DBRS Morningstar Confirms Storm King Funding’s Series 1 ABCP Notes at R-1 (high) (sf)

DBRS Limited (DBRS Morningstar) confirmed Storm King Funding’s (SKF) Series 1 Asset-Backed Commercial Paper Notes rating at R-1 (high) (sf). The rating confirmation is based on the indirect assignment of a transaction to SKF (Transaction 95) from Lakeshore Trust (Transaction 95) on November 16, 2020.

As part of DBRS Morningstar’s ongoing efforts to increase the transparency of reporting asset-backed commercial paper conduit activity, DBRS Morningstar has also released a transaction summary report providing details of Transaction 95, which consists of a portfolio of conventional home equity lines of credit originated by a chartered bank operating in Canada.

DBRS Morningstar considered additional analyses and, where appropriate, additional adjustments to expected performance as a result of the global efforts to contain the spread of Coronavirus Disease (COVID-19). The DBRS Morningstar Sovereigns group initially published its outlook on the coronavirus’ impact on key economic indicators for the 2020–22 time frame in April 2020. The scenarios were updated on November 3, 2020. For details, see “DBRS Morningstar: No Change to Global Macroeconomic Scenarios ” at https://www.dbrsmorningstar.com/research/369603/dbrs-morningstar-no-change-to-global-macroeconomic-scenarios. DBRS Morningstar’s analysis considered impacts consistent with the moderate scenario in the referenced commentary.

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 methodologies are Rating Canadian Residential Mortgages, Home Equity Lines of Credit and Reverse Mortgages (November 3, 2020) and Rating Canadian ABCP and Related Enhancement Features (March 18, 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.

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.

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

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