DBRS Confirms King Street Funding Trust’s Short-Term ABN, Series 1, Class A at R-1 (high) (sf)

DBRS Limited (DBRS) confirmed the rating of R-1 (high) (sf) on the Asset-Backed CP Promissory Notes (the Notes) issued by King Street Funding Trust (the Trust) 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 conduit administered by Scotia Capital Inc. (Scotia Capital). The Trust engages only in traditional asset transactions. Assets and/or interests acquired by the Trust (the Assets) from sellers are subject to eligibility criteria and/or confirmation from DBRS. As of April 30, 2019, the Assets consisted of auto leases (43.2%), auto loans (32.7%), auto rentals (10.1%), insured mortgages (7.6%), floorplan (4.3%) and conventional mortgages (2.0%).

The 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) The liquidity facilities meet DBRS’s global liquidity standard and are available to assist the Trust in repaying the Notes in the event that the Trust is not able to issue new Notes to do so. The commitment amount equals at least 102% of 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 typically 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) Scotia Capital has significant experience in the structuring, administering and managing of multi-asset, multi-seller securitization programs.

Scotia Capital administers two multi-seller conduits with aggregate outstanding assets of CAD 3,076,280,000 as of April 30, 2019.

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

The principal methodology is the Master Canadian Structured Finance Surveillance Methodology, 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.

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.

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

DBRS Limited
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