DBRS Finalizes AAA (sf) Provisional Rating on Hollis Receivables Term Trust II, Series 2015-2, Class A

DBRS Limited (DBRS) has today finalized its provisional rating of AAA (sf) on the Receivables-Backed Floating Rate Class A Notes, Series 2015-2 (the Class A Notes) issued by Hollis Receivables Term Trust II (the Trust). The Class B Notes are not rated by DBRS.

The Expected Final Payment Date is December 20, 2016.

The rating is based on the following factors:

(1) The level of credit enhancement provided by 17.0% subordination and excess spread of 3.5% after the swap and the cash reserve account, which could build up to 2.0% of the initial invested amount, is commensurate with the AAA (sf) rating assigned.

(2) The loss rate has been low and stable, generally ranging from 1.0% to 2.0% since 2009.

(3) The experience of Bank of Nova Scotia to manage a large, well-diversified, unsecured line of credit portfolio.

DBRS stress testing indicates that simultaneous declines in yield and payment rates and increases in losses would not result in a failure of the Trust in repaying the Class A Notes on a timely basis.

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

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link to the right under Related Research or by contacting us at info@dbrs.com.

The applicable methodologies are Rating Canadian Credit Card and Personal Line of Credit Securitizations (November 2014), Legal Criteria for Canadian Structured Finance (August 2014) and Derivatives Criteria for Canadian Structured Finance (August 2014), which are available on our website under Methodologies.

The full report providing additional analytical detail is available by clicking on the link under Related Research at the right of the screen or by contacting us at info@dbrs.com.