of the November 2020 Distribution Date, credit enhancement was 43.62%. The Indenture Note factor was 22.38%. The pool factor of the Aggregate Securitization Value of the collateral was 33.24%. Delinquencies aged 30-plus days were 0.87% and delinquencies aged 60-plus days were 0.28%. The cumulative credit loss rate was -0.08%. The cumulative residual gain on returned vehicles was over 100%.

Confirmation on the notes considers DBRS Morningstar’s set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary “Global Macroeconomic Scenarios: December Update,” published on December 2, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have been regularly updated. The scenarios were last updated on December 2, 2020, and are reflected in DBRS Morningstar’s rating analysis. The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario factors in increasing success in containment during the first half of 2021, enabling the continued relaxation of restrictions.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at https://www.dbrsmorningstar.com/research/357792.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is the DBRS Morningstar Master U.S. ABS Surveillance Methodology (May 27, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

This rating is endorsed by DBRS Ratings Limited for use in the European Union. The following additional regulatory disclosures apply to endorsed ratings:

The last rating action on this transaction took place on December 16, 2019, when the security was upgraded to AAA (sf) from AA (sf).

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Lead Analyst: Hollie Reddington, Vice President, U.S. ABS – Global Structured Finance
Rating Committee Chair: Chris D’Onofrio, Managing Director, Head of U.S. ABS
Global Structured Finance DBRS, Inc.
Initial Rating Date: December 21, 2018

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

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DBRS Morningstar Master U.S. ABS Surveillance Methodology (May 27, 2020) https://www.dbrsmorningstar.com/research/361480/dbrs-morningstar-master-us-abs-surveillance