DBRS Releases August 2013 Canadian ABCP and Enhanced ABCP Reports

DBRS has today released the enhanced version of the Monthly Canadian ABCP Report (the Enhanced ABCP Report) in conjunction with the Monthly ABCP Report for the month ended August 31, 2013.

The Enhanced ABCP 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 Enhanced Canadian ABCP Report can be accessed from the Monthly Canadian ABCP Report by clicking on the specific deal number within each conduit.

The total outstanding amount in the asset-backed commercial paper (ABCP) market increased by 0.2% during the month of August, to $28.7 billion.

Residential mortgage programs and auto-related deals continue to represent the majority of total assets funded within ABCP conduits, with residential mortgage programs (insured mortgages, conventional mortgages and non-conventional mortgages) accounting for 31.4%, followed by auto-related deals at 28.6%. The third-largest asset class continues to be home equity lines of credit, representing 21.2%.

Merit Trust, Zeus Receivables Trust and Prime Trust have added a new transaction backed by a pool of Canadian retail auto lease assets consisting of automobile and SUV fixed-rate contracts (the Portfolio of Leases). The Portfolio of Leases was originated by a captive auto finance company (the Seller) operating in Canada. The total amount funded was $503 million.

On September 16, 2013, DBRS released an updated version of its Legal Criteria for Canadian Structured Finance (the CSF Legal Criteria), which supersedes the version published in September 2012. The CSF Legal Criteria is applied to Canadian structured finance transactions in conjunction with the relevant asset-class methodology. Publication of the updated CSF Legal Criteria is part of DBRS’s ongoing efforts to provide greater transparency to the ratings process by outlining the various factors that DBRS expects to see in transaction documentation, particularly for transactions rated AAA (sf) or R-1 (high) (sf).

On September 17, 2013, DBRS published an updated version of its methodology Rating Canadian ABCP, or asset-backed commercial paper, which supersedes the version dated September 2012. The publication of this updated methodology is part of DBRS’s continued effort to provide market participants with better insight into the rationale behind DBRS’s rating opinions by outlining the significant elements DBRS expects to see in Canadian structured finance structures and transactions backing Canadian ABCP rated R-1 (high) (sf).

On September 17, 2013, DBRS also published an updated version of its Derivatives Criteria for Canadian Structured Finance (the Derivatives Criteria), which supersedes DBRS’s Hedge Counterparty Criteria for Canadian Structured Finance Transactions, dated September 2012. This set of criteria applies to Canadian structured finance transactions and ratings in conjunction with the relevant asset-class methodology and the Legal Criteria for Structured Finance. Publication of the updated Derivatives Criteria is part of DBRS’s ongoing efforts to provide greater transparency to the ratings process by outlining the various factors that DBRS expects to see in transaction documentation.

On October 15, 2013, DBRS released an updated version of its Rating Canadian Equipment Finance Securitization Transactions, which supersedes the version published in April 2011. This methodology is applied to Canadian structured finance transactions in conjunction with Legal Criteria for Canadian Structured Finance and Rating Canadian ABCP. Publication of the updated methodology is part of DBRS’s ongoing efforts to provide greater transparency to the ratings process by outlining the various factors that DBRS expects to see in transaction documentation, particularly for transactions rated AAA (sf) or R-1 (high) (sf).

On October 17, 2013, DBRS released an updated version of its methodology Rating Canadian Auto Retail Loan and Lease Securitizations, which supersedes the version published in January 2012. This methodology is applied to Canadian structured finance transactions in conjunction with Legal Criteria for Canadian Structured Finance and Rating Canadian ABCP. Publication of the updated methodology is part of DBRS’s ongoing efforts to provide greater transparency to the ratings process by outlining the various factors that DBRS expects to see in transaction documentation, particularly for transactions rated AAA (sf) or R-1 (high) (sf).

On October 18, 2013, DBRS released an updated version of its Rating Canadian Rental Car Fleet Securitizations methodology, which supersedes the version published in May 2011. This methodology is applied to Canadian structured finance transactions in conjunction with DBRS’s methodologies Legal Criteria for Canadian Structured Finance and Rating Canadian ABCP. Publication of the updated methodology is part of DBRS’s ongoing efforts to provide greater transparency to the ratings process by outlining the various factors that DBRS expects to see in transaction documentation, particularly for transactions rated AAA (sf) or R-1 (high) (sf).

On October 22, 2013, DBRS released an updated version of its methodology Rating Canadian Auto Fleet Lease Transactions, superseding the version published in April 2011. This methodology is applied to Canadian structured finance transactions in conjunction with the methodologies Legal Criteria for Canadian Structured Finance and Rating Canadian ABCP.

All outstanding programs continue to be well-enhanced and are performing within DBRS’s expectations.

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.