Morningstar DBRS Confirms Bay Street Funding Trust's Short-Term ABN, Series 1, Class A Notes at R-1 (high) (sf)

DBRS Limited (Morningstar DBRS) confirmed its rating of R-1 (high) (sf) on the Short-Term ABN, Series 1, Class A Notes (the Notes) issued by Bay Street Funding Trust (the Trust) as part of its annual review of publicly rated, asset-backed commercial paper conduits. The rating 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 multi-seller, multi-asset securitization conduit administered by Scotia Capital Inc. (Scotia Capital). The Trust engages only in traditional asset transactions. Assets and/or interests the Trust acquires (the Assets) from sellers are subject to eligibility criteria and/or confirmation from Morningstar DBRS. As of May 31, 2024, assets consisted of residential mortgage (42.5%), auto loans (30.7%), residential rental equipment (10.6%), auto leases (9.0%), auto rental (4.4%), and auto fleet (2.8%).

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

(1) Credit enhancement levels are consistent with similarly rated programs in Canada. Every transaction funded by the Notes has been independently structured to meet a AAA standard at inception on a stand-alone basis, unless other structural elements or mitigants acceptable to Morningstar DBRS are available to support that transaction, such as full wrap liquidity, to achieve that level.

(2) Liquidity facilities meet Morningstar DBRS's Global Liquidity Standard and are available to assist the Trust in repaying the Notes if the Trust is not able to issue new Notes to do so. The commitment amount equals at least 102% of the face value (including interest) of all outstanding Notes.

(3) Minimum credit ratings of "A" or R-1 (low) or their equivalent for liquidity providers, credit enhancers, and hedge counterparties are required, unless they otherwise satisfy the Rating Agency Condition as defined in Morningstar DBRS's "Legal and Derivative Criteria for Canadian Structured Finance."

(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 is strong.

(7) Scotia Capital has significant experience in the structuring, administering, and managing of multi-asset, multi-seller securitization programs.

Scotia Capital administers two multi-seller conduits with aggregate outstanding assets of $6,450,348,000 as of June 30, 2024.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

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 Factors in Credit Ratings at https://dbrs.morningstar.com/research/437781 (August 13, 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 (August 6, 2024; https://dbrs.morningstar.com/research/437538).

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://www.dbrsmorningstar.com/about/methodologies.

-- Rating Canadian ABCP and Related Enhancement Features (February 27, 2024)
https://dbrs.morningstar.com/research/428658
-- Legal and Derivatives Criteria for Canadian Structured Finance (August 12, 2024)
https://dbrs.morningstar.com/research/437761
-- Operational Risk Assessments for Canadian Structured Finance (August 6, 2024)
https://dbrs.morningstar.com/research/437547

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.