“As a result of the recent volatility in the global credit markets, DBRS has been closely monitoring the credit quality of the affected underlying assets in the Canadian-based ABCP Issuers that it rates,” it said.

DBRS said that on August 13, it received notifications from a number of Canadian ABCP issuers that a disruption had occurred in the Canadian market and some ABCP issuers claimed a “market disruption event” had occurred. “As part of the notification procedure to the applicable liquidity providers, DBRS confirmed the applicable outstanding ratings on the basis of the underlying credit quality of the assets held by the ABCP issuers.”

For several issuers, DBRS said it is of the opinion that assets continue to perform in a manner that is consistent with the ratings that have been assigned.

In a separate release, DBRS said that it received information that as at close of business on August 13, certain issuers requested and received funds from liquidity providers under due to the market disruption. Others requested funds, but had not yet received them.

“Failure to receive funding in a timely manner through the placement of ABCP or funding under the MDE liquidity facilities may result in an event of default under the issuers trust indenture after applicable grace periods have expired,” it noted.

It also notes that most ABCP issuers have liquidity-backed notes maturing on most business days and that the ability for issuers to continue to refinance their maturities with either the issuance of new ABCP or with the assistance of a liquidity facility may change from day to day.

Additionally, the fact that some market participants declared a market disruption event may affect the ability of the ABCP issuers in the Canadian market from rolling their ABCP in the future, it cautions.