DBRS Morningstar Confirms Canadian Master Trust’s Sixth Amended and Restated Series A Note Liquidity Agreement at AAA (sf)

DBRS Limited (DBRS Morningstar) confirmed the rating of AAA (sf) on the Sixth Amended and Restated Series A Note Liquidity Agreement (the Liquidity) provided by a liquidity lender to Canadian Master Trust (the Trust) as support for the Trust’s Series A Notes (the Asset-Backed Commercial Paper (ABCP); rated R-1 (high) (sf) by DBRS Morningstar). The Liquidity meets the global liquidity standard expected by DBRS Morningstar for the ABCP as outlined in Schedule A of DBRS Morningstar’s “Rating Canadian ABCP and Related Enhancement Features” methodology (March 2023).

RATING RATIONALE
The rating on the Liquidity is an opinion on the Trust’s capacity to meet its financial obligations to the liquidity lender in accordance with the terms of the Liquidity. As indicated in Schedule E of DBRS Morningstar’s “Rating Canadian ABCP and Related Enhancement Features” methodology, the rating on the Liquidity is based on the underlying transactions and programs funded by the Trust (the Assets) as the collections from those Assets will be the basis upon which the Trust will be in a position to meet its financial obligations under the Liquidity in the event that it draws on the Liquidity. All Assets currently have a transaction assessment (as defined in DBRS Morningstar’s “Legal Criteria for Canadian Structured Finance” methodology (June 2022)) of AAA (sf) as outlined in DBRS Morningstar’s Monthly Canadian ABCP Reports.

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).

The rating was assigned at the request of the liquidity lender.

Notes:
The principal methodology applicable to the rating is Master Canadian Structured Finance Surveillance Methodology (December 13, 2022; https://www.dbrsmorningstar.com/research/407359).

Other methodologies referenced in this transaction are listed at the end of this press release.

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 rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the rating process for this rating action.

DBRS Morningstar had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

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

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