Morningstar DBRS Confirms Credit Ratings on Canadian Master Trust and Ridge Trust at R-1 (high) (sf)

DBRS Limited (Morningstar DBRS) confirmed the Series A Notes issued by Canadian Master Trust (CMT) and Series A Notes issued by Ridge Trust (together with CMT, the Trusts) at R-1 (high) (sf). The rating confirmations are pursuant to the addition of a new transaction (Transaction 35 to CMT and Transaction 37 to Ridge Trust) on January 19, 2024.

As part of Morningstar DBRS’ ongoing efforts to increase the transparency of reporting on asset-backed commercial paper conduit activity, Morningstar DBRS also released a transaction summary report providing details of Transaction 35 and Transaction 37, which consists of a note backed by a security interest in a portfolio of retail auto loan receivable contracts and related rights (the Portfolio of Loans). The Portfolio of Loans was originated by a captive auto finance company operating in Canada.

Morningstar DBRS’ credit rating on the Trusts addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are Canadian Master Trust, Series A Notes and Ridge Trust, Series A Notes.

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

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://dbrs.morningstar.com/research/416784 (July 4, 2023).

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

The principal methodology applicable to the credit ratings is Rating Canadian Auto Retail Loan and Lease Securitizations (September 29, 2023; https://dbrs.morningstar.com/research/421298).

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

The Morningstar DBRS Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. Morningstar DBRS analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://dbrs.morningstar.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 credit rating was initiated at the request of the rated entity.

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

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

This is a solicited credit rating.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process.

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

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

Operational Risk Assessments for Canadian Structured Finance (April 4, 2023), https://dbrs.morningstar.com/research/412270

Legal Criteria for Canadian Structured Finance (June 20, 2023), https://dbrs.morningstar.com/research/416101

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

Derivatives Criteria for Canadian Structured Finance (June 16, 2023), https://dbrs.morningstar.com/research/415974

A description of how Morningstar DBRS analyzes structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/410863.

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us [email protected].