DBRS Confirms Ratings of Genesis Trust II

DBRS Limited (DBRS) confirmed the following ratings on the outstanding notes issued by Genesis Trust II (the Trust) as part of DBRS’s continued efforts to provide timely credit rating opinions and increased transparency to market participants:

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

The rating confirmations are based on the performance of the transaction as of May 2019:

(1) The levels of credit enhancement provided by subordination equivalent to 3.9% and 1.9% for the Class A Notes and the Class B Notes, respectively, and a cash reserve with a current balance of zero that can build up to 1.35% if excess spread falls below 0.95%.

(2) The Series 2015-1 Notes have benefited from three-month average excess spread that has ranged from 1.28% to 1.35% 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 0.02% and 4.85%, respectively.

(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 comprise 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 (high)/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 available at www.dbrs.com.

Notes:
All figures are in Canadian dollars unless otherwise noted.

The principal methodology is the Master Canadian Structured Finance Surveillance Methodology (June 2019), which can be found on dbrs.com under Methodologies & Criteria.

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 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.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

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

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