DBRS Upgrades Superior Trust Series D and F Floating-Rate Medium Term Notes and Confirms Superior Trust Series E and G Floating-Rate Medium Term Notes

DBRS has today upgraded the ratings of two series of notes issued by Superior Trust (the Trust) and confirmed the ratings of two series of notes issued by the Trust. The Series D Floating-Rate Medium Term Notes (the Series D Notes) and the Series F Floating-Rate Medium Term Notes (the Series F Notes) have been upgraded to BBB (high) (sf) from BBB (sf) and upgraded to A (sf) from A (low) (sf), respectively. The Series E Floating-Rate Medium Term Notes (the Series E Notes) and the Series G Floating-Rate Medium Term Notes (the Series G Notes) have been confirmed at BBB (low) (sf) and A (low) (sf), respectively.

The Series D and E Notes were issued by the Trust in exchange for Series B Floating-Rate Notes (the Series B Notes) in connection with the restructuring of the Series B Notes that were previously outstanding.

The Series F Notes are exposed to an amended version of the Series D Notes credit default swap (CDS) portfolio, with 20% of the reference entities being replaced. All other terms of the Series F Notes are the same as the terms of the Series D Notes. The Series G Notes are exposed to an amended version of the Series E CDS portfolio, with 24% of the reference entities being replaced. All other terms of the Series G Notes are the same as the terms of the Series E Notes.

The ratings were previously confirmed on November 23, 2011, based on the sufficient stability cushions available at the confirmed rating levels. No credit events have occurred in the reference portfolios since September 2010.
Among the remaining corporate entities referenced by the Series D, E, F and G Notes portfolios, there have generally been more downgrades than upgrades over the past year, and a few underlying entities have been downgraded by more than one rating notch. However, the Notes continue to benefit from an additional year of time decay, a concept whereby a structured credit transaction grows less risky as its maturity date draws nearer. The stability cushion has increased more than100 bps for the Series D and Series F, and more than 22 bps for the Series E and Series G. As a result, DBRS has upgraded the Series D and Series F Notes by one notch to BBB (high) (sf) and A (sf), respectively. At the same time, DBRS confirmed the ratings of the Series E and Series G at their current rating levels.

The scheduled termination of the Notes is September 28, 2016. DBRS continues to actively monitor the credit quality of the Notes and will provide further updates as necessary.

Note:
The applicable methodologies are Rating Canadian Structured Credit Transactions and Canadian Structured Credit Surveillance, which can be found on our website under Methodologies.

This is a Structured Finance rating.