DBRS Assigns Rating to MACRO Trust, Senior Short-Term Notes, Series 2008-2

DBRS has today assigned a rating of R-1 (high) (sf) to the Senior Short-Term Notes, Series 2008-2 (the Notes) issued by MACRO Trust (the Trust). The rating assignment is based on the addition of a new transaction (Transaction 1) to the Trust on February 16, 2011 and the factors listed below.

The Trust is a multi-seller, multi-asset securitization conduit administered by Canadian Imperial Bank of Commerce (CIBC). There are no restrictions concerning asset types, but each asset purchase supporting the Notes is subject to prior review by DBRS and CIBC.

The rating for the Series 2008-2 Notes is based on the following considerations:

(1) High credit enhancement levels consistent with similarly rated programs in Canada.

(2) The liquidity facilities meet DBRS’s Global Liquidity Standard (GLS) and are available to assist the Trust in repaying the Notes if the Trust is not able to issue new Notes to do so.

(3) A required minimum credit rating of AA (low) or R-1 (middle) or their equivalent for Liquidity Providers and Credit Enhancers and A (high) or R-1 (middle) or their equivalent for Hedge Counterparties unless otherwise approved by DBRS.

(4) All transactions are reviewed by DBRS prior to initial funding by the Trust.

(5) The significant experience of CIBC in structuring securitization transactions and in administration of securitization vehicles.

As part of DBRS’s ongoing efforts to increase the transparency of reporting surrounding asset-backed commercial paper (ABCP) conduit activity, DBRS has today released a Transaction Summary report providing details of Transaction 1, which consists of a portfolio of trade receivables originated by a commercial entity operating in Canada and the United States.

Notes:
The applicable methodologies are Rating Canadian ABCP and Rating Canadian Trade Receivables Securitization Transactions, which can be found on our website under Methodologies.