DBRS Releases November 2010 Monthly Canadian ABS Report

DBRS has today released its Monthly Canadian ABS Report, which provides an overview of the Canadian term asset-backed securities (ABS) market for the month ending November 30, 2010. The report provides detailed information on the $29.4 billion market, with disclosure on issuance volumes, asset composition and 12-month transaction performance histories. New transactions and rating actions that took place during and after the reporting period are also summarized in the report.

As of November 30, 2010, the total outstanding amount in the Canadian ABS market stood at $29.4 billion, down $499 million or 1.7% from the previous month. This reduction is attributable to full repayments in the aggregate amount of $503 million, the normal runoff of the notes in the amount of $261 million and a new issuance of $265 million.

On November 19, 2010, Glacier Credit Card Trust fully repaid $365 million to the Credit Card Asset-Backed Senior and Subordinated Notes, Series 2005-1, as per the scheduled maturity, and issued on November 30, 2010, the Asset-Backed Senior and Subordinated Notes, Series 2010-1 for $265 million.

During the month, CHIP Mortgage Trust, Series 2005-1 (reverse mortgage) with $110 million outstanding, matured and was fully repaid, along with Canadian Capital Auto Receivables Asset Trust II, Series 2010-1, Class A-1 ($13.8 million) and Xceed Mortgage Trust, Series 2006-T1, Classes D and E ($14.4 million).

Compared to November 2009, the market size has remained stable with a slight decrease of 0.3%, from $29.5 billion a year ago. However, the asset mix has changed substantially. While floorplan and auto loan securitizations have increased their share of the market by 8.6% and 4.6% respectively, credit card receivables and lines of credit have decreased by 4.0% and 3.7% respectively.

Currently, credit cards remain the dominant asset class, with 63.6% of market share, followed by auto loans and leases with 16.4%, floorplan receivables with 9.5% and lines of credit with 5.0%.

As of October 2010, DBRS started reporting the relevant information with respect to the covered bonds issuances in a separate report called the Monthly Canadian Covered Bond Report, which will be published separately from the Monthly Canadian ABS Report.

This new covered bond report was created to provide market participants with another analytical tool that includes information on outstanding debts in addition to timely commentary on growth, trends and main developments specific to this market.

The October 2010 Monthly Canadian ABS Report also includes access to the new DBRS enhanced structured finance surveillance reports. Its enhanced features – including detailed historical data for virtually all Canadian ABS transactions that allow for trend analysis and benchmarking of specific asset classes – are available on a subscription basis. For a limited time, however, a select number of transactions have been made available on a trial basis. The highlighted transactions in the table of contents of the report link directly to the enhanced portion of the report.

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