DBRS Confirms Fusion Trust, Series A, Class A Notes at R-1 (high) (sf)

DBRS Limited (DBRS) confirmed the rating of the Series A, Class Notes (the Notes), issued by Fusion Trust (the Trust) at R-1 (high) (sf). 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 National Bank Financial (NBF) that engages in traditional asset transactions. Assets and/or interests acquired by the Trust from sellers (the Assets) are subject to eligibility criteria and/or confirmation from DBRS. As of June 30, 2018, the Assets consisted primarily of conventional mortgages (34.4%), insured mortgages (22.4%), auto fleet (19.4%), investment loans (14.5%) and auto loans (9.3%).

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) Notes benefit from a subordinated note placed with a third-party investor.

(3) In addition to the internal credit enhancement and the subordinated note, the Notes benefit from external series-wide credit enhancement (the SWCE). The SWCE is in the form of a letter of guarantee from National Bank of Canada (rated AA (low) with a Stable trend by DBRS), which is available to be drawn in the event that collections are insufficient to satisfy the obligations of the Trust relating to the Notes.

(4) The liquidity facility meets DBRS’s Global Liquidity Standard and is available to assist the Trust in repayment of Notes if the Trust is not able to issue new Notes to do so. The commitment amount equals at least 100% of the face value (including accrued interest) of all outstanding Notes.

(5) 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.

(6) The Assets, through Securitization Agreements, are structured to be bankruptcy remote from the sellers and the bankruptcy remoteness is supported by legal opinions.

(7) All transactions are reviewed by DBRS prior to initial funding by the Trust.

(8) The performance of the underlying collateral across all asset classes is strong.

(9) NBF has significant experience in structuring, administering and managing multi-asset and multi-seller securitization programs.

NBF administers two multi-seller asset-backed commercial paper conduits, with an aggregate outstanding amount of $2,668,536,963 as of June 30, 2018.

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 Master Canadian Structured Finance Surveillance Methodology, Rating Canadian ABCP and Related Enhancement Features, Legal Criteria for Canadian Structured Finance and Derivatives Criteria for Canadian Structured Finance, which can be found on dbrs.com under Methodologies.

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.

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