DBRS Releases September 2012 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, 2012. The report provides detailed information on the $29.4 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 $29.4 billion, up 4.4% from the previous month’s outstanding amount of $28.2 billion. This increase was largely a result of issuance from CARDS II Trust, CNH Capital Canada Receivables Trust and Nissan Canada Auto Receivables Limited Partnership. The Credit Card Receivables-Backed Floating Rate Notes, Series 2005-2 issued by CARDS II Trust and the Series 2011-2, Class A-1 Note issued by Canadian Capital Auto Receivables Asset Trust II were discontinued in the month. Regular runoff amounted to $228 million.

On October 22, 2012, Royal Bank of Canada (RBC) announced its intention to acquire the Canadian auto finance and deposit business of Ally Financial Inc., consisting of Ally Credit Canada Limited (ACCL) and ResMor Trust Company. While performance remains strong, DBRS continues to monitor the monthly performance of ACCL’s securitization programs in light of the proposed acquisition. In its assessment of the impact on RBC, DBRS noted that “the transaction is consistent with RBC’s stated strategy of being a leading provider of financial service in Canada, as the acquisition extends the Bank’s position to become the Canadian leader in auto finance.” The full commentary can be viewed on the DBRS website. The transaction is expected to close in the first calendar quarter of 2013.

Credit cards remain the dominant asset class within the ABS market, comprising 76.5% of the market, a drop of 1.2% month over month. Auto loans and auto leases increased slightly to 13.5%, followed by equipment finance, up slightly at 4.6%. The ABS market composition continues to favour consumer lending, with credit card and auto loan/lease programs accounting for approximately 90% of the market.

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