DBRS Updates Storm King Funding Transaction Summary 75

DBRS Limited (DBRS) has today released an updated Transaction Summary report providing details of Transaction 75 of Storm King Funding (SKF), which is secured by a portfolio of retail auto lease receivable contracts and related leased vehicles originated by the Seller, a bankruptcy-remote special-purpose entity created by a Canadian captive auto finance company. The update reflects amendments related to an extension of the program commitment an increase in the program limit and an upgrade to the transaction assessment to AAA.

Previously, the transaction was assessed at AA based on the transaction documents that permitted the unrated Seller to commingle collections with its own funds until the monthly payment date. The conduit sponsor initially provided enhanced liquidity to mitigate this risk and to achieve a confirmation of SKF’s R-1 (high) (sf) rating.

While the transaction still permits the Seller to commingle, DBRS is satisfied that the rating of the Performance Guarantor of the Seller meets the rating threshold recommended in the DBRS “Legal Criteria for Canadian Structured Finance.” As a result, the transaction has been assessed at AAA and the enhanced liquidity is no longer necessary.

Notes:
The applicable methodologies are Rating Canadian Auto Retail Loan and Lease Securitizations (October 2015), Rating Canadian ABCP and Related Enhancement Features (March 2016), Legal Criteria for Canadian Structured Finance (August 2015) and Derivatives Criteria for Canadian Structured Finance (August 2015), which can be found on our website under Methodologies.

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