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Announcement:

Moody's Canadian ABCP activity for the week ended December 20, 2019

20 Dec 2019

Toronto, December 20, 2019 -- Moody's Canadian ABCP activity for the week ended December 20, 2019

NO RATING IMPACT ON THE FOLLOWING ABCP PROGRAMS FROM DECEMBER 16, 2019 THROUGH DECEMBER 20, 2019:

Moody's has reviewed the following ABCP programs in conjunction with the proposed additions and amendments. At this time the additions and amendments, in and of themselves, will not result in any rating impact on the respective program's ABCP. Moody's does not believe they will have an adverse effect on the credit quality of the securities such that the Moody's rating is impacted. Moody's does not express an opinion as to whether the additions or amendments could have other, non-credit-related effects.

BMO, RBC, AND SCOTIABANK AMEND AND RENEW AN AUTO RENTAL FACILITY

Canadian Master Trust (CMT), Plaza Trust (Plaza), and Bay Street Funding Trust (Bay Street) are three partially supported, multi-seller Canadian ABCP programs sponsored and administered, respectively, by BMO Nesbitt Burns Inc., a subsidiary of Bank of Montreal (BMO), Royal Bank of Canada (RBC), and Bank of Nova Scotia (Scotiabank). The programs have amended and extended their interest in an existing unrated CAD450 million variable funding note facility (VFN) backed by a fleet of rental cars for a non-investment grade rental car company to March 2022. Each program holds a CAD150 million VFN. The required dynamic overcollateralization for the facility was amended and the required letter of credit and cash collateral account was reduced to 4% from 5.875%. The amendments did not have an impact on the credit quality of the fleet rental facility.

Transaction-specific credit enhancement is in the form of dynamic vehicle overcollateralization and a letter of credit and cash collateral account together sized at 4% of the outstanding note balance. The size of the enhancement varies depending on the vehicle mix. The auto rental facility remains partially supported by liquidity facilities provided by Prime-1 rated BMO, RBC and Scotiabank in support of their respective conduit.

Plaza's program-level credit enhancement is sized at a minimum of 10% of the face amount of ABCP, excluding fully supported transactions. Plaza has approximately CAD3.2 billion of purchase commitments and CAD2.3 billion in outstandings. Its program-level credit enhancement is approximately CAD215 million.

CMT has purchase commitments of CAD2.6 billion and CAD1.5 billion of ABCP outstanding.

Bay Street has purchase commitments of CAD1.8 billion and CAD1.1 billion of ABCP outstanding.

BMO'S RIDGE TRUST EXTENDS EXISTING EQUIPMENT FINANCE FACILITY

Ridge Trust (Ridge), a partially supported, multi-seller Canadian ABCP program administered by BMO NB, a subsidiary of BMO, has amended and extended its interest in a CAD400 million revolving equipment finance securitization till December 2021. The equipment finance contracts are originated by an investment grade rated equipment finance company.

Transaction-specific credit enhancement is comprised of overcollateralization equal to 5% of the pool balance and cash reserve account sized at 3% of the note balance. This transaction is partially supported by a program-level liquidity facility provided by Prime-1(cr) BMO. Ridge does not have any program level credit enhancement.

Ridge currently has CAD2.9 billion of purchase commitments and CAD2.0 billion of ABCP outstanding.

CIBC AND SCOTIABANK SPONSORED ABCP PROGRAMS ADD AN EQUIPMENT RENTAL FACILITY

A syndicate of Canadian ABCP programs including SAFE Trust (SAFE), SOUND Trust (SOUND), STABLE Trust (STABLE), SURE Trust (SURE), Bay Street Funding Trust (Bay Street) and King Street Funding Trust (King Street) have added a CAD1.1 billion revolving equipment rental securitization facility to their portfolios. The rental contracts are primarily for residential water heaters, but the pool also includes contacts for commercial water heaters; water treatment equipment; and heating, ventilation, and air conditioning (HVAC) units.

Transaction-specific credit enhancement is comprised of overcollateralization sized at 18% of the stressed eligible pool balance, a fully funded cash reserve and/ or Letter of Credit together sized at 2% of the stressed eligible pool balance and minimum excess spread.

SAFE, SOUND, STABLE and SURE are all partially supported, multi-seller ABCP programs sponsored and administered by Canadian Imperial Bank of Commerce (CIBC). Each conduit will hold a CAD140 million unrated note issued by an issuer SPV, for an aggregate exposure of CAD560 million. The transaction is partially supported by the respective program level liquidity facilities provided by Prime-1(cr) rated CIBC. The facilities are sized to cover 100% of the face amount of outstanding ABCP issued by SAFE, SOUND, STABLE and SURE. SAFE, SOUND, STABLE and SURE do not have program-level credit enhancement.

SAFE has CAD2.2 billion in aggregate purchase commitments and CAD1.8 billion of ABCP outstanding.

SOUND has CAD2.3 billion in aggregate purchase commitments and CAD1.9 billion of ABCP outstanding.

STABLE has CAD1.3 billion in aggregate purchase commitments and CAD1.3 billion of ABCP outstanding.

SURE has CAD2.2 billion in aggregate purchase commitments and CAD2.0 billion of ABCP outstanding.

Bay Street and King Street are both partially supported, multi-seller ABCP programs administered by Scotia Capital Inc., a wholly owned subsidiary of The Bank of Nova Scotia (Scotiabank). Bay Street and King Street's aggregate exposure is CAD560 million with each conduit holding a CAD280 million unrated note issued by an issuer SPV. For the Scotiabank programs, the transaction is partially supported by King Street's and Bay Street's respective liquidity facilities provided by Prime-1(cr) Scotiabank. The liquidity facilities are sized to cover 100% of the face amount of outstanding ABCP issued by King Street and Bay Street. Neither program has program level credit enhancement.

Bay Street has purchase commitments of CAD2.2 billion and outstanding ABCP of CAD1.4 billion.

King Street has purchase commitments of CAD2.1 billion and outstanding ABCP of CAD1.7 billion

NBC'S CLARITY AND FUSION ADD CAD60 MILLION RESIDENTIAL MORTGAGE POOL

Clarity Trust (Clarity) and Fusion Trust (Fusion), two partially supported, multi-seller Canadian ABCP programs sponsored and administered by National Bank Financial Inc. (NBF), a wholly owned subsidiary of National Bank of Canada (NBC) added a pool of CAD60 million in mortgages to an existing facility increasing the pool balance to CAD874 million. The facility is backed by residential mortgages originated by a wholly owned subsidiary of a large Canadian financial services company. Subject to eligibility criteria, the collateral is a mix of prime conventional and insured mortgages.

Transaction-specific credit enhancement is provided through a cash reserve, which consists of a minimum of 3% for conventional mortgages and 0.25% to 2% for insured mortgages, depending on the Insurers' ratings. This transaction is partially supported by the respective liquidity facilities of Clarity and Fusion, provided by Prime-1(cr) NBC. The committed amount of the liquidity facilities is sized to cover 100% of the face amount of outstanding ABCP issued by Clarity and Fusion.

Clarity has C$15 million of program-level credit enhancement. Clarity currently has CAD1.8 billion of purchase commitments and CAD1.2 billion of ABCP outstanding.

Fusion has C$15 million of program-level credit enhancement. Fusion currently has CAD1.9 billion of purchase commitments and CAD1.4 billion of ABCP outstanding.

Moody's monitors and analyzes ABCP programs on an ongoing basis. A detailed description of each program is published in the ABCP Program Review. Some ABCP programs have updated performance information, which is published in the Performance Overviews. All ABCP publications are available on Moodys.com

The principal methodology used in these ratings is "Moody's Approach to Rating Asset-Backed Commercial Paper" published in July 2017. For a more detailed explanation of Moody's approach please refer to the report

https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1071314

This publication does not announce a credit rating action. For any credit ratings referenced in this publication, please see the ratings tab on the issuer/entity page on www.moodys.com for the most updated credit rating action information and rating history.

Zulaikha Khurram, CFA
Analyst
Structured Finance Group
Moody's Canada Inc.
70 York Street
Suite 1400
Toronto, ON M5J 1S9
Canada
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653

Harrison Hendrix
Associate Analyst
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653

Releasing Office:
Moody's Canada Inc.
70 York Street
Suite 1400
Toronto, ON M5J 1S9
Canada
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653

No Related Data.
© 2020 Moody's Corporation, Moody's Investors Service, Inc., Moody's Analytics, Inc. and/or their licensors and affiliates (collectively, "MOODY'S"). All rights reserved.

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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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