DBRS Confirms King Street Funding Trust’s Asset-Backed CP Promissory Notes at R-1 (high) (sf)

DBRS Limited (DBRS) has today confirmed the rating of the Asset-Backed CP Promissory Notes (the Notes) issued by King Street Funding Trust (the Trust) at R-1 (high) (sf) as part of its annual review of publicly rated asset-backed commercial paper 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 multi-seller, multi-asset securitization conduit administered by Scotia Capital Inc. (Scotia Capital). The Trust engages in only traditional asset transactions. Assets and/or interest acquired by the Trust (the Assets) from sellers are subject to eligibility criteria and/or confirmation from DBRS. As at June 30, 2016, the Assets consisted of auto loans (52%), insured mortgages (31%), auto rental (10%), auto leases (3%), floorplans (2%), equipment loans and leases (2%), conventional mortgages (0%) and trade receivables (0%).

The rating confirmation is 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 a AAA standard.

(2) The liquidity facilities meet DBRS’s global liquidity standard and are available to assist the Trust in repaying the Notes in the event that the Trust is not able to issue new Notes to do so. The commitment amount equals at least 102% of the face value (including interest) of all outstanding Notes.

(3) Minimum credit ratings of A (high) or R-1 (middle) by DBRS (or equivalent) for liquidity providers, credit enhancers and hedge counterparties are required, unless otherwise approved by DBRS.

(4) The Assets, through securitization agreements, are typically 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) Scotia Capital has significant experience in the structuring, administering and managing of multi-asset, multi-seller securitization programs.

The Trust is one of two publicly rated multi-seller conduits administered by Scotia Capital, with aggregate outstanding assets of $3,826,365,000 as at June 30, 2016.

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 and Related Enhancement Features (March 2016), Master Canadian Structured Finance Surveillance Methodology (May 2016), Derivatives Criteria for Canadian Structured Finance (July 2016) and Legal Criteria for Canadian Structured Finance (July 2016), 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.