DBRS Morningstar Takes Rating Actions on Five California Republic Auto Receivables Trusts

DBRS, Inc. (DBRS Morningstar) confirmed its ratings on the following 16 classes of securities issued by five California Republic Auto Receivables Trusts:

-- Series 2015-4 Notes, Class B at AA (sf)
-- Series 2015-4 Notes, Class C at A (sf)
-- Series 2016-1 Notes, Class A-4 at AAA (sf)
-- Series 2016-1 Notes, Class B at AA (low) (sf)
-- Series 2016-1 Notes, Class C at BBB (sf)
-- Series 2016-2 Notes, Class A-4 at AAA (sf)
-- Series 2016-2 Notes, Class B at AA (low) (sf)
-- Series 2016-2 Notes, Class C at BBB (sf)
-- Series 2017-1 Notes, Class A-4 at AAA (sf)
-- Series 2017-1 Notes, Class B at A (high) (sf)
-- Series 2017-1 Notes, Class C at BBB (sf)
-- Series 2018-1 Notes, Class A-3 at AAA (sf)
-- Series 2018-1 Notes, Class A-4 at AAA (sf)
-- Series 2018-1 Notes, Class B at AAA (sf)
-- Series 2018-1 Notes, Class C at A (high) (sf)
-- Series 2018-1 Notes, Class D at BBB (high) (sf)

DBRS Morningstar also discontinued its ratings on the Series 2015-4 Notes, Class A-4; Series 2017-1 Notes, Class A-3; and Series 2018-1 Notes, Class A-2 issued by California Republic Auto Receivables Trust because of repayment.

The rating confirmations are based on the following analytical considerations:
-- DBRS Morningstar's assessment of how collateral performance could deteriorate because of macroeconomic stresses related to the Coronavirus Disease (COVID-19) pandemic. As the pandemic spreads and its consequences unfold, it is difficult to anticipate the ultimate impact on the variables that drive credit quality. In the context of this highly uncertain environment and in the interest of transparency, DBRS Morningstar released a set of forward-looking macroeconomic scenarios for select economies related to the coronavirus in a commentary titled, “Global Macroeconomic Scenarios: Implications for Credit Ratings,” on April 16, 2020. The moderate and the adverse scenarios are being used in the context of DBRS Morningstar’s rating analysis, with the moderate scenario serving as the primary anchor for current ratings and the adverse scenario serving as a benchmark for sensitivity analysis.

-- DBRS Morningstar’s moderate scenario assumes some success in containment within Q2 2020 and a gradual relaxation of restrictions, enabling most economies to begin a gradual economic recovery in Q3 2020. This moderate scenario primarily considers two economic measures: declining GDP growth and increased unemployment levels for the year.

-- The collateral performance to date and DBRS Morningstar's assessment of future performance, including upward revisions to the expected cumulative net loss (CNL) assumptions consistent with the expected unemployment levels in the moderate scenario. Additional rating considerations related to the coronavirus include potential delays in recoveries caused by auction closures and moratoriums on repossessions in certain states as well as increased loss severity as a result of an oversupply of used vehicles. DBRS Morningstar also considered the potential impact of an increased use of extensions on transaction liquidity.

-- The credit quality and seasoning of the transactions. The transactions are backed by auto loans made to prime and near-prime obligors. Each of the transactions is highly seasoned and has a pool factor of 50% or lower.

-- The level of hard credit enhancement in the form of overcollateralization, subordination, and amounts held in reserve funds has grown as the transactions have amortized because of their sequential-pay nature. As a result, available credit enhancement is sufficient to support the DBRS Morningstar-projected remaining CNL (including an adjustment for the moderate scenario) assumption at a multiple of coverage commensurate with the confirmed ratings.

-- The transaction parties’ capabilities with regard to origination, underwriting, and servicing.

ESG CONSIDERATIONS
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:
The principal methodology is the DBRS Master U.S. ABS Surveillance Methodology (July 31, 2019), 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.

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.

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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