Morningstar DBRS Confirms Canadian Master Trust’s Sixth Amended and Restated Series A Note Liquidity Agreement at AAA (sf)

DBRS Limited (Morningstar DBRS) confirmed the rating of AAA (sf) on the Sixth Amended and Restated Series A Note Liquidity Agreement (the Liquidity) provided by a liquidity lender to Canadian Master Trust (the Trust) as support for the Trust’s Series A Notes (the Asset-Backed Commercial Paper (ABCP); rated R-1 (high) (sf) by Morningstar DBRS). The Liquidity meets the global liquidity standard expected by Morningstar DBRS for the ABCP as outlined in Schedule A of Morningstar DBRS’ “Rating Canadian ABCP and Related Enhancement Features” methodology (February 27, 2024).

RATING RATIONALE
The rating on the Liquidity is an opinion on the Trust’s capacity to meet its financial obligations to the liquidity lender in accordance with the terms of the Liquidity. As indicated in Schedule E of Morningstar DBRS’ “Rating Canadian ABCP and Related Enhancement Features” methodology, the rating on the Liquidity is based on the underlying transactions and programs funded by the Trust (the Assets) as the collections from those Assets will be the basis upon which the Trust will be in a position to meet its financial obligations under the Liquidity in the event that it draws on the Liquidity. All Assets currently have a transaction assessment (as defined in Morningstar DBRS’ “Legal Criteria for Canadian Structured Finance” methodology (June 20, 2023)) of AAA (sf) as outlined in Morningstar DBRS’s Monthly Canadian ABCP Reports.

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 (July 4, 2023).

The rating was assigned at the request of the liquidity lender.

Notes:
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.

DBRS Limited
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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.