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

DBRS Limited (Morningstar DBRS) confirmed the credit 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 Morningstar DBRS'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 Morningstar DBRS. As at February 2024, the conduit funded a diversified pool of assets with residential mortgages representing 26.9% of total assets, auto loans 21.6%, auto fleet 18.8%, franchise loans 10.3%, auto leases 8.0%, commercial mortgages 6.6%, insurance premium loans 4.6%, and auto rental 3.2%.

RATING RATIONALE
The credit 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 Morningstar DBRS' 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 Morningstar DBRS (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) Morningstar DBRS 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 $5,083,073,032 as of February 28, 2024.

The performance characteristics of the conduits are available and updated each month in Morningstar DBRS' 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 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/427030 (January 23, 2024).

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

The principal methodology applicable to the credit rating is Master Canadian Structured Finance Surveillance Methodology (June 7, 2023), https://dbrs.morningstar.com/research/415503.

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/421227.

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 Info-DBRS@morningstar.com.

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.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at Info-DBRS@morningstar.com.

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.

-- Rating Canadian ABCP and Related Enhancement Features (February 27, 2024)
https://dbrs.morningstar.com/research/428658
-- Legal Criteria for Canadian Structured Finance (June 20, 2023)
https://dbrs.morningstar.com/research/416101
-- Derivatives Criteria for Canadian Structured Finance (June 16, 2023)
https://dbrs.morningstar.com/research/415974

A description of how Morningstar DBRS analyses 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 https://dbrs.morningstar.com/ or contact us at Info-DBRS@morningstar.com.