DBRS Morningstar Confirms Rating on SAFE Trust’s Senior Short-Term Notes, Series 1996-1 at R-1 (high) (sf)

DBRS Limited (DBRS Morningstar) confirmed the rating on the Senior Short-Term Notes, Series 1996-1 (the Notes) issued by SAFE 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 DBRS Morningstar’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 DBRS Morningstar). 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 DBRS Morningstar. As of July 2022, the assets backing the Senior Short–Term Notes Series 1996-1 consisted of conventional mortgage (25.2%), auto loans (24.6%), equipment loans and leases (15.9%), auto lease (8.5%), residential rental equipment (7.0%), auto fleet (6.4%), credit card receivables (5.5%), franchise loans (4.4%), and consumer loans (2.7%). The total amount funded stood at $2.3 billion.

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

(1) 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.

(2) The liquidity facilities meet DBRS Morningstar’s Global Liquidity Standard and are available to assist the Trust in repaying the Notes if the Trust is not able to issue new Notes to do so. The commitment amount equals at least the face value (including interest) of all outstanding Notes.

(3) Minimum credit ratings of “A” or R-1 (low) or their equivalent for liquidity providers, credit enhancers, and hedge counterparties are required, unless they otherwise satisfy the Rating Agency Condition as defined in DBRS Morningstar’s “Legal Criteria for Canadian Structured Finance.”

(4) The Assets, through Securitization Agreements, are typically structured to be bankruptcy remote from the sellers and the bankruptcy remoteness is supported by legal opinions.

(5) All transactions are reviewed by DBRS Morningstar prior to initial funding by the Trust.

(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 four ABCP conduits with an aggregate outstanding note amount of $9,445,847,716 as at August 31, 2022.

ENVIRONMENTAL, SOCIAL, GOVERNANCE (ESG) CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

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/396929 (May 17, 2022).

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

The principal methodology is Master Canadian Structured Finance Surveillance Methodology (June 7, 2022), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

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.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info@dbrsmorningstar.com.

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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