DBRS Confirms Rating on Liquidity Agreement Supporting Pool Number 320 within Thunder Bay Funding, LLC

DBRS, Inc. (DBRS) confirmed the AAA (sf) rating on the Liquidity Asset Purchase Agreement Supporting Pool Number 320, dated as of February 12, 2016, by and among Thunder Bay Funding, LLC, a Delaware limited liability company, as Issuer, and the Royal Bank of Canada (rated AA with a Positive trend by DBRS) as Purchaser and Liquidity Agent. The rating of the liquidity agreement will support Thunder Bay Funding, LLC.

The rating assumes that the liquidity agreement has been invoked, and as such, the Purchaser is the investor of the notes secured by an amortizing pool of automobile loan receivables.

The ratings address the timely payment of interest and the ultimate payment of principal.

Consistent with the DBRS “Rating U.S. Retail Auto Loan Securitizations” methodology and as part of the operational risk review of an originator and servicer, DBRS typically performs an on-site visit or has a call with the originator and servicer. For this transaction, DBRS was asked to provide the rating by a Committed Purchaser, Royal Bank of Canada, not the servicer or any affiliate. This resulted in no access to the Company; consequently, no on-site review was conducted by DBRS. DBRS deems the operational capacity of the Company to be acceptable, with potential risks related to not conducting an on-site review mitigated by a number of factors, including the following:

(1) The Company’s parent is rated BBB (high) with a Stable trend by DBRS.

(2) The Company has sponsored and serviced numerous securitizations of auto loans and leases supported by its own originated collateral. DBRS deems the Company to be an experienced originator and servicer, which is demonstrated by strong performance on its outstanding transactions.

The facility includes derivative counterparties, some of which may have initial ratings below the level of A (high) set forth in the DBRS “Legal Criteria for U.S. Structured Finance” methodology. However, the facility contains downgrade and collateralization provisions relating to such hedge counterparties and DBRS believes the associated risk is consistent with the assigned ratings on the facility.

Notes:
The principal methodologies are Asset-Backed Commercial Paper Criteria Report: U.S. ABCP Conduits and Rating U.S. Retail Auto Loan Securitizations, which can be found on our website under Methodologies.

The rated entity or its related entities did participate in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities.

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