Fixed Income Quarterly—Asset-Backed Securities
Page 3
Table 2: Spread Performance - Auto ABS
3-year term
Current
QTD Q1/14 Change
2013 Change
bps bps % bps %
RY deposit notes Bankcard
Ford
Source: BMO Capital Markets As at March 31, 2014
66 (5) 62 (7) 65 (8)
(7.1%) (6) (10.1%) 4 (11.0%) (10)
(7.2%) 6.2% (12.0%)
Table 3: Summary of Credit Card ABS New Issuance
Issuer
Originator
Series
Tranche
Coupon (%)
Curr.
Amount (C$ mm)
Settlement Date
Expected Maturity
Credit Rating (sf) (DBRS/S&P/Moody's)
Asset Class
WAL to Call
Cusip
Credit Card ABS Issuance - 2014
Golden RBC Golden RBC Golden RBC Golden RBC
2014-1 Sr 2014-1 Sub 2014-2 Sr 2014-2 Sub
3m LIBOR + 24 bps USD 450 2.851 CAD 24 1m LIBOR + 45 bps USD 550 3.459 CAD 29
03/26/2014 03/26/2014 03/26/2014 03/26/2014
03/15/2017 03/15/2017 03/15/2019 03/15/2019
AAA/AAA/Aaa BBB(high)/--/Baa1 AAA/AAA/Aaa BBB(high)/--/Baa1
Credit Card Credit Card Credit Card Credit Card
na 380881CD2 na 380881CE0 na 380881CC4 na 380881CF7
Total 2014 Credit Card ABS Issuance - C$ 53
Total 2014 Credit Card ABS Issuance - US$ US 1,000
Credit Card ABS Issuance - 2013
CARDS II CARDS II CARDS II CARDS II Golden Golden CCCT CCCT CCCT MCCT II MCCT II MCCT II MCCT II MCCT II MCCT II MCCT II MCCT II MCCT II Golden Golden Eagle Eagle Eagle MCCT II MCCT II MCCT II Glacier Glacier
CIBC CIBC CIBC CIBC RBC RBC NBF NBF NBF BMO BMO BMO BMO BMO BMO BMO BMO BMO RBC RBC
PC Bank PC Bank PC Bank BMO BMO BMO CTC/C CTC/C
2013-1 A 2013-1 B 2013-2 A 2013-2 B 2013-1 A 2013-1 B 2013-1 A 2013-1 B 2013-1 C 2013-1 A 2013-1 B 2013-1 C 2013-2 A 2013-2 B 2013-2 C 2013-3 A 2013-3 B 2013-3 C 2013-2 A 2013-2 B 2013-1 A 2013-1 B 2013-1 C 2013-4 A 2013-4 B 2013-4 C 2013-1 Sr 2013-1 Sub
1.984
2.784 1m CDOR + 1m CDOR + 1m LIBOR + 3.087 1.596 2.106 2.756 1.432 1.898 2.196 1.423 2.284 2.581 1m LIBOR + 1.640 2.280 1m LIBOR + 3.408 2.849 3.469 3.869 2.723 3.223 3.623 2.755 3.275
15 bps 65 bps 25 bps
43 bps 43 bps
CAD 1,000 CAD 70 CAD 500 CAD 53 USD 500 CAD 24 CAD 400 CAD 15 CAD 12 CAD 724 CAD 15 CAD 27 CAD 724 CAD 15 CAD 27 USD 500 USD 11 USD 19 USD 600 CAD 29 CAD 372 CAD 14 CAD 14 CAD 1,000 CAD 21 CAD 37 CAD 250 CAD 15
01/16/2013 01/16/2013 01/15/2013 01/15/2013 02/28/2013 02/28/2013 04/02/2013 04/02/2013 04/02/2013 04/26/2013 04/26/2013 04/26/2013 04/26/2013 04/26/2013 04/26/2013 07/31/2013 07/31/2013 07/31/2013 09/24/2013 09/24/2013 10/07/2013 10/07/2013 10/07/2013 11/14/2013 11/14/2013 11/14/2013 11/27/2013 11/27/2013
01/15/2016 01/15/2016 01/15/2014 01/15/2014 02/16/2016 02/16/2016 09/24/2015 09/24/2015 09/24/2015 04/21/2014 04/21/2014 04/21/2014 04/21/2015 04/21/2015 04/21/2015 07/21/2016 07/21/2016 07/21/2016 09/15/2016 09/15/2016 10/17/2018 10/17/2018 10/17/2018 11/21/2018 11/21/2018 11/21/2018 11/20/2018 11/20/2018
AAA/--/Aaa BBB/--/A3 AAA/--/Aaa BBB/--/Baa1 AAA/AAA/Aaa BBB(high)/--/Baa1 AAA/AAA/-- A/A/-- BBB/BBB/-- AAA/--/-- AA/--/A2 BBB/--/Baa2 AAA/--/-- AA/--/A2 BBB/--/Baa2 AAA/--/Aaa AA/--/A2 BBB/--/Baa2 AAA/AAA/Aaa BBB(high)/--/Baa1 AAA/--/Aaa A/--/A2 BBB/--/Aaa2 AAA/--/Aaa AA/--/A2 BBB/--/Baa2 AAA/AAA/-- A/A/--
Credit Card Credit Card Credit Card Credit Card Credit Card Credit Card Credit Card Credit Card Credit Card Credit Card Credit Card Credit Card Credit Card Credit Card Credit Card Credit Card Credit Card Credit Card Credit Card Credit Card Credit Card Credit Card Credit Card Credit Card Credit Card Credit Card Credit Card Credit Card
na 14161ZBJ6 na 14161ZBK3 na Retained na Retained na 380881BX9 na na
na 13594ZAG2 na 13594ZAH0 na 13594ZAJ6 na Retained
na 576339AE5 na 576339AF2 na Retained
na 576339AH8 na 576339AJ4 na 576339AK1 na 576339AL9 na 576339AM7 na 380881BZ4 na 380881CB6 na 26948ZAG7 na 26948ZAH5 na 26948ZAJ1 na 57634ZAA4 na 57634ZAB2 na 57634ZAC0 na 37638ZAS3 na 37638ZAT1
Total 2013 Credit Card ABS Issuance - C$ 5,357
Total 2013 Credit Card ABS Issuance - US$ US 1,629
Source: SEDAR, BMO Capital Markets