DBRS Morningstar Confirms Ratings on King Street Funding Trust Notes at R-1 (high) (sf)

DBRS Limited (DBRS Morningstar) confirmed its ratings on King Street Funding Trust (the Trust), Asset-Backed CP Promissory Notes at R-1 (high) (sf). The rating confirmations are based on the addition of a new transaction to the Trust (Transaction 70) on January 12, 2023.

As part of its 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 70, which consists of a collateral note that is supported by a security interest in a portfolio of automobile, sport-utility vehicle, and light truck commercial auto leases originated by a captive auto finance company operating in Canada.

ENVIRONMENTAL, SOCIAL, GOVERNANCE 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 applicable to the rating is Rating Canadian Auto Retail Loan and Lease Securitizations at https://www.dbrsmorningstar.com/research/404314/rating-canadian-auto-retail-loan-and-lease-securitizations (October 26, 2022).

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.com/about/methodologies.

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 did have 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.

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

The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

Rating Canadian ABCP and Related Enhancement Features, https://www.dbrsmorningstar.com/research/393259/rating-canadian-abcp-and-related-enhancement-features (March 3, 2022)

Operational Risk Assessments for Canadian Structured Finance, https://www.dbrsmorningstar.com/research/407358/operational-risk-assessments-for-canadian-structured-finance (December 13, 2022)

Derivatives Criteria for Canadian Structured Finance, https://www.dbrsmorningstar.com/research/398728/derivatives-criteria-for-canadian-structured-finance (June 22, 2022)

Legal Criteria for Canadian Structured Finance, https://www.dbrsmorningstar.com/research/398729/legal-criteria-for-canadian-structured-finance (June 22, 2022)

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