DBRS came out with its U.S. auto loan ABS surveillance methodology, which describes its surveillance review process, including rating committee, rating actions and disclosure, as well as the surveillance methodology DBRS uses to analyze and monitor auto loan ABS transactions for potential rating actions.

The report also includes a sample Performance Analytics Report (PAR). This comprises monthly reports summarizing the performance for each DBRS-rated security using tables and graphs that provide details on delinquencies and actual versus projected losses, triggers, excess spread levels, overcollateralization, pool statistics and credit enhancement trends.


“The DBRS ratings surveillance process for U.S. auto loan ABS serves to ensure that outstanding ratings are as prospective as possible and reflect all information known and sourced by DBRS,” says Claire Mezzanotte, managing director of U.S. Structured Finance. “Assigned ratings incorporate both qualitative and quantitative factors that have the potential to affect the credit quality of the underlying assets. The rating reviews focus on the technical performance of the bonds, as well as the market forces and parties affecting the performance.”


A press release from the rating agency said that the qualitative factors considered in its credit analysis reflect DBRS' perspectives on the dynamics of the auto industry, the macroeconomic environment and the state of the U.S. consumer. The rating agency also considers industry trends for auto sales and residual values of new and used vehicles and monitors the inter-relationship between manufacturers and captive finance companies.


The quantitative analysis also has a review of performance trends observed from the monthly performance data provided by the servicer or trustee, DBRS stated. The surveillance process also encompasses a review of a deal's parties, including derivative product counterparties, as the transaction may maintain a credit dependency. Rating committees review the outstanding ratings to make sure that the information the agency has is accurate and up-to-date and includes all the necessary information to assess and maintain the rating.

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