DBRS Morningstar Confirms Bay Street Funding Trust at R-1 (high) (sf)

DBRS Limited (DBRS Morningstar) confirmed the Short-Term ABN, Series 1, Class A Notes issued by Bay Street Funding Trust (the Trust) at R-1 (high) (sf). The rating confirmation is pursuant to the addition of a new transaction (Transaction 63) to the Trust on March 22, 2021.

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). DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020. The scenarios were updated on March 17, 2021, and DBRS Morningstar’s rating analysis reflects the updated scenarios. For details, see DBRS Morningstar’s commentary “Global Macroeconomic Scenarios: March 2021 Update,” at https://www.dbrsmorningstar.com/research/375376. 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 on asset-backed commercial paper conduit activity, DBRS Morningstar also released a transaction summary report providing details of Transaction 63, which consists of a note 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 can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

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

The principal methodologies are Rating Canadian Auto Retail Loan and Lease Securitizations (October 26, 2020) and Rating Canadian ABCP and Related Enhancement Features (March 12, 2021), 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 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.

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