DBRS Morningstar Finalizes Provisional Rating of R-1 (high)(sf) on Pure Grove Funding Series 1 Asset-Backed Commercial Paper Notes, Class Maple

DBRS Limited (DBRS Morningstar) finalized its provisional rating of R-1 (high)(sf) on the Series 1 Asset-Backed Commercial Paper Notes, Class Maple (the Notes) issued by Pure Grove Funding (the Conduit). The Conduit is a multiseller, asset-backed commercial paper conduit administrated by its financial services agent, Royal Bank of Canada.

The final rating on the Notes has been assigned on the basis of a review by DBRS Morningstar of the Conduit’s documentation, which is consistent with DBRS Morningstar’s applicable methodologies, including its liquidity agreement that meets the Global Liquidity Standard indicated in DBRS Morningstar’s “Rating Canadian ABCP and Related Enhancement Features” methodology. The rating on the Notes has also been finalized with the addition of a new transaction (Transaction 99) to the Conduit on October 19, 2020.

DBRS Morningstar considered additional analyses and, where appropriate, additional adjustments to expected performance as a result of the global efforts to contain the spread of the Coronavirus Disease (COVID-19) pandemic. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020. The scenarios were updated on September 10, 2020 and reflect the updated scenarios in our rating analysis. For details see https://www.dbrsmorningstar.com/research/366543. For this rating confirmation, DBRS Morningstar’s analysis considered impacts consistent with the moderate scenario in the referenced commentary.

As part of DBRS Morningstar’s ongoing efforts to increase the transparency of reporting asset-backed commercial paper conduit activity, DBRS Morningstar has also released a transaction summary report providing details of Transaction 99, which consists of a secured loan backed by a security interest in a portfolio of retail auto loan receivable contracts and related rights (the Portfolio of Loans). The Portfolio of Loans is originated by a captive auto finance company operating in Canada.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

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

The principal methodologies are Rating Canadian Auto Retail Loan and Lease Securitizations (October 11, 2019), Rating Canadian ABCP and Related Enhancement Features (March 18, 2020), and Legal Criteria for Canadian Structured Finance (June 29, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308

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@dbrsmorningstar.com.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

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

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

DBRS Limited
DBRS Tower, 181 University Avenue, Suite 700
Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577