DBRS Morningstar Updates Transaction Summary 49 for Bay Street Funding Trust and King Street Funding Trust

DBRS Limited (DBRS Morningstar) released an updated Transaction Summary report that provides details on Transaction 49 of Bay Street Funding Trust and King Street Funding Trust, which is secured by a Collateral Note backed by a portfolio of automobile, sport-utility vehicle, and light truck retail auto leases originated by a captive auto finance company operating in Canada. The update reflects a one-year extension of the program and a change to available credit enhancement.

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 the coronavirus pandemic 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 the coronavirus pandemic may nonetheless bring other risks to the forefront in coming months and years.

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:
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.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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

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