DBRS Confirms Storm King Funding Asset-Backed Commercial Paper Notes at R-1 (high) (sf)

As part of its annual review of publicly rated asset-backed commercial paper (ABCP) conduits, DBRS has today confirmed the ratings of the Asset-Backed Commercial Paper Notes (the Notes) issued by Storm King Funding (the Trust) at R-1 (high) (sf). 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 Royal Bank of Canada (RBC). 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 floorplan (38.3%), auto loans (37.6%), auto leases (9.7%), equipment finance (7.5%) and auto fleet (6.9%).

The rating confirmation is 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 have been independently rated.

(2) In addition to the internal credit enhancement, all transactions in the Trust have third-party enhancement available to maintain the R-1 (high) (sf) rating on the Notes. Third-party credit enhancement is provided to the Trust by RBC in the form of program-wide credit enhancement (PWCE) in an amount up to 10% of the outstanding Notes. Because of certain Events of Default associated with drawings in excess of 20% of the PWCE, DBRS will not allocate more than this amount in aggregate to support specific transactions to achieve a transaction equivalent of R-1 (high) (sf) in the event that a transaction is not independently rated at that level.

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

RBC administers two multi-seller conduits in Canada, with aggregate ABCP outstanding amounts of $2,565,479,491 and US$10,058,298 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.

Note:
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.