DBRS Confirms Fusion Trust at R-1 (high), (sf), R-1 (middle) (sf) and R-1 (low) (sf)

As part of its annual review of publicly rated asset-backed commercial paper (ABCP) conduits, DBRS today has confirmed the ratings of the Series A, Class A Notes; Series B, Class A Notes; and Series C, Class A Notes (collectively, the Notes) issued by Fusion Trust (the Trust) at R-1 (high) (sf), R-1 (middle) (sf) and R-1 (low) (sf), respectively. The confirmation is part of DBRS’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 National Bank Financial (NBF). 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. As of June 30, 2011, the Assets consisted primarily of auto loans, insured mortgages, conventional mortgages and mutual fund fees.

The rating confirmations are based on the following considerations:

(1) Credit enhancement levels are consistent with similarly rated programs in Canada. From inception, every transaction funded by the Notes has been independently rated.

(2) In addition to the internal credit enhancement and subordinated notes, the Notes also benefit from external series-wide credit enhancement (SWCE). The SWCE is in the form of a letter of guarantee from National Bank of Canada, which is available to be drawn in the event that collections are insufficient to satisfy the obligations of the Trust relating to the Notes.

(3) The liquidity facilities meet DBRS’s Global Liquidity Standard (GLS) and are available to assist the Trust in repaying the Notes if the Trust is not able to issue new Notes to do so. The commitment amount equals at least 102% of the face value (including interest) of all outstanding Notes.

(4)Minimum credit ratings of AA (low) or R-1 (middle) or their equivalent for liquidity providers and credit enhancers and A (high) or R-1 (middle) or their equivalent for hedge counterparties are required unless otherwise approved by DBRS.

(5) The Assets, through Securitization Agreements, are structured to be bankruptcy remote from the sellers and the bankruptcy remoteness is supported by legal opinions.

(6) All transactions are reviewed by DBRS prior to initial funding by the Trust.

(7) The performance of the underlying collateral across all asset classes is strong.

(8) NBF has significant experience in structuring, administering and managing multi-asset, multi-seller securitization programs.

NBF administers one multi-seller conduit, with aggregate ABCP outstanding amounts of $1.2 billion as of June 30, 2011.

DBRS is committed to confirming the ratings of publicly rated ABCP conduits on an annual basis as part of the continuing effort to provide market participants with timely updates. The ratings of other publicly rated ABCP notes will be confirmed throughout the year.

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

The applicable methodologies are Rating Canadian ABCP and Legal Criteria for Canadian Structured Finance, which are available on our website under Methodologies.