DBRS Releases November 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 November 30, 2011. The report provides detailed information on the $27.6 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.

The total outstanding amount in the Canadian ABS market was $27.6 billion, down 6.0% from the previous month’s outstanding amount of $29.4 billion. This decline is a result of the maturity and full repayment of several notes.

In November 2011, CNH Capital Canada Receivables Trust issued $177.9 million in Class A-1 Notes, $232.6 million in Class A-2 Notes and $10.8 million in Class B Notes under Series 2011-1. There were several fully repaid notes in the month:
– CIT Canada Equipment Receivables Trust, Series 2008-1, Class A-2 Notes
– Canada Mortgage Acceptance Corporation, Series 2006-C5, Class D
– Ford Auto Securitization Trust 2010-R1, Class A-1
– Ford Floorplan Auto Securitization Trust, Series 2006-3, Class A and Class B
– Glacier Credit Card Trust, Series 2006-1 senior and subordinated notes
– Master Credit Card Trust, Series 2006-2 and Series 2006-3, Class A, Class B and Class C

The total amount paid off was $1.8 billion and regular runoff amounted to $370 million in November 2011.

Credit cards remain the dominant asset class within the ABS market, with 73.1% market share, down from 74.1% in October 2011. Auto loans and auto leases stood at 17%, up slightly from 16.7% in the previous month, followed by equipment finance, which is up considerably to 2.7% from 1.2% in October 2011. Changes in the ABS market composition continue to favour consumer lending, with credit card and auto loan/lease programs accounting for approximately 90.1% of the ABS market, up from 80% in November 2010.

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

The full report providing additional analytical detail is available by clicking on the link under Related Research at the right of the screen or by contacting us at info@dbrs.com.