DBRS Finalises Provisional Ratings Assigned to Secucor Finance 2013-I Limited

DBRS Ratings Limited (DBRS) has today assigned a AA (sf) final rating to the Class A1 and Class A2 Notes issued by Secucor Finance 2013-I Limited. The receivables securitised consist of Spanish consumer credit receivables.

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 reserve fund and subordination. Credit enhancement levels are sufficient to support the DBRS projected expected cumulative net loss assumption under various stress scenarios at a AA (sf) standard for the Class A1 Notes and the Class A2 Notes issued by Secucor Finance 2013-I Limited.
• 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 perform collection 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.

Notes:
All figures are in Euro unless otherwise noted.

The principal methodology applicable is Rating European Consumer and Commercial Asset-Backed Securitisations.

Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/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” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of information used for this rating include performance data relating to the receivables provided by Financiera El Corte Inglés via the Arrangers, Banco Santander, S.A. and Deutsche Bank AG, London Branch. DBRS received dynamic and static historical performance data relating to Financiera El Corte Inglés originations by monthly vintage going back to January 2007. Data was also provided relating to delinquencies, and portfolio stratification tables that allowed DBRS to further assess the portfolio. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

This rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

The full report providing additional analytical detail is available by clicking on the link or by contacting us at info@dbrs.com.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):

• Payment Rate Used: Base Case Payment Rate by product of 93.1% for TSC, 81.3% for TS9, 11.1% FCC and 20.6% for FSC; with a 25% and 50% decrease on the Base Case Payment Rate.
• Charge Off Rate Used: Base Case Annualised Charge Off Rate by product of 6.5% for TSC, 17.2% for TS9, 16.0% FCC and 4.6% for FSC; with a 25% and 50% increase on the Base Case Charge Off Rate.

DBRS concludes that for the Class A1 and Class A2 Notes:

• A hypothetical decrease of the base case Payment Rate by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (low) (sf).
• A hypothetical decrease of the base case Payment Rate by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to BB (sf).
• A hypothetical increase of the base case Charge off Rate by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (low) (sf).
• A hypothetical increase of the base case Charge off Rate by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (low) (sf).
• A hypothetical decrease of the base case Payment Rate by 25% and a hypothetical increase of the Charge off Rate by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to BBB (sf).
• A hypothetical decrease of the base case Payment Rate by 50% and a hypothetical increase of the Charge off Rate by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to B (Low) (sf).
• A hypothetical decrease of the base case Payment Rate by 25% and a hypothetical increase of the Charge off Rate by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to BB (High) (sf).
• A hypothetical decrease of the base case Payment Rate by 50% and a hypothetical increase of the Charge off Rate by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to CC (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Initial Lead Analyst: Bruno Franco
Initial Rating Date: November 5th 2013
Initial Rating Committee Chair: Chuck Weilamann

Last Rating Date: Not applicable; no last rating date.

Lead Surveillance Analyst: Keith Gorman
Rating Committee Chair: Chuck Weilamann

DBRS Ratings Limited
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The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.

• Rating European Consumer and Commercial Asset-Backed Securitisations.
• Legal Criteria for European Structured Finance Transactions.
• Operational Risk Assessment for European Structured Finance Servicers.
• Unified Interest Rate Model Methodology for European Securitisations.