DBRS Morningstar Confirms Rating on STABLE Trust’s Senior Short-Term Notes, Series 2018-1 at R-1 (high) (sf)

DBRS Limited (DBRS Morningstar) confirmed the rating on the Senior Short-Term Notes, Series 2018-1 (the Notes) issued by STABLE 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 Morningstar’s continued effort to provide timely credit rating opinions and increased transparency to market participants.

The Trust is a multiseller, multi-asset securitization conduit administered by the Canadian Imperial Bank of Commerce (CIBC; rated AA with a Stable trend by DBRS Morningstar). 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 Morningstar. As at June 30, 2020, the Assets backing the Notes consisted of conventional mortgage (25.2%), equipment loans and leases (24.0%), auto loans (21.7%), credit card receivables (18.5%), residential rental equipment (8.4%), and auto fleet (2.2%). The total amount funded stood at $1.6 billion.

The confirmation of the rating is based on the following factors, each of which include additional analysis and, where appropriate, additional stresses to expected performance of funded transactions as a result of the global efforts to contain the spread of the Coronavirus Disease (COVID-19) pandemic. On September 10, 2020, the DBRS Morningstar sovereigns group published its outlook on the impact of the coronavirus on key economic indicators for the 2020–22 time frame, which was updated from the initial outlook that was published on April 16, 2020. For details, please see “Global Macroeconomic Scenarios: September Update.” For the confirmed rating, DBRS Morningstar considered impacts consistent with the moderate scenario in the referenced commentary in its analysis.

(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 Morningstar’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 satisfy the Rating Agency Condition as defined in DBRS Morningstar’s “Legal Criteria for Canadian Structured Finance.”

(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 Morningstar 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, multiseller securitization programs.

CIBC administers four ABCP conduits with an aggregate outstanding note amount of $7,990,252,162 as at June 30, 2020.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

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

The principal methodology is Master Canadian Structured Finance Surveillance Methodology (August 31, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

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 [email protected].

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar 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.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at [email protected].

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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