DBRS Morningstar Confirms Rating on GMF Leasing Warehouse Trust 2016-B

DBRS, Inc. (DBRS Morningstar) confirmed its AA (sf) rating on the Floating Rate Asset Backed Notes (the Notes) issued by GMF Leasing Warehouse Trust 2016-B (the Issuer).

DBRS Morningstar based the confirmation on an increase in the facility size and an extension of the commitment termination date.

The rating rationale includes the following key analytical considerations:

-- The transaction’s capital structure, rating, and form and sufficiency of available credit enhancement.

-- Quality and experience of the Issuer’s management team.

-- The transaction parties’ capabilities with regard to originations, underwriting, and servicing as well as the financial strength of General Motors Financial Company, Inc. (GMF; rated BBB with a Negative trend by DBRS Morningstar).

-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested.

-- The transaction assumptions consider DBRS Morningstar’s set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19) pandemic, 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 also take into consideration observed performance during the 2008–09 financial crisis and the possible impact of stimulus. 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, including raising the expected loss assumptions in consideration of the expected unemployment levels in the moderate scenario.

-- Additional rating considerations related to the decline in used-vehicle values that could affect the residual values of vehicles coming off lease.

-- The legal structure and presence of legal opinions that address the true sale of the Notes to the Issuer, the nonconsolidation of the special-purpose vehicle with GMF, 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” methodology.

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 methodologies are Rating U.S. Auto Lease Securitizations (October 30, 2020), Derivative Criteria for European Structured Finance Transactions (September 24, 2020), and 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 releases: 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.

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

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

The last rating action on this transaction took place on May 21, 2020.

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. DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage: https://www.fca.org.uk/firms/credit-rating-agencies.

Lead Analyst: Christopher O’Connell, Senior Vice President, U.S. ABS – Global Structured Finance
Rating Committee Chair: Tim O’Neil, Managing Director, Canadian ABS – Global Structured Finance
Initial Rating Date: June 1, 2016

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

DBRS, Inc.
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Tel. +1 212 806-3277

-- Rating U.S. Auto Lease Securitizations (October 30, 2020, https://www.dbrsmorningstar.com/research/369101)
-- Derivative Criteria for European Structured Finance Transactions (September 24, 2020, https://www.dbrsmorningstar.com/research/367092)
-- DBRS Morningstar Master U.S. ABS Surveillance (May 27, 2020, https://www.dbrsmorningstar.com/research/361480)