DBRS Morningstar Assigns Provisional Ratings to Prestige Auto Receivables Trust 2023-1

DBRS, Inc. (DBRS Morningstar) assigned provisional ratings to the following classes of notes to be issued by Prestige Auto Receivables Trust 2023-1 (PART 2023-1 or the Issuer):

-- $41,100,000 Class A-1 Notes at R-1 (high) (sf)
-- $90,160,000 Class A-2 Notes at AAA (sf)
-- $43,590,000 Class B Notes at AA (sf)
-- $40,950,000 Class C Notes at A (sf)
-- $32,030,000 Class D Notes at BBB (sf)
-- $34,230,000 Class E Notes at BB (sf)

RATING RATIONALE/DESCRIPTION
The provisional 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 subordination, overcollateralization (OC), amounts held in the reserve account, and excess spread. Credit enhancement levels are sufficient to support DBRS Morningstar-projected expected cumulative net loss (CNL) assumptions under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and the payment of principal by the Legal Final Maturity Date.

(2) The transaction parties’ capabilities with regard to originations, underwriting, and servicing.
-- DBRS Morningstar has performed an operational review of Prestige Financial Services, Inc. (Prestige or the Company) and considers the entity to be an acceptable originator and servicer of subprime auto receivables. Additionally, the transaction has an acceptable backup servicer.
-- The Company’s management team has extensive experience. The Company has been lending to the subprime auto sector since 1994 and has considerable experience lending to Chapter 7 and 13 obligors.

(3) The credit quality of the collateral and performance of Prestige’s auto loan portfolio.
-- Prestige shared vintage CNL data with DBRS Morningstar broken down by credit tier, payment-to-income ratio, and other buckets.
-- The Company continues to evaluate and adjust its underwriting standards as necessary to target and maintain the credit quality of its loan portfolio.
-- The DBRS Morningstar rating category loss multiples for each rating assigned are within the published criteria.

(4) The DBRS Morningstar CNL assumption is 17.00% based on the expected cutoff date pool composition.
-- The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2022 Update,” published on December 21, 2022. 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 legal structure and presence of legal opinions that are expected to address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with Prestige, and that the Trust has a valid first-priority security interest in the assets (consistent with the DBRS Morningstar Legal Criteria for U.S. Structured Finance).

The ratings on the Class A-1 and Class A-2 Notes reflect 59.00% of initial hard credit enhancement provided by subordinated notes in the pool (48.25%), the reserve account (1.00%), and OC (9.75%). The ratings on the Class B, Class C, Class D, and Class E Notes reflect 45.05%, 31.95%, 21.70%, and 10.75% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/ Social/ Governance factors 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 (May 17, 2022; https://www.dbrsmorningstar.com/research/396929).

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

The principal methodology applicable to the ratings is Rating U.S. Retail Auto Loan Securitizations (May 10, 2022; https://www.dbrsmorningstar.com/research/396623).

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 rating was initiated at the request of the rated entity.

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

This is a solicited credit rating.

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.

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277

The 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 (February 6, 2023) https://www.dbrsmorningstar.com/research/409449

Operational Risk Assessment for U.S. ABS Servicers (April 5, 2023) https://www.dbrsmorningstar.com/research/412303

Operational Risk Assessment for U.S. ABS Originators (April 5, 2023) https://www.dbrsmorningstar.com/research/412302

Legal Criteria for U.S. Structured Finance (December 7, 2022) https://www.dbrsmorningstar.com/research/407008

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