DBRS Confirms Darwin Receivables Trust Senior Short-Term Asset-Backed Notes at R-1 (high) (sf)

DBRS has today confirmed the ratings of the Senior Short-Term Asset-Backed Notes (the Notes) issued by Darwin Receivables Trust (the Trust) at R-1 (high) (sf), as part of its annual review of publicly rated asset-backed commercial paper (ABCP) conduits. 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 (TDSI). The Trust engages in traditional asset transactions. Assets and/or interests acquired by the Trust from sellers (the Assets) are subject to eligibility criteria and/or confirmation from DBRS. As of June 30, 2014, the Assets consisted entirely of insured HELOCs (100%).

The rating confirmations are 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 an AAA standard.

(2) The liquidity facilities meet DBRS’s Global Liquidity Standard 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 a Financial Services Agent in structuring, administering and managing multi-asset, multi-seller securitization programs. TDSI administers five multi-seller conduits and one single-seller conduit, with aggregate notes outstanding amounts of $13,866,784,000 and USD 663,100,000 as of June 30, 2014.

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

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link to the right under Related Research or by contacting us at info@dbrs.com.

The applicable methodologies are Rating Canadian ABCP, Canadian Structured Finance Surveillance Methodology, Legal Criteria for Canadian Structured Finance and Derivatives Criteria for Canadian Structured Finance, which are available on our website under Methodologies.

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.