Approximately $145 million of asset-backed securities affected
NOTE: On November 4, 2021, the press release was corrected as follows: At the end of the press release, the first contact was changed to Amruta Chintawar. Revised release follows.
New York, October 27, 2021 -- Moody's Investors Service ("Moody's") has upgraded
nine classes of bonds issued by seven auto loan securitizations.
The bonds are backed by pools of retail automobile loan contracts originated
and serviced by multiple parties.
The complete rating actions are as follows:
Issuer: Bank of the West Auto Trust 2017-1
Class D Notes, Upgraded to Aaa (sf); previously on Mar 18,
2020 Upgraded to Aa2 (sf)
Issuer: GM Financial Consumer Automobile Receivables Trust 2021-1
Class C Notes, Upgraded to Aaa (sf); previously on Jan 20,
2021 Definitive Rating Assigned Aa1 (sf)
Class D Notes, Upgraded to Aa1 (sf); previously on Jan 20,
2021 Definitive Rating Assigned Aa3 (sf)
Issuer: GM Financial Consumer Automobile Receivables Trust 2021-2
Class C Notes, Upgraded to Aaa (sf); previously on Apr 14,
2021 Definitive Rating Assigned Aa1 (sf)
Class D Notes, Upgraded to Aa2 (sf); previously on Apr 14,
2021 Definitive Rating Assigned Aa3 (sf)
Issuer: USAA Auto Owner Trust 2019-1
Class B Notes, Upgraded to Aaa (sf); previously on Dec 17,
2020 Upgraded to Aa2 (sf)
Issuer: Canadian Pacer Auto Receivables Trust 2018-2
Class C Notes, Upgraded to Aa1 (sf); previously on Apr 16,
2021 Upgraded to Aa3 (sf)
Issuer: Canadian Pacer Auto Receivables Trust 2019-1
Class C Notes, Upgraded to Aa2 (sf); previously on Apr 16,
2021 Upgraded to Aa3 (sf)
Issuer: Canadian Pacer Auto Receivables Trust 2020-1
Class C Notes, Upgraded to Aa3 (sf); previously on Apr 16,
2021 Upgraded to A2 (sf)
RATINGS RATIONALE
The upgrades are primarily driven by the buildup of credit enhancement
due to structural features including a sequential pay structure,
non-declining reserve account and overcollateralization as well
as a reduction in our cumulative net loss expectations for the underlying
pools.
Our lifetime cumulative net loss expectations range between 0.30%
and 2.0%. The loss expectations reflect updated performance
trends on the underlying pools. More recently US consumers have
shown a high degree of resilience owing to the government stimulus and
the relief options offered by servicers.
The principal methodology used in these ratings was "Moody's Global Approach
to Rating Auto Loan- and Lease-Backed ABS" published in
September 2021 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1264141.
Alternatively, please see the Rating Methodologies page on www.moodys.com
for a copy of this methodology.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are greater than necessary to protect
investors against current expectations of loss could lead to an upgrade
of the ratings. Losses could decline from Moody's original expectations
as a result of a lower number of obligor defaults or greater recoveries
from the value of the vehicles securing the obligors promise of payment.
The US job market and the market for used vehicles are also primary drivers
of the transaction's performance. Other reasons for better-than-expected
performance include changes in servicing practices to maximize collections
on the loans or refinancing opportunities that result in a prepayment
of the loan.
Down
Levels of credit protection that are insufficient to protect investors
against current expectations of loss could lead to a downgrade of the
ratings. Losses could increase from Moody's original expectations
as a result of a higher number of obligor defaults or a deterioration
in the value of the vehicles securing the obligors promise of payment.
The US job market and the market for used vehicles are also primary drivers
of the transaction's performance. Other reasons for worse-than-expected
performance include poor servicing, error on the part of transaction
parties, lack of transactional governance and fraud.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and
sensitivity analysis, see the sections Methodology Assumptions and
Sensitivity to Assumptions in the disclosure form. Moody's
Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.
Moody's either did not receive or take into account one or more
third-party due diligence assessment(s) regarding the underlying
assets or financial instruments (the "Due Diligence Assessment(s)")
in this credit rating action for Canadian Pacer Auto Receivables Trust
2018-2, Canadian Pacer Auto Receivables Trust 2019-1,
and Canadian Pacer Auto Receivables Trust 2020-1.
The Due Diligence Assessment(s) referenced herein were prepared and produced
solely by parties other than Moody's. While Moody's
uses Due Diligence Assessment(s) only to the extent that Moody's
believes them to be reliable for purposes of the intended use, Moody's
does not independently audit or verify the information or procedures used
by third-party due-diligence providers in the preparation
of the Due Diligence Assessment(s) and makes no representation or warranty,
express or implied, as to the accuracy, timeliness,
completeness, merchantability or fitness for any particular purpose
of the Due Diligence Assessment(s).
The analysis includes an assessment of collateral characteristics and
performance to determine the expected collateral loss or a range of expected
collateral losses or cash flows to the rated instruments. As a
second step, Moody's estimates expected collateral losses or cash
flows using a quantitative tool that takes into account credit enhancement,
loss allocation and other structural features, to derive the expected
loss for each rated instrument.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
For ratings issued on a program, series, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or note of the
same series, category/class of debt, security or pursuant
to a program for which the ratings are derived exclusively from existing
ratings in accordance with Moody's rating practices. For ratings
issued on a support provider, this announcement provides certain
regulatory disclosures in relation to the credit rating action on the
support provider and in relation to each particular credit rating action
for securities that derive their credit ratings from the support provider's
credit rating. For provisional ratings, this announcement
provides certain regulatory disclosures in relation to the provisional
rating assigned, and in relation to a definitive rating that may
be assigned subsequent to the final issuance of the debt, in each
case where the transaction structure and terms have not changed prior
to the assignment of the definitive rating in a manner that would have
affected the rating. For further information please see the ratings
tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
The ratings have been disclosed to the rated entity or its designated
agent(s) and issued with no amendment resulting from that disclosure.
These ratings are solicited. Please refer to Moody's Policy
for Designating and Assigning Unsolicited Credit Ratings available on
its website www.moodys.com.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Moody's general principles for assessing environmental, social
and governance (ESG) risks in our credit analysis can be found at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1288235.
The Global Scale Credit Rating on this Credit Rating Announcement was
issued by one of Moody's affiliates outside the EU and is endorsed
by Moody's Deutschland GmbH, An der Welle 5, Frankfurt
am Main 60322, Germany, in accordance with Art.4 paragraph
3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies.
Further information on the EU endorsement status and on the Moody's
office that issued the credit rating is available on www.moodys.com.
The Global Scale Credit Rating on this Credit Rating Announcement was
issued by one of Moody's affiliates outside the UK and is endorsed
by Moody's Investors Service Limited, One Canada Square,
Canary Wharf, London E14 5FA under the law applicable to credit
rating agencies in the UK. Further information on the UK endorsement
status and on the Moody's office that issued the credit rating is
available on www.moodys.com.
The below contact information is provided for information purposes only.
Please see the ratings tab of the issuer page at www.moodys.com,
for each of the ratings covered, Moody's disclosures on the
lead rating analyst and the Moody's legal entity that has issued
the ratings.
The relevant office for each credit rating is identified in "Debt/deal
box" on the Ratings tab in the Debt/Deal List section of each issuer/entity
page of the website.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Amruta Chintawar
Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Jinwen Chen
VP - Sr Credit Officer/Manager
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
