DBRS says some of the frozen asset-backed commercial paper(ABCP)in Canada is linked to U.S. residential mortgage-backed securities(RMBS).
Approximately 77% of the transactions, calculated by funding amounts, within the affected trusts consist of collateralized debt obligations(CDOs), says the credit rating agency. The remaining 23% consist of “traditional” assets such as mortgages and auto receivables.
“DBRS believes that the vast majority of transactions in the affected trusts continue to exhibit strong credit characteristics consistent with previously assigned ratings,” says a company statement. “However, approximately 7% of the CDO transactions within the affected trusts are U.S. RMBS assets that are principally rated by other ratings agencies.”
Earlier this week, Purdy Crawford, chairman of the pan-Canadian investors committee overseeing the restructuring of third-party ABCP said he expected the problem resolved by the middle of December.
A recent survey found that one in five pension plans don’t know if their assets are exposed to ABCP. To read Pension Funds React to Liquidity Crunch click here.
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