DBRS Assigns Ratings to the Term Notes and the Variable Funding Notes issued by PCL Funding I Limited

DBRS, Inc. (“DBRS”) has today assigned a rating of ‘A’ (sf) to a maximum £950,000,000 of pari passu Term Notes and Variable Funding Notes (collectively, the “Notes”) issued by PCL Funding I Limited.

The ratings are based upon review by DBRS of the following analytical considerations:

• Transaction capital structure and form and sufficiency of available credit enhancement.
• Relevant credit enhancement in the form of a liquidity cash reserve account and overcollateralization. Credit enhancement levels are sufficient to support DBRS projected expected cumulative net loss (CNL) assumption under various stress scenarios at a ‘A’ (sf) standard for the Notes.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
• The transaction parties’ capabilities with respect to originations, underwriting, servicing, and financial strength.
• The credit quality of the collateral and ability of the Servicer to manage collections activities on the collateral.
• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

The assets securing the Notes are a revolving pool of commercial and consumer loans originated primarily in the United Kingdom and financing non-life insurance premiums, sport & leisure membership fees, professional membership fees and private school tuition. The committed revolving period of the facility expires in October 2015, and the facility has a final maturity in 2017. Lloyds TSB Bank plc serves as Administrative Agent and the facility has several committed lenders.

Note:
All figures are in pounds sterling unless otherwise noted.

The principal methodologies applicable are:
• European Consumer and Commercial Asset-Backed Securitisations
• Legal Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European ABS and SME CLO Servicers
• Master European Granular Corporate Securitizations (SME CLOs)
• Swap Criteria for European Structured Finance Transactions
• Unified Interest Rate Model Methodology for European Securitisations

These can be found on dbrs.com under Methodologies. For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”.

The sources of information used for this rating include performance data relating to the receivables provided by Premium Credit Limited. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is the first DBRS rating on this financial instrument.

This is a newly created financial instrument.

For additional information on this rating, please see the linking document.

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link or by contacting us at info@dbrs.com.

This credit rating has been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

Lead Analyst: Sergey Moiseenko
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 31 October 2012