DBRS Confirms Ratings of Genesis Trust II Series 2013-1 and Series 2014-1

DBRS has today confirmed the ratings of the outstanding notes (the Notes) issued by Genesis Trust II (the Trust). The confirmation is part of DBRS’s continued efforts to provide timely credit rating opinions and increased transparency to market participants.

-- Real Estate Secured Line of Credit Backed Class A Notes, Series 2013-1 at AAA (sf)
-- Real Estate Secured Line of Credit Backed Class B Notes, Series 2013-1 at AA (high) (sf)
-- Real Estate Secured Line of Credit Backed Class C Notes, Series 2013-1 at A (high) (sf)
-- Real Estate Secured Line of Credit Backed Class A Notes, Series 2014-1 at AAA (sf)
-- Real Estate Secured Line of Credit Backed Class B Notes, Series 2014-1 at AA (high) (sf)
-- Real Estate Secured Line of Credit Backed Class C Notes, Series 2014-1 at A (high) (sf)

The confirmation is based on the following factors:

(1) The levels of credit enhancement provided by subordination (3.9% and 1.9% for AAA (sf) and AA (high) (sf) rated notes, respectively), excess spread of 1.35% annually (before credit losses) and the cash reserve account.

(2) The Notes benefit from several structural elements typically found in securitizations in Canada that mitigate default risk and the risks related to the credit deterioration of associated counterparties.

(3) The assets in the custodial pool are a well-diversified portfolio of home equity line of credit (HELOC) accounts underwritten with a minimum 20% equity in each of the mortgaged properties, which secures the HELOC accounts.

(4) Performance of the underlying collateral remains stable and within expectations, with the loss rate and monthly payment rate standing at 0.02% and 4.68%, respectively, as of August 31, 2014.

The Toronto-Dominion Bank (TD) is the servicer of the assets in the custodial pool. TD is one of Canada’s largest banks by assets and is currently rated AA / R-1 (high) by DBRS.

The performance and characteristics of the custodial pool and the Notes are available and updated each month in the Monthly Canadian ABS Report (see Related Research on the right of the screen).

Notes:
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 Canadian Structured Finance Surveillance Methodology (May 2014), Rating Canadian Residential Mortgage-Backed Securities (RMBS) and Home Equity Line of Credit (HELOC) Transactions (November 2013), Legal Criteria for Canadian Structured Finance (August 2014) and Derivatives Criteria for Canadian Structured Finance (August 2014), which are available on our website under Methodologies.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.