Page 4 Fixed Income Quarterly—Asset-Backed Securities
Table 4: Summary of Auto ABS New Issuance
Issuer
Originator
Series
Tranche
Coupon (%)
Curr.
Amount (C$ mm)
Issue Date
Expected Maturity
Credit Rating (sf) (DBRS/Fitch/S&P/Moody's)
Asset Class
WAL to Call
Cusip
Auto ABS Issuance - 2014
FAST Ford Credit FAST Ford Credit FAST Ford Credit FAST Ford Credit FAST Ford Credit FAST Ford Credit
2014-R2 A1 2014-R2 A2 2014-R2 A3 2014-R2 B 2014-R2 C 2014-R2 D
1.353 CAD 224 1.593 CAD 247 1.972 CAD 129 2.409 CAD 19 2.602 CAD 13 2.800 CAD 13
04/02/2014 04/02/2014 04/02/2014 04/02/2014 04/02/2014 04/02/2014
09/27/2014 01/15/2016 07/02/2017 06/10/2018 07/16/2018 07/16/2018
AAA/AAA Retail Auto Loan AAA/AAA Retail Auto Loan AAA/AAA Retail Auto Loan
AA(high)/AA+ Retail Auto Loan AA/A+ Retail Auto Loan A/BBB+ Retail Auto Loan
0.49 Y 1.79 Y 3.25 Y 4.19 Y 4.29 Y 4.29 Y
345213EE8 345213EG3 345213EJ7 345213EL2 345213EN8 345213EQ1
Total 2014 Auto ABS Issuance 644
Auto ABS Issuance - 2013
FAST Ford Credit FAST Ford Credit FAST Ford Credit FAST Ford Credit FAST Ford Credit FAST Ford Credit FAST Ford Credit FAST Ford Credit FAST Ford Credit FAST Ford Credit FAST Ford Credit FAST Ford Credit FFAST Ford Credit FFAST Ford Credit FFAST Ford Credit FFAST Ford Credit
2013-R1 A1 2013-R1 A2 2013-R1 A3 2013-R1 B 2013-R1 C 2013-R1 D 2013-R4 A1 2013-R4 A2 2013-R4 A3 2013-R4 B 2013-R4 C 2013-R4 D 2013-F1 A 2013-F1 B 2013-F1 C 2013-F1 D
1.485 CAD 194 1.676 CAD 209 1.999 CAD 98 2.523 CAD 16 2.772 CAD 11 3.118 CAD 11 1.487 CAD 271 1.824 CAD 270 2.275 CAD 116 2.920 CAD 21 3.175 CAD 14 3.422 CAD 14 2.063 CAD 400 2.383 CAD 18 2.633 CAD 26 2.833 CAD 16
01/30/2013 01/30/2013 01/30/2013 01/30/2013 01/30/2013 01/30/2013 10/01/2013 10/01/2013 10/01/2013 10/01/2013 10/01/2013 10/01/2013 06/24/2013 06/24/2013 06/24/2013 06/24/2013
07/31/2013 11/18/2014 04/15/2016 01/15/2018 05/15/2018 01/15/2019 04/01/2014 07/20/2015 01/18/2017 12/20/2017 01/14/2018 01/14/2018 06/15/2016 06/15/2016 06/15/2016 06/15/2016
AAA/--/--/Aaa AAA/--/--/Aaa AAA/--/--/Aaa AA/--/--/Aa1 A/--/--/Aa2 BBB/--/--/A1 AAA/--/AAA/-- AAA/--/AAA/-- AAA/--/AAA/-- AA(high)/--/AA+/-- AA/--/AA/-- A/--/A+/-- AAA/--/--/Aaa AA/--/--/Aa1 A/--/--/Aa2 BBB/--/--/A1
Retail Auto Loan Retail Auto Loan Retail Auto Loan Retail Auto Loan Retail Auto Loan Retail Auto Loan Retail Auto Loan Retail Auto Loan Retail Auto Loan Retail Auto Loan Retail Auto Loan Retail Auto Loan Dealer Floorplan Dealer Floorplan Dealer Floorplan Dealer Floorplan
0.50 Y 1.80 Y 3.21 Y 4.13 Y 4.51 Y 5.09 Y 0.50 Y 1.80 Y 3.30 Y 4.22 Y 4.29 Y 4.29 Y 3.00 Y 3.00 Y 3.00 Y 3.00 Y
345213DE9 345213DG4 345213DJ8 345213DL3 345213DN9 345213DQ2 345213DS8 345213DU3 345213DW9 345213DY5 345213EA6 345213EC2 34528TAU2 34528TAV0 34528TAW8 34528TAX6
Total 2013 Auto ABS Issuance 1,703
Source: SEDAR, BMO Capital Markets
Table 5: Summary of Other ABS New Issuance
Source: SEDAR, BMO Capital Markets
Table 6: Summary of Credit Card ABS 2014 Remaining Maturities (C$ mm, unless noted otherwise)
Issuer
Originator
Series
Tranche
Coupon (%)
Curr.
Amount (C$ mm)
Issue Date
Expected Maturity
Credit Rating (DBRS/Moody's)
Asset Class
WAL to Call
Cusip
Other ABS Issuance - 2013
Hollis Scotiabank 2013-1 A 2.235 CAD 500 10/02/2013 09/26/2016 AAA/Aaa Line of Credit na 43562ZAA0 Genesis TD 2013-1 A 2.295 CAD 1,000 10/04/2013 02/15/2017 AAA/Aaa Line of Credit na 37185ZAA9
Total 2013 Other ABS Issuance 1,500
Issuer
Seller
Coupon %
Maturity
AAA
Sub
Series
Notes
Gloucester Glacier Master CARDS II CARDS II
TD (formerly MBNA Canada) 5.38% Canadian Tire 4.41% BMO 1.43% CIBC Floating CIBC Floating
05/15/2014 05/20/2014 05/21/2014 07/15/2014 09/15/2014
254 47 239 14 724 42 500 52
US 1,000 68
2004-1
2006-2
2013-1 Snr Retained 2012-3 Retained 2012-4
Total C$ Maturities 1,716 223
Total US$ Maturities US 1,000
Source: DBRS, BMO Capital Markets, Bloomberg