KBRA Assigns Preliminary Ratings to GLS Auto Receivables Issuer Trust 2021-2

NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to five classes of notes issued by GLS Auto Receivables Issuer Trust 2021-2 (“GCAR 2021-2”), an asset-backed securitization collateralized by a pool of auto loans.

GCAR 2021-2 will issue five classes of notes totaling $559.90 million. The transaction features a sequential payment structure where principal will be paid on each class of notes sequentially until each class is paid in full. GCAR 2021-2 has initial credit enhancement levels ranging from 52.85% for the Class A notes to 4.10% for the Class E notes. Credit enhancement is comprised of overcollateralization, subordination of junior note classes (except for the Class E notes), a cash reserve account and excess spread.

KBRA applied its Auto Loan ABS Global Rating Methodology and Global Structured Finance Counterparty Methodology as part of its analysis of the transaction’s underlying collateral pool, the proposed capital structure and GLS’s historical static pool data. KBRA considered its operational reviews of GLS, as well as periodic due diligence calls with GLS. Operative agreements and legal opinions will be reviewed prior to closing.

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Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority pursuant to the Temporary Registration Regime. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider.

Contacts

Analytical Contacts

Rahel Avigdor, Senior Director (Lead Analyst)

+1 (646) 731-1203

[email protected]

Alex Luthringer, Senior Analyst

+1 (646) 731-1252

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Eric Neglia, Senior Managing Director (Rating Committee Chair)

+1 (646) 731-2456

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Business Development Contact

Ted Burbage, Managing Director

+1 (646) 731-3325

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