DBRS Releases September 2011 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 September 30, 2011. The report provides detailed information on the $30.5 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.

The total outstanding amount in the Canadian ABS market was $30.5 billion, up 0.8% from the previous month’s outstanding amount of $30.2 billion. There was one new issuance in the month of September from Ford Asset Securitization Trust for a total of $534.6 million. Regular runoff amounted to $283.5 million.

On October 28, 2011, DBRS published a commentary featuring sample DBRS 17g-7 Benchmarks for the following asset classes: equipment loan and lease ABS, equipment floorplan ABS, residential mortgage-backed securities and auto loan ABS. DBRS rating reports for newly issued ratings with respect to Canadian asset-backed securities will include 17g-7 disclosure in order to comply with Rule 17g-7, which was adopted by the U.S. Securities and Exchange Commission under the Securities Exchange Act of 1934. The representations, warranties and enforcement mechanisms available to investors that have been included in the DBRS 17g-7 Benchmarks were based on a review of sample transaction documents, have been paraphrased to include only the substantive portions of the relevant provisions and have been formulated in plain English and a user-friendly manner.

Credit cards remain the dominant asset class within the ABS market, with 68.6% market share, down slightly from 69.1% in August 2011. Auto loans and auto leases stood at 16.7%, up from 15.8% the previous month, followed by floorplan financing, which dropped slightly to 8.4% from 8.5% in August 2011.

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