DBRS Releases November 2014 Canadian ABS and Enhanced ABS Reports

DBRS Limited (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 numeric and graphic presentations to allow for 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 the individual transaction page to the corresponding Enhanced ABS Report for that particular issuance.

The total outstanding amount of the Canadian ABS market was $31.0 billion at the end of November 2014, up 1.4% from the previous month’s outstanding amount of $30.6 billion. Regular runoff amounted to $185.5 million.

In November, there were two new issuances: Golden Credit Card Trust issued $151.0 million in Enhancement Notes and MBARC Credit Canada issued $453.6 million in Series 2014-A Notes. There were no discontinuations in the month.

DBRS published a commentary on November 27, 2014, entitled “The Full Monty – Loss Timing Exposed.” The study observes the loss timing patterns and transaction performance of Canadian retail auto loan securitization transactions through the Great Recession. DBRS’s observations confirm that losses are more front-loaded during times of stress. DBRS notes that leading up to the liquidity crisis, losses were still front-loaded but more evenly distributed. Importantly, regardless of the state of the economy, over 50% of losses were realized within the first two years following note issuance, as seen in DBRS’s cumulative loss curves published monthly in Canadian Securitization Market Overview Reports. DBRS also notes that the highest losses were associated with the front-loaded loss observations, while back-end and belly loss observations experienced lower losses. This loss timing is becoming increasingly important as yet another year of record-breaking car sales is underpinned by more aggressive underwriting.

Credit cards remain the largest asset class within the ABS market, comprising 71.6% of the market, followed by home equity lines of credit (HELOC) at 8.3%. Auto loans and leases increased to 6.9%. The ABS market composition continues to favour consumer lending, with credit card, auto loan/lease programs and lines of credit accounting for approximately 90.6% of the market.

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.