DBRS Morningstar Finalizes Provisional Ratings on Bridgecrest Lending Auto Securitization Trust 2023-1

DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on the following classes of notes issued by Bridgecrest Lending Auto Securitization Trust 2023-1 (the Issuer) as follows:

-- $66,000,000 Class A-1 Notes at R-1 (high) (sf)
-- $126,300,000 Class A-2 Notes at AAA (sf)
-- $126,200,000 Class A-3 Notes at AAA (sf)
-- $60,550,000 Class B Notes at AA (sf)
-- $81,550,000 Class C Notes at A (sf)
-- $94,500,000 Class D Notes at BBB (sf)
-- $43,400,000 Class E Notes at BB (sf)

CREDIT RATING RATIONALE/DESCRIPTION

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

(1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement.
-- Credit enhancement is in the form of overcollateralization, subordination, a fully funded reserve fund, and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date.

(2) BLAST 2023-1 provides for the Notes’ coverage multiples that are slightly below the DBRS Morningstar range of multiples set forth in the criteria for this asset class. DBRS Morningstar believes that this is warranted, given the magnitude of expected loss, company history, and structural features of the transaction.

(3) The DBRS Morningstar CNL assumption is 24.10% based on the pool composition.

(4) The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: September 2023 Update,” published on September 28, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020.

(5) The transaction parties’ capabilities with regard to originations, underwriting, and servicing.
-- DriveTime has an experienced and stable management team and has had relatively stable performance in carrying economic environments because of its expertise in the subprime auto market.
-- DBRS Morningstar has performed an operational review of DriveTime and Bridgecrest and considers the entities acceptable originators and servicers of subprime auto loans.
-- DBRS Morningstar did not perform an operational review of GoFi given their relatively small contribution to the pool.
-- The Company has made substantial investments in technology and infrastructure to continue to improve its ability to predict borrower behavior, manage risk, and mitigate loss.
-- DriveTime has centrally developed and maintained underwriting and loan servicing platforms. Underwriting is performed in the DriveTime dealerships by specially trained DriveTime employees.
-- Computershare, an experienced auto-loan servicer, is the standby servicer for the portfolio in this transaction.

(6) The quality and consistency of historical static pool data for DriveTime originations and performance of the DriveTime auto loan portfolio.

(7) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with DriveTime, that the trust has a valid first-priority security interest in the assets, and the consistency with the DBRS Morningstar “Legal Criteria for U.S. Structured Finance.”

The transaction represents a securitization of a portfolio of motor vehicle retail installment sales contracts originated by DriveTime Car Sales Company, LLC and GoFi, LLC. DriveTime Car Sales Company, LLC is a wholly owned subsidiary of DriveTime, a leading used-vehicle retailer in the United States that focuses primarily on the sale and financing of vehicles to the subprime market. GoFi is an AI-enabled, digital-first lending platform primarily focused on franchise dealers.

The rating on the Class A Notes reflects 56.00% of initial hard credit enhancement provided by the subordinated notes in the pool (40.00%), the reserve account (1.50%), and OC (14.50%). The ratings on the Class B, C, D, and E Notes reflect 47.35%, 35.70%, 22.20%, and 16.00% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure.

DBRS Morningstar’s credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Noteholders’ Monthly Accrued Interest and the related Note Balance.

DBRS Morningstar’s credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligations that are not financial obligations are the related interest on unpaid Noteholders’ Interest Carryover Shortfall for each of the rated notes.

DBRS Morningstar’s long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The DBRS Morningstar short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

ENVIRONMENTAL, SOCIAL, 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 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 (July 4, 2023)
https://www.dbrsmorningstar.com/research/416784/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

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

The principal methodology applicable to the credit rating is Rating U.S. Retail Auto Loan Securitizations (May 9, 2023) https://www.dbrsmorningstar.com/research/413731

Other methodologies referenced in this transaction are listed at the end of this press release.

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.

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

DBRS Morningstar had access to the accounts, management and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

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://www.dbrsmorningstar.com/about/methodologies.

Rating U.S. Structured Finance Transactions (October 22, 2023) https://www.dbrsmorningstar.com/research/422273/rating-us-structured-finance-transactions

Operational Risk Assessment for U.S. ABS Servicers (July 20, 2023) https://www.dbrsmorningstar.com/research/417415/operational-risk-assessment-for-us-abs-servicers

Operational Risk Assessment for U.S. ABS Originators (July 20, 2023) https://www.dbrsmorningstar.com/research/417416/operational-risk-assessment-for-us-abs-originators

Legal Criteria for U.S. Structured Finance (December 7, 2022)
https://www.dbrsmorningstar.com/research/407008/legal-criteria-for-us-structured-finance

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