DBRS Releases December 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 December 31, 2010. The report provides detailed information on the $30.6 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 December 2010, the total outstanding amount in the Canadian ABS market stood at $30.6 billion, up $1.2 billion or 4.0% from the previous month. This increase is attributable to several issuances in this month for a total of $1.4 billion. In December, DBRS discontinued Canada Mortgage Acceptance Corporation Series 2006-C4 Classes B and C ($9.9 million) as they were repaid. The normal runoff of the notes was $240.4 million.

On November 24, 2010, CNH Capital Canada Receivables Trust issued Series 2010-1 Class A-1, Class A-2 and Class B Notes for a total of $329.7 million. On December 15, 2010, Eagle Credit Card Trust issued Series 2010-1 and 2010-2, Classes A, B and C for a total of $600.0 million, keeping credit card receivables the dominant asset class in the ABS market with a 63.1% market share. In addition, Platinum Canadian Mortgage Trust had a private issuance for $500.0 million, increasing the secured line of credit asset class market share from 5.0% in November 2010 to 6.4% in December 2010.

In comparison to December 2009, the total ABS market increased from $30.1 billion to $30.6 billion or 1.7% in December 2010. The ABS market peaked in May 2010 at $33.5 billion as a result of $2.4 billion in credit card issuances from Golden Credit Card Trust and CARDS II Trust, in addition to a floorplan issuance for $355.5 million from Ford Floorplan Auto Securitization Trust.

On the contrary, the ABS market dropped to a low of $29.4 billion in November 2010 due to several scheduled repayments in October 2010 and November 2010 for a total of just over $2.0 billion dollars within the two months.

Compared to December 2009, the December 2010 asset composition has changed for several asset classes. The floorplan and auto loan participation has increased the most out of all the asset classes by 7.2% and 4.0%, respectively. However, credit card receivables decreased the most by 3.5% followed by secured lines of credit with an approximately 2.0% decrease and auto leases with a 1.0% decrease.

Despite the changes noted above, credit cards remain the dominant asset class with 63.1% of market share followed by auto loans and leases with 15.1%, floorplan receivables with 9.1% and lines of credit with 6.4%.

As of October 2010, DBRS started reporting relevant information with respect to 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 major 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.