DBRS Updates Fusion Trust Transaction Summary 12 and Clarity Trust Transaction Summary 2

DBRS Limited (DBRS) updated the transaction summary report providing details of Fusion Trust Transaction 12 and Clarity Trust Transaction 2, which consist of portfolios of (1) conventional and insured residential mortgages and (2) National Housing Act Mortgage-Backed Securities respectively originated and issued by a large mortgage finance company operating in Canada, as part of its ongoing efforts to increase the transparency of reporting asset-backed commercial paper conduit activity. The update reflects (1) the combination of the two programs into one co-ownership program and (2) a change in the type and amount of credit enhancement.

Notes:
The principal methodologies are Rating Canadian Residential Mortgages, Home Equity Lines of Credit and Reverse Mortgages; Rating Canadian ABCP and Related Enhancement Features; Legal Criteria for Canadian Structured Finance; Derivatives Criteria for Canadian Structured Finance; and Operational Risk Assessments for Canadian Structured Finance, which can be found on dbrs.com under Methodologies.

The full reports providing additional analytical detail are available by clicking on the link under Related Documents below or by contacting us at info@dbrs.com.