DBRS Confirms Ratings of Genesis Trust II Series 2014-1, Series 2015-1 and Series 2015-2

DBRS Limited (DBRS) confirmed the following ratings on the outstanding notes issued by Genesis Trust II (the Trust):

-- Real Estate Secured Line of Credit-Backed Class A Notes, Series 2014-1 at AAA (sf)
-- Real Estate Secured Line of Credit-Backed Class B Notes, Series 2014-1 at AA (high) (sf)
-- Real Estate Secured Line of Credit-Backed Class C Notes, Series 2014-1 at A (high) (sf) (combined, the Series 2014-1 Notes)

-- Real Estate Secured Line of Credit-Backed Class A Notes, Series 2015-1 at AAA (sf)
-- Real Estate Secured Line of Credit-Backed Class B Notes, Series 2015-1 at AA (high) (sf)
-- Real Estate Secured Line of Credit-Backed Class C Notes, Series 2015-1 at A (high) (sf) (combined, the Series 2015-1 Notes)

-- Real Estate Secured Line of Credit-Backed Class A Notes, Series 2015-2 at AAA (sf)
-- Real Estate Secured Line of Credit-Backed Class B Notes, Series 2015-2 at AA (high) (sf)
-- Real Estate Secured Line of Credit-Backed Class C Notes, Series 2015-2 at A (high) (sf) (combined, the Series 2015-2 Notes; together with the Series 2014-1 Notes and the Series 2015-1 Notes, the Notes)

The confirmations are part of DBRS’s continued efforts to provide timely credit rating opinions and increased transparency to market participants.

The confirmations are based on the following factors:

(1) The levels of credit enhancement provided by subordination equivalent to 3.9% and 1.9% for AAA (sf) and AA (high) (sf) rated notes, respectively, and a cash reserve with a current balance of zero but that can build up to 1.35% if excess spread falls below 0.95%.

(2) The Series 2014-1 Notes and the Series 2015-1 Notes have benefited from three-month average excess spread that has ranged from 1.25% to 1.32% over the last 12 months. The Series 2015-2 Notes are currently in the Accumulation Period and have benefited from excess spread that has ranged from 1.25% to 1.47% over the last 12 months.

(3) Performance of the underlying collateral remains stable and within expectations with the three-month average loss rate and monthly payment rate standing at 0.04% and 5.23%, respectively, as of May 31, 2018.

(4) The Notes benefit from several structural elements typically found in securitizations in Canada that mitigate default risk and the risks related to the credit deterioration of associated counterparties.

(5) The assets in the custodial pool are a well-diversified portfolio of home equity line of credit (HELOC) accounts underwritten with a minimum 20% equity in each of the mortgaged properties, which secures the HELOC accounts.

The Toronto-Dominion Bank (TD) is the servicer of the assets in the custodial pool. TD is one of Canada’s largest banks by assets and is currently rated AA/R-1 (high) by DBRS.

The performance and characteristics of the custodial pool and the Notes are available and updated each month in the Monthly Canadian ABS Report (see Related Documents below).

Notes:
The principal methodologies are the Master Canadian Structured Finance Surveillance Methodology (May 2018); Rating Canadian Residential Mortgages, Home Equity Lines of Credit and Reverse Mortgages (November 2017); Legal Criteria for Canadian Structured Finance (July 2018); and Derivatives Criteria for Canadian Structured Finance (July 2018), which are available on dbrs.com under Methodologies.

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 under Related Documents below or by contacting us at info@dbrs.com.

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

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