DBRS Confirms Darwin Receivables Trust Senior Short-Term Asset-Backed 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 Senior Short-Term Asset-Backed Notes (the Notes) issued by Darwin Receivables 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 single-seller, single-asset securitization program administered by TD Securities Inc. (TDSI). The Trust engages in only traditional asset transactions. Assets and/or interests acquired by the Trust from the seller (the Assets) are subject to eligibility criteria and/or confirmation from DBRS. As of June 30, 2012, the Assets consisted entirely of secured lines of credit (100%).

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 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 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 is strong.

(7) TDSI has significant experience as Financial Services Agent in structuring, administering and managing multi-asset, multi-seller securitization programs.

TDSI administers four multi-seller conduits and one single-seller conduit, with aggregate notes outstanding amounts of $11,411,385,000 and US$872,000,000 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.