DBRS Releases December 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 December 31, 2011. The report provides detailed information on the $27.4 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 $27.4 billion, down 1.0% from the previous month’s outstanding amount of $27.6 billion. This decline is a result of monthly principal repayments for various amortizing notes.

Credit cards remain the dominant asset class within the ABS market, with 73.8% market share, up from 73.1% in November 2011. Auto loans and auto leases stood at 16.4%, down slightly from 17.0% in the previous month, followed by equipment finance, which is down to 2.5% from 2.7% in November 2011. Changes in the ABS market composition continue to favour consumer lending, with credit card and auto loan/lease programs accounting for approximately 90.3% of the ABS market, up from 78.3% in December 2010.

New issuance levels in 2011 were strong but slightly below prior years at $10.9 billion. The majority of new funding was used to refinance scheduled maturities and regular run-off of amortizing deals. As a result, total market size remained stable in the first half of the year, but declined in the second half as several maturing deals were refinanced within asset-backed commercial paper (ABCP) conduits. The total outstanding amount decreased from $30.5 billion at the end of 2010 to $27.4 billion by the end of December 2011.

In an effort to provide market participants with insights into the rationale behind DBRS’s rating opinions, DBRS updated its methodologies for rating Canadian auto loan and Canadian auto lease transactions in January 2012. Only minor changes were made as the performance and robustness of the approach to rating securitizations backed by auto finance portfolios has continued to support rating stability, even through the lowest points of the recent economic cycle. DBRS has taken no rating actions as a result of these updated methodologies.

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