DBRS Morningstar Confirms Rating on MACRO Trust’s Senior Short Term Series 2017-1 Note at R-1 (high) (sf)

DBRS Limited (DBRS Morningstar) confirmed the rating on the Senior Short Term Series 2017-1 Note (the Note) issued by MACRO Trust (the Trust) at R-1 (high) (sf). The confirmation is part of DBRS Morningstar’s continued effort to provide timely credit rating opinions and increased transparency to market participants.

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

(1) Full Wrap Liquidity is available to the Trust for each transaction, at all times, to satisfy its related obligations in full and on a timely basis, and the Trust is insulated from the risks arising from the related underlying transaction(s).

(2) All Full Wrap Liquidity Providers meet minimum ratings thresholds, as outlined in the respective DBRS Morningstar criteria and/or methodologies, or otherwise satisfy the rating agency condition.

(3) DBRS Morningstar reviews all transactions prior to initial funding by the Trust, and transaction summaries are published for new transactions.

(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) CIBC has significant experience in the structuring of securitization transactions and administration of securitization conduits.

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:
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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