DBRS Confirms Zeus Receivables Trust Senior Short-Term Asset-Backed Notes at R-1 (high) (sf)

DBRS Limited (DBRS) confirmed the ratings of the Senior Short-Term Asset-Backed Notes (the Notes) issued by Zeus Receivables 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 program administered by Toronto-Dominion Securities Inc. (TDSI). The Trust engages in traditional asset transactions. Assets and/or interests (the Assets) acquired by the Trust from sellers (the Sellers) are subject to eligibility criteria and/or confirmation from DBRS. As of July 31, 2017, the Assets backing the Short–Term Asset-Backed Notes consist of home equity lines of credit (27.9%), conventional mortgages (25.0%), insured mortgages (21.0%), auto loans (10.7%), auto fleet (5.9%), auto leases (5.4%), trade receivables (3.0%) and equipment loans and leases (1.0%).

The rating confirmations are 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 if the Trust is not able to issue new Notes to do so. The commitment amount is equal to at least the face value (including interest) of all outstanding Notes.

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

(4) The Assets, through Securitization Agreements, are 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) TDSI has significant experience as a Financial Services Agent in structuring, administering and managing multi-asset, multi-seller securitization programs. TDSI administers four multi-seller conduits with aggregate notes outstanding amount of $13,845,389,350 as of July 31, 2017.

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 principal methodologies are Rating Canadian ABCP and Related Enhancement Features, Master Canadian Structured Finance Surveillance Methodology, Derivatives Criteria for Canadian Structured Finance and Legal Criteria for Canadian Structured Finance, which are available on dbrs.com 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.

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.

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