Morningstar DBRS Confirms Credit Rating on SURE Trust's Senior Short Term Notes, Series 2015-1 at R-1 (high) (sf)

DBRS Limited (Morningstar DBRS) confirmed the credit rating on the Senior Short Term Notes, Series 2015-1 (the Notes) issued by SURE Trust (the Trust) at R-1 (high) (sf) as part of its annual review of publicly rated asset-backed commercial paper (ABCP) 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 multi-seller, multi-asset securitization conduit administered by the Canadian Imperial Bank of Commerce (CIBC; rated AA with a Stable trend by Morningstar DBRS). The Trust engages in only traditional asset transactions. Assets and/or interests acquired by the Trust from sellers (the Assets) are subject to eligibility criteria and/or confirmation from Morningstar DBRS. As of June 2024, the assets backing the Short-Term Notes Series 2015-1 consisted of auto leases (22.4%), auto loans (20.2%), equipment loans and leases (19.6%), residential mortgages (18.5%), auto fleet (5.8%), residential rental equipment (5.3%), credit cards (5.3%), and consumer loans (2.8%). The total amount funded rose to $2.9 billion, up from $2.3 billion since the last review.

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

(1) Full Wrap Liquidity is available to the Trust for each transaction, at all times, to satisfy its related obligations in full and on a timely basis, and the Trust is insulated from the risks arising from the related underlying transaction(s).

(2) All Full Wrap Liquidity Providers, Credit Enhancers, and Hedge Counterparties meet minimum credit ratings thresholds, as outlined in the respective Morningstar DBRS criteria and/or methodologies, or otherwise satisfy the credit rating agency condition.

(3) Credit enhancement levels that 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.

(4) Morningstar DBRS reviews all transactions prior to initial funding by the Trust, and transaction summaries are published for new transactions.

(5) The Assets, through Securitization Agreements, are structured to ultimately be segregated and bankruptcy remote in favour of the Security Holders and the bankruptcy remoteness is supported by legal opinions.

(6) The performance of the underlying collateral is strong.

(7) CIBC has significant experience in structuring, administering, and managing multi-asset, multi-seller securitization programs.

CIBC currently administers five ABCP conduits with an aggregate outstanding note amount of $11,958,782,678 as at July 31, 2024.

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, AND 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 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 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 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 https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.