DBRS Morningstar Confirms Canadian Master Trust Series A Notes at R-1 (high) (sf)

DBRS Limited (DBRS Morningstar) confirmed the rating on the Series A Notes issued by Canadian Master Trust (the Trust) at R-1 (high) (sf). The rating confirmation is pursuant to the inclusion of a new transaction (Transaction 33) to the Trust on June 2, 2021.

DBRS Morningstar considered additional analyses and, where appropriate, adjustments to expected performance assumptions as a result of the global efforts to contain the spread of the Coronavirus Disease (COVID-19). On March 17, 2021, the DBRS Morningstar Sovereigns group published its outlook on the impact on key economic indicators for the 2021–22 time frame, which was updated from the initial outlook that was published on April 16, 2020, and which has been updated periodically since. For details, see https://www.dbrsmorningstar.com/research/375376. For the rating confirmation, DBRS Morningstar’s analysis considered impacts consistent with the moderate scenario in the referenced commentary.

As part of DBRS Morningstar’s ongoing efforts to increase the transparency of reporting asset-backed commercial paper (ABCP) conduit activity, DBRS Morningstar has also released a transaction summary report providing details of Transaction 33, which consists of a portfolio of insurance premium loan receivables originated by an insurance premium loan company operating in Canada.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

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

The principal methodologies are Rating Canadian Structured Finance Transactions (April 13, 2021) and Rating Canadian ABCP and Related Enhancement Features (March 12, 2021), 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].

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].

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