DBRS Morningstar Assigns an R-1 (high) (sf) Rating to MACRO Trust, Senior Short Term Series 2017-1 Notes

DBRS Limited (DBRS Morningstar) assigned an R-1 (high) (sf) rating to the Senior Short Term Series 2017-1 Notes (the Notes) issued by MACRO Trust (MACRO) following the addition of a transaction (Transaction 89) to MACRO on March 21, 2022.

As part of DBRS Morningstar’s ongoing efforts to increase the transparency of reporting asset-backed commercial paper (ABCP) conduit activity, DBRS Morningstar also released a transaction summary report providing details of Transaction 89, which consists of a portfolio of auto lease receivables. DBRS Morningstar rated the transaction pursuant to Schedule D: The DBRS Approach to Rating Canadian ABCP Supported by Full Wrap Liquidity in DBRS Morningstar’s “Rating Canadian ABCP and Related Enhancement Features” methodology (March 2022).

DBRS Morningstar rated this transaction relying upon the sponsor’s liquidity commitment to cover all risks associated with the Notes for the benefit of MACRO, in an amount not less than the face amount of the related ABCP (which includes any accrued and unpaid interest as well as interest to accrue to maturity) and the sponsor’s current short-term rating by DBRS Morningstar (which is R-1(high) with a Stable trend).

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 currency unless otherwise noted.

The principal methodology is Rating Canadian ABCP and Related Enhancement Features (March 3, 2022), 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.

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].

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

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