DBRS Places CAN Capital Funding LLC Series 2014-1 Under Review with Negative Implications

DBRS, Inc. (DBRS) has today placed the outstanding ratings of the Class A and Class B Notes (the Notes) of the CAN Capital Funding LLC Series 2014-1 structured finance asset-backed securities transaction Under Review with Negative Implications. The ratings on the Notes were previously downgraded on March 2, 2017; the Class A Notes to BBB (high) (sf) from A (sf) and the Class B Notes to B (high) (sf) from BBB (low) (sf). At the time of the March 2017 rating action, credit enhancement available to the Notes was not sufficient to cover DBRS’s expected losses at the assigned ratings and the ratings were downgraded to levels that DBRS believed were more consistent with the loss coverage available. The current action is the result of uncertainty over the recent performance trends of the collateral, increasing losses on the portfolio and the sufficiency of credit enhancement to cover losses that may result from that performance volatility.

The ratings are based on DBRS’s review of the following analytical considerations:
-- Transaction capital structure, ratings and form and sufficiency of available credit enhancement.
-- The transaction parties’ capabilities with regard to servicing.
-- The credit quality of the collateral pool and projected performance.

As of the April 20, 2017 Payment Due Date, the principal balance of the Class A Notes outstanding was $43,103,687 as reported in the Monthly Servicing Statement for the above referenced transaction. The outstanding principal balance of the Class B Notes was $20,000,000 as reported in the Monthly Servicing Statement. As of the April 20, 2017 Payment Due Date, the Ending Eligible Aggregate Unamortized Funded Amount of the transaction was $59,829,658 as reported in the Monthly Servicing Statement for the above referenced transaction. As such, the Notes currently do not benefit from credit enhancement in the form of overcollateralization. As of the April 20, 2017 Payment Due Date, Newly Non-Performing Assets were reported to be $4,246,310 and Non-Performing Assets that have been approved for a grace period were reported to have $3,222,177 remaining.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is the DBRS Master U.S. ABS Surveillance Methodology, which can be found on our website under Methodologies.

The rated entity or its related entities did participate in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities.

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