DBRS Morningstar Assigns Provisional Ratings to OneMain Direct Auto Receivables Trust 2021-1

DBRS, Inc. (DBRS Morningstar) assigned provisional ratings to the following classes of notes to be issued by OneMain Direct Auto Receivables Trust 2021-1 (ODART 2021-1 or the Issuer):

-- $464,212,000 Class A Notes at AAA (sf)
-- $77,368,000 Class B Notes at AAA (sf)
-- $41,052,000 Class C Notes at AA (sf)
-- $17,368,000 Class D Notes at A (sf)

The provisional ratings are based on DBRS Morningstar’s review of the following analytical considerations:

-- The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios For Rated Sovereigns,” published on September 8, 2021. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. The baseline macroeconomic scenarios reflect DBRS Morningstar’s view that, although the coronavirus pandemic remains a risk to the outlook, uncertainty around the macroeconomic effects of the pandemic has gradually receded. Current median forecasts considered in the baseline macroeconomic scenarios incorporate some risks associated with further outbreaks, but remain fairly positive on recovery prospects given expectations of continued fiscal and monetary policy support. The policy response to the coronavirus pandemic may nonetheless bring other risks to the forefront in the coming months and years.
-- Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement.
-- The ODART 2021-1 multiple assumptions for the Class A, B, C, and D Notes are at the higher end of the DBRS Morningstar range set forth in the criteria for this asset class. DBRS Morningstar believes that the higher multiples are warranted given the magnitude of expected loss and structural features of the transaction.
-- The transaction parties’ capabilities with regard to originations, underwriting, and servicing.
-- The quality and consistency of provided historical static pool data for OneMain Finance Corporation originations and performance of the OneMain Direct Auto loan portfolio.
-- The legal structure and presence of legal opinions that will address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with OneMain, that the trust has a valid first-priority security interest in the assets, and consistency with DBRS Morningstar’s “Legal Criteria for U.S. Structured Finance.”

The provisional rating on the Class A Notes reflects the 27.00% of initial hard credit enhancement provided by the subordinated notes in the pool, the Reserve Account (0.50%), and overcollateralization (5.00%). The ratings on the Class B, C, and D Notes reflect 14.75%, 8.25%, and 5.50% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure.

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 in U.S. dollars unless otherwise noted.

The principal methodology is Rating U.S. Retail Auto Loan Securitizations (May 10, 2021), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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.

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

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info@dbrsmorningstar.com.

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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