DBRS Morningstar Confirms R-1 (high) (sf) Rating on Senior Short-Term Asset-Backed Notes of Zeus Receivables Trust

DBRS Limited (DBRS Morningstar) confirmed its ratings on the Senior Short-Term Asset-Backed Notes issued by Zeus Receivables Trust (the Trust) at R-1 (high) (sf). The rating confirmation is based on the addition of a new transaction to the Trust (Transaction 87) on September 1, 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) pandemic. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020. The scenarios were updated on June 18, 2021, and DBRS Morningstar’s rating analysis reflect the updated scenarios. For details see https://www.dbrsmorningstar.com/research/380281. 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 released a transaction summary report providing details of Transaction 87, which consists of a portfolio of mostly open-ended lease receivables, financing fleets of cars, trucks and equipment.

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 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.

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