DBRS Confirms Plaza Trust at R-1 (high) (sf)

DBRS has today confirmed the Series 1 Asset-Backed Commercial Paper Notes (the Notes) of Plaza Trust (Plaza or the Trust) at R-1 (high) (sf) following the addition of a new transaction (Transaction 56) to the Trust on March 30, 2011.

As part of DBRS’s ongoing efforts to increase the transparency of reporting asset-backed commercial paper (ABCP) conduit activity, DBRS has today released a Transaction Summary report providing details of Transaction 56, which consists of a portfolio of retail auto loans and dealer floorplan receivables.

DBRS has provided a conditional rating confirmation on Plaza Trust’s Notes. The sponsor bank has elected to fully credit enhance or “wrap” the transaction with a liquidity facility. The liquidity facility will be used to repay outstanding principal and interest on the Notes, if required.

Note: There are two temporary exceptions to DBRS policy:

1. Reliance on the liquidity wrap represents a temporary exception to DBRS’s applicable Canadian methodologies and criteria.
2. Post-closing review of documentation also represents an exception to DBRS’s applicable Canadian methodologies and criteria.

Rationale: The temporary exceptions to policy are based on (i) the availability of Program wide credit enhancement from Royal Bank of Canada equal to 10% of Plaza Trust’s outstanding Notes. Based on current Plaza Trust outstandings, the available credit enhancement is approximately equal to 100% of the maximum funding available under the transaction, and (ii) delivery by RBC of transaction documentation as required by DBRS within a limited timeframe and a commitment from RBC to remove the transaction from Plaza Trust if review of the underlying documents reveals that the transaction does not comply with DBRS’s published methodologies, as listed below.

Notes:
The applicable methodologies are Rating Canadian Auto Loan Securitization, Rating Canadian Auto Lease Transactions, Canadian Wholesale Floorplan Methodology, Legal Criteria for Canadian Structured Finance, Swap Criteria for Canadian Structured Finance and Rating Canadian ABCP, which can be found on our website under Methodologies.