Morningstar DBRS Finalizes Provisional Credit Rating of R-1 (high) (sf) on Temperance Street Funding Trust Series 1 Asset-Backed Commercial Paper Notes, Class Polar

DBRS Limited (Morningstar DBRS) finalized its provisional credit rating of R-1 (high) (sf) on the Series 1 Asset-Backed Commercial Paper Notes, Class Polar (the Notes) issued by Temperance Street Funding Trust (the Trust). The Trust is a new asset-backed commercial paper conduit sponsored by The Bank of Nova Scotia and administered by Scotia Capital Inc., as the financial services agent.

The finalized provisional credit rating is based on Morningstar DBRS' review of the Trust's documentation, which is consistent with Morningstar DBRS' applicable methodologies, including the following considerations:
(1) Credit enhancement levels are consistent with similarly rated programs in Canada. From inception, every transaction entered into by the Trust that backs the Notes will be independently structured to meet a AAA standard.
(2) Liquidity facilities are Global Liquidity Standard (GLS)-compliant and available to assist the Trust in repaying interest and principal on maturing Notes if the Trust is not able to issue new Notes to do so. The liquidity facilities are generally available at all times, except in the case of the occurrence of an Event of Default (which includes insolvency of the Trust).
(3) All Liquidity Providers, Credit Enhancers, and Hedge Counterparties meet minimum credit rating thresholds as outlined in the respective Morningstar DBRS criteria and/or methodologies or otherwise satisfy the rating agency condition.
(4) Morningstar DBRS has reviewed all transactions prior to initial funding by the Trust ensuring they meet a AAA standard, and transaction summaries will be published for new transactions.
(5) The Trust will provide a monthly performance report to Morningstar DBRS on all transactions as part of the ongoing surveillance function.
(6) The Bank of Nova Scotia has significant experience as the Sponsor in the structuring of securitization transactions and administration of securitization conduits.

Morningstar DBRS' credit rating on the Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are interest and principal.

Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. 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 (August 13, 2024), https://dbrs.morningstar.com/research/437781.

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

The principal methodology applicable to the credit rating is Rating Canadian ABCP and Related Enhancement Features (Feb 24, 2025), https://dbrs.morningstar.com/research/448506/rating-canadian-abcp-and-related-enhancement-features.

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.

For more information on Morningstar DBRS' policy regarding the solicitation status of credit ratings, please refer to the Credit Ratings Global Policy, which can be found in the Morningstar DBRS Understanding Ratings section of the website: https://dbrs.morningstar.com/understanding-ratings

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

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.

-- Legal and Derivatives Criteria for Canadian Structured Finance (August 12, 2024), https://dbrs.morningstar.com/research/437761

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.