DBRS Increases Transparency with New Detailed ABCP Conduit Rating Reports

As part of its ongoing efforts to promote improved transparency in the Canadian asset-backed commercial paper (ABCP) market, DBRS has announced today that it is releasing updated rating reports in a new format for all Canadian bank-sponsored ABCP conduits that it rates. The revised format is the latest in the ongoing reporting improvements being introduced by DBRS and provides enhanced disclosure for market participants, which will enable investors to better understand what DBRS considers in determining the rating of the various series of notes for each conduit. Key points of the detailed analysis provided in the rating reports include the underlying structure of each conduit, the transactions into which it enters, the asset pool composition and a description of and requirements for the various parties that support the conduit.

Other enhancements to the rating reports include the following:

– Consistent, plain English language for all conduit reports.
– Minimum DBRS rating requirements for credit enhancers, liquidity providers and hedge counterparties provided, including acceptable remedial action if these parties no longer meet those rating requirements.
– Disclosure of conditions to draw on liquidity agreements.
– Where it is available, disclosure of conditions to draw on third-party credit enhancement.
– General discussion on key elements of hedging risks to be mitigated.
– Expanded events of termination discussion relating to transaction-specific and conduit-specific termination events.
– A link to the DBRS website where specific asset class methodologies can be retrieved and reviewed.
– Specific mention of DBRS’s Structured Finance Legal Criteria publication, which provides background information on DBRS’s structural and counterparty ratings requirements.
– Enhanced graphic presentation of the asset class composition, seller industry composition and a detailed conduit report (including summaries of the various transactions in each conduit) taken from the February 2009 DBRS Monthly Canadian ABCP Report.

A detailed overview of the new rating reports as well as other initiatives undertaken by DBRS will be provided at the forthcoming Canadian Structured Finance Forum during the Investor Roundtable Discussion on Monday, June 1, 2009, at 11:30 a.m.

The following are the rating reports that will be released:

– Bay Street Funding Trust
– Canadian Master Trust
– CARE Trust
– CoRe Trust
– CRISP Trust
– Darwin Receivables Trust
– Diversified Trust
– Fusion Trust
– King Street Funding Trust
– MACRO Trust
– Merit Trust
– Plaza Trust
– Precision Trust
– Prime Trust
– PURE Trust
– Reliant Trust
– Ridge Trust
– SAFE Trust
– SMART Trust
– SOUND Trust
– STARS Trust
– Storm King Funding
– SUMMIT Trust
– Zeus Receivables Trust

The full reports providing additional analytical detail are available by clicking on the link below or by contacting us at info@dbrs.com.