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

DBRS Limited (DBRS Morningstar) confirmed the credit 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 June 2023, the assets backing the Short–Term Asset-Backed Notes Series 1996-1 consisted of auto loans (25.3%), residential mortgage (24.1%), equipment loans and leases (16.4%), auto lease (6.5%), auto fleet (6.4%), residential rental equipment (6.1%), credit card receivables (5.2%), franchise loans (4.2%) consumer loans (3.4%), and auto rentals (2.3%). The total amount funded rose to $2.4 billion, up from $2.3 billion since the last annual review.

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, Credit Enhancers, and Hedge Counterparties meet minimum ratings thresholds, as outlined in the respective DBRS Morningstar criteria and/or methodologies, or otherwise satisfy the rating agency condition.

(3) 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.

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

(5) The Assets, through Securitization Agreements, are structured to ultimately be segregated and bankruptcy remote in favour of the Security Holders and the bankruptcy remoteness is supported by legal opinions.

(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 $10,448,481,488 as at August 31, 2023.

ENVIRONMENTAL, SOCIAL, GOVERNANCE (ESG) CONSIDERATIONS
There were no Environmental/Social/Governance (ESG) 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/416784 (July 4, 2023).

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

The principal methodology is Master Canadian Structured Finance Surveillance Methodology (June 7, 2023), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

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/421227.

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 credit rating was initiated at the request of the rated entity.

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

This is a solicited credit rating.

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 at www.dbrsmorningstar.com.

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

The credit 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 (March 3, 2023)
https://www.dbrsmorningstar.com/research/410528

Legal Criteria for Canadian Structured Finance (June 20, 2023)
https://www.dbrsmorningstar.com/research/416101

Derivatives Criteria for Canadian Structured Finance (June 16, 2023)
https://www.dbrsmorningstar.com/research/415974

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://www.dbrsmorningstar.com/research/410863.

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