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

DBRS Limited (DBRS Morningstar) confirmed the rating on the Series A Notes (the Notes) issued by Canadian Master Trust (the Trust) at R-1 (high) (sf) as part of its annual review of publicly rated asset-backed commercial paper conduits. The confirmation is part of DBRS Morningstar’s continued effort to provide timely credit rating opinions and increased transparency to market participants.

The Trust is a multiseller, multi-asset securitization program administered by BMO Nesbitt Burns Inc. (BMO NB). The Trust engages in traditional asset transactions. Assets and/or interest acquired by the Trust from sellers (the Assets) are subject to eligibility criteria and/or confirmation from DBRS Morningstar. As of January 2023, the conduit funded a diversified pool of assets. Of the total assets, auto loans represented 26.0%, auto fleet loans represented 18.7%, auto leases represented 16.5%, residential mortgages represented 14.8%, franchise loans represented 11.2%, insurance premium loans represented 5.3%, commercial mortgages represented 4.2%, and auto rental represented 3.3%.

RATING RATIONALE
The rating confirmation is based on the following considerations:

(1) Credit enhancement levels are consistent with similarly rated programs in Canada. From inception, every transaction funded by the Notes has been independently structured to meet a AAA standard.

(2) The liquidity facility available to the Trust meets DBRS Morningstar’s global liquidity standard and is available to assist the Trust in repaying interest and principal on maturing Notes and/or to honour funding obligations in the event that the Trust is not able to issue new Notes to do so. The commitment amount equals at least the face value (including interest) of all outstanding Notes.

(3) Minimum credit ratings of “A” or R-1 (low) by DBRS Morningstar (or equivalent) for liquidity providers, credit enhancers, and hedge counterparties are required, unless the Rating Agency Condition is otherwise satisfied.

(4) The Assets, through securitization agreements, are typically structured to be bankruptcy remote from the sellers, and the bankruptcy remoteness is supported by legal opinions.

(5) DBRS Morningstar reviews all transactions prior to initial funding by the Trust.

(6) The performance of the underlying collateral across all asset classes funded is strong.

(7) BMO NB has significant experience in structuring, administering, and managing multi-asset, multiseller securitization programs.

BMO NB administered two publicly rated multiseller conduits with an aggregate outstanding amount of $4,743,880,567 as of February 28, 2023.

The performance characteristics of the conduits are available and updated each month in DBRS Morningstar’s Monthly Canadian ABCP Report, which can be found on www.dbrsmorningstar.com.

ENVIRONMENTAL, SOCIAL, GOVERNANCE (ESG) CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

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/396929 (May 17, 2022).

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

The principal methodology applicable to the rating is Master Canadian Structured Finance Surveillance Methodology (December 13, 2022; https://www.dbrsmorningstar.com/research/407359).

Other methodologies referenced in this transaction are listed at the end of this press release.

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.

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 rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the rating process for this rating action.

DBRS Morningstar had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

This is a solicited credit rating.

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 at www.dbrsmorningstar.com.

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

DBRS Limited
DBRS Tower, 181 University Avenue, Suite 700
Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577

The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

Rating Canadian ABCP and Related Enhancement Features (March 3, 2023; https://www.dbrsmorningstar.com/research/410528)

Legal Criteria for Canadian Structured Finance (June 22, 2022; https://www.dbrsmorningstar.com/research/398729)

Derivatives Criteria for Canadian Structured Finance (June 22, 2022; https://www.dbrsmorningstar.com/research/398728)