DBRS Morningstar Confirms Ratings on Banner Trust, Merit Trust, Prime Trust, Zeus Receivables Trust, and Reliant Trust at R-1 (high) (sf)

DBRS Limited (DBRS Morningstar) confirmed its ratings on the Series A Notes of Banner Trust and Reliant Trust and the Senior Short-Term Asset-Backed Notes of Merit Trust, Prime Trust, and Zeus Receivables Trust (collectively, with Banner Trust, Reliant Trust, Merit Trust, and Prime Trust, the Trusts) at R-1 (high) (sf). The rating confirmations are based on the addition of a new transaction to the Trusts (Transaction 92) on September 17, 2021.

The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns, published on September 8, 2021. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. The baseline macroeconomic scenarios reflect the view that, although coronavirus remains a risk to the outlook, uncertainty around the macroeconomic effects of the pandemic has gradually receded. Current median forecasts considered in the baseline macroeconomic scenarios incorporate some risks associated with further outbreaks but remain fairly positive on recovery prospects given expectations of continued fiscal and monetary policy support. The policy response to coronavirus may nonetheless bring other risks to the forefront in coming months and years.

As part of DBRS Morningstar’s ongoing efforts to increase the transparency of reporting on asset-backed commercial paper conduit activity, DBRS Morningstar released a transaction summary report providing details of Transaction 92, which consists of a portfolio of fixed-rate retail loan contracts secured by new and used automobiles, sport-utility vehicles, and light trucks.

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 Auto Retail Loan and Lease Securitizations (October 26, 2020) 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].

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