DBRS Confirms SURE Trust’s Senior Short-Term Notes, Series 2015-1 at R-1 (high) (sf)

DBRS Limited (DBRS) confirmed the rating of the Senior Short-Term Notes, Series 2015-1 (the Notes) issued by SURE Trust (the Trust) at R-1 (high) (sf) as part of its annual review of publicly rated asset-backed commercial paper (ABCP) conduits. The confirmation is part of DBRS’s continued effort to provide timely credit rating opinions and increased transparency to market participants.

The Trust is a multi-seller, multi-asset securitization conduit administered by the Canadian Imperial Bank of Commerce (CIBC; Long-Term Issuer Rating of AA with a Stable trend by DBRS). The Trust engages in only traditional asset transactions. Assets and/or interests acquired by the Trust from sellers (the Assets) are subject to eligibility criteria and/or confirmation from DBRS. As at August 31, 2018, the Assets backing the Notes consisted of auto loans (27.7%), equipment loans and leases (22.3%), auto leases (17.0%), conventional mortgages (12.3%), credit card receivables (11.6%), auto fleet (9.0%) and legislated utilities collections (0.1%).

The rating confirmation is based on the following considerations:

(1) Credit enhancement levels that are consistent with similarly rated programs in Canada. From inception, every transaction funded by the Notes has been independently structured to meet a AAA standard.

(2) The liquidity facilities meet DBRS’s Global Liquidity Standard and are available to assist the Trust in repaying the Notes if the Trust is not able to issue new Notes to do so. The commitment amount equals at least the face value (including interest) of all outstanding Notes.

(3) Minimum credit ratings of “A” or R-1 (low) or their equivalent for liquidity providers, credit enhancers and hedge counterparties are required, unless otherwise approved by DBRS.

(4) The Assets, through Securitization Agreements, are typically structured to be bankruptcy remote from the sellers, and the bankruptcy remoteness is supported by legal opinions.

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

(6) The performance of the underlying collateral is strong.

(7) CIBC has significant experience in structuring, administering and managing multi-asset, multi-seller securitization programs.

CIBC currently administers four ABCP conduits with an aggregate notes outstanding amount of $7,412,300,312 as at August 31, 2018.

Notes:
All figures are in Canadian dollars unless otherwise noted.

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link under Related Documents or by contacting us at info@dbrs.com.

The principal methodology is Master Canadian Structured Finance Surveillance Methodology, which can be found on dbrs.com under Methodologies & Criteria.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

DBRS will publish a full report shortly that will provide additional analytical detail on this rating action. If you are interested in receiving this report, contact us at info@dbrs.com.