DBRS Morningstar Confirms SOUND Trust and STABLE Trust at R-1 (high) (sf), Releases Transaction Summary

DBRS Limited (DBRS Morningstar) confirmed the rating on the Senior Short-Term Notes, Series 1998-1 issued by SOUND Trust and the rating on the Senior Short Term Notes, Series 2018-1 issued by STABLE Trust (together with SOUND Trust, the Trusts) at R-1 (high) (sf) following the addition of a new transaction (Transaction 87) to the Trusts on October 14, 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 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.

As part of DBRS Morningstar’s ongoing efforts to increase the transparency of reporting asset-backed commercial paper conduit activity, DBRS Morningstar also released a transaction summary report providing details of Transaction 87, which consists of a collateral note that is supported by a security interest in a portfolio of automobile, sport-utility vehicle, and light truck retail auto leases originated by a captive auto finance 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:
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.

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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