DBRS Confirms Canadian Master Trust Series A 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 rating of the Series A Notes (the Notes) issued by Canadian Master Trust (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 BMO Nesbitt Burns (BMO NB). 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, 2012, the Assets consisted primarily of auto loans (30.6%), insured mortgages (22.2%), franchise loans (15.5%), auto rental (12.6%), floorplan (11.4%), conventional mortgages (3.3%), commercial mortgages (3.0%) and non-conventional mortgages (1.5%).

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 has been independently structured to meet a AAA standard.

(2) The liquidity facility available to the Trust meets DBRS’s Global Liquidity Standard (GLS) and is available to assist the Trust in repaying interest and principal on maturing Notes and/or to honour funding obligations, in the event that the Trust is not able to issue new Notes to do so. The commitment amount equals at least the face value (including interest) of all outstanding Notes.

(3) 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.

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

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

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

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

The Trust is one of three publicly rated multi-seller conduits administered by BMO NB, with aggregate outstanding amounts of $5.5 billion as of June 30, 2012.

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

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