DBRS Releases April 2013 Canadian ABS and Enhanced ABS Reports

DBRS has today released the enhanced version of the Monthly Canadian ABS Report (the Enhanced ABS Report) in conjunction with the Monthly Canadian ABS Report.

The Enhanced ABS Report offers additional metrics, longer data series, definitions and charts that provide the user with both a numeric and a graphic presentation to allow a quick review of the overall performance and trends for each transaction as well as benchmarking of transactions within an asset class.

The Monthly Canadian ABS Report has links that allow the user to go from the table of contents or from the individual transaction page to the corresponding Enhanced ABS Report for that particular issuance.

The reports provide an overview of the Canadian term asset-backed securities (ABS) market for the month ending April 30, 2013.

The total outstanding amount of the Canadian ABS market was $31.1 billion at the end of April 2013, up 5.1% from the previous month’s outstanding amount of $29.6 billion. Regular runoff amounted to $337.2 million this month.

Issuance in the credit card space continues strong with three new placements during the month. Canadian Credit Card Trust issued Series 2013-1 for $426.7 million and Master Credit Card Trust II issued Series 2013-1 and Series 2013-2, which were privately placed.

In the equipment finance space, the market saw the private placement of CNH Capital Canada Receivable-Backed Notes, Series 2013-1.

Credit cards remain the largest asset class within the ABS market and continue gaining market share, comprising 82.2% of the market. Auto loans and auto leases declined to 8.7%, followed by equipment finance, with a 0.9% gain at 4.2%. The ABS market composition continues to favour consumer lending, with credit card and auto loan/lease programs accounting for approximately 90.9% of the market.

During May, DBRS confirmed the ratings on all outstanding equipment finance term deals. The amount of losses experienced by the collateral backing the notes issued by CNH Capital Canada Receivables Trust and by CIT Canada Equipment Receivables ULC has been low and has been absorbed by the excess spread. Credit enhancement for all deals continues to grow as the respective pool of assets amortizes, resulting in higher credit protection to the noteholders. The increase in credit enhancement coverage of expected remaining losses for CNH Capital Canada Receivables Trust, Series 2011-1 warranted an upgrade of the rating of the Class B Notes to AA (sf) from A (sf).

Overall, consumer lending and wholesale financing securitizations continue to perform well and within DBRS’s expectations. The economic outlook has improved compared to a year ago, with a lower unemployment rate, a stable number of filings for bankruptcy, modest GDP growth and consumers trying to curb down their level of indebtedness.

On May 29, 2013, DBRS published a commentary entitled “Recalibrated, Canadian Plastic Marches On” providing insight on current trends and developments in the Canadian credit card and consumer lending industry.

On May 31, 2013, DBRS published a study on Canadian Retail Auto Loan Securitizations titled “Loooooooong-Term Loans: Under the Microscope.” The study provides insight on the various risks associated with retail auto loan contracts: the economy, the used vehicle market and the underlying contracts.

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

The full report providing additional analytical detail is available by clicking on the link under Related Research at the right of the screen or by contacting us at info@dbrs.com.