DBRS Morningstar Takes Rating Action on Class F from CPS Auto Receivables Trust 2016-A

DBRS, Inc. (DBRS Morningstar) downgraded the rating of Class F from CPS Auto Receivables Trust 2016-A to CCC (sf) from BB (low). Additionally, DBRS Morningstar removed the Series 2016-A, Class F from Under Review with Negative Implications where it was placed on July 14 2020.

The rating actions are based on the following analytical considerations:
-- The transaction assumptions consider DBRS Morningstar’s set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary “Global Macroeconomic Scenarios: March 2021 Update,” published on March 17, 2021. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, that have been regularly updated. The scenarios were last updated on March 17, 2021, 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.

-- The collateral performance to date and DBRS Morningstar's assessment of future performance. As of the March 2021 payment date, the pool has amortized to a pool factor of 9.11% and has incurred CNL to date of 20.26%.

-- Available credit enhancement: The only form of credit enhancement available to Class F currently is the reserve account. The current reserve account balance is approximately $1.2 million as of March 15, 2021, compared with the required amount of approximately $3.4 million. The transaction was structured with overcollateralization; however, due to higher than initially expected losses the overcollateralization available to Class F has been depleted.

-- The current level of hard credit enhancement and estimated excess spread are sufficient to support DBRS Morningstar’s remaining projected cumulative net loss at a coverage multiple commensurate with the CCC (sf) rating.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

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

The principal methodology is DBRS Morningstar Master U.S. ABS Surveillance (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 not 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.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

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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