DBRS Updates its Criteria for Rating Canadian ABCP Programs and Outlines Global Liquidity Standard ABCP (GLS-ABCP)

As part of the overall review of its Canadian asset-backed commercial paper (ABCP) rating methodology (as previously announced in our press release of August 24, 2007), DBRS has undertaken to review the liquidity arrangements supporting the Canadian ABCP programs it rates.

DBRS is pleased to announce today that it has updated its criteria for ABCP liquidity support arrangements to require contractual liquidity agreements that provide for the full and timely repayment of ABCP by the liquidity provider where the credit quality of the underlying assets, including credit enhancements, is sufficient to support funding at par (Global Liquidity Standard). DBRS will require that all new trusts issuing Canadian ABCP comply with the standards outlined below. DBRS plans to work with the current trust administrators and sponsors to ensure that current trust documentation will be revised to achieve the Global Liquidity Standard.

The Global Liquidity Standard for Canadian ABCP

The Global Liquidity Standard for R-1 (high) rated ABCP removes any requirement for a “market disruption” as a condition precedent to funding and will include the following provisions (which include and augment previous requirements):

• Liquidity commitment must cover at least the face amount (including interest) of all outstanding Global Liquidity Standard asset-backed commercial paper (GLS-ABCP).

• Prior to issuance, the trust must satisfy both a program asset test and a program liquidity test. The asset test will be based on the amount of non-defaulted assets plus credit enhancement available to the issuer being greater than or equal to the principal and accrued interest of the trust’s liabilities at any time. The liquidity test will be based on available contractual liquidity commitments exceeding the principal and interest of all outstanding ABCP at any time.

• Liquidity funding will be provided if any GLS-ABCP matures or any interest is due and payable on a note issued by the trust or on the request of the trust.

• Same-day funding is required of the liquidity provider if notice is received prior to a specified time.

• The term of the liquidity agreement will be 364 days, with a minimum six-month notice of non-renewal to both the issuer and DBRS. GLS-ABCP cannot be issued with a maturity date beyond the term of the liquidity agreement.

• Termination by the trust or assignment of the liquidity agreement by the liquidity provider shall require DBRS consent and notice of termination by the liquidity provider will require funding to be provided or drawn to the full extent available under the liquidity agreement prior to termination occurring.

• Liquidity providers must be prescribed financial institutions meeting minimum credit rating standards and a downgrade below those standards will institute either an assignment of the commitment to, or the provision of an unconditional guarantee from, an acceptable third party, or payment of the full commitment amount into an escrow account, all within a specified period of time.

• Liquidity agreements must contain provision for subordination of any interest payable to the liquidity provider above the GLS-ABCP rate and a subordination of all claims of the liquidity provider for amounts other than principal and non-subordinated interest to claims by trust noteholders for payment of principal and interest.

• The trust will provide standard representations and warranties upon the closing of program documentation and standard positive and negative covenants must be maintained.

• Events of default are limited to a trust’s failure to pay obligations or a trust’s bankruptcy or insolvency. Liquidity providers are restricted from instituting trust bankruptcy or insolvency actions.

• Liquidity funding will not be available if an act of insolvency occurs with respect to the trust or if the rating of the trust or the assets held by the trust is discontinued, withdrawn or downgraded to near-default status by DBRS. Variation of these liquidity funding standards and compensatory structural provisions would require DBRS consent and would be disclosed as such in trust rating reports.

In addition to the criteria outlined above, the establishment of any new trust issuing Canadian ABCP will require the subordination provisions outlined above and the subordination of any unsized fees to be inserted in relevant program documents prior to being rated by DBRS.

The Move to GLS-ABCP

Recent market conditions have clarified the benefits of strengthening the provisions of ABCP program documentation pertaining to the availability of contractual liquidity to ensure the full and timely payment of ABCP where the underlying assets are of good quality. Several large Canadian ABCP conduit sponsors have recently issued public statements indicating their intention to adopt the Global Liquidity Standard for their sponsored trusts.

DBRS will be conducting reviews of all liquidity support agreements for the Canadian ABCP programs it rates and expects to have completed these reviews with conduit sponsors by December 31, 2007. If any liquidity arrangements supporting Canadian ABCP do not meet the Global Liquidity Standard outlined above within that time frame and if the program is neither wound up nor amortizing assets in an orderly manner, this may lead to rating action on the part of DBRS.

DBRS will maintain a current list of trusts issuing Canadian ABCP that meet the Global Liquidity Standard and are rated by DBRS.