DBRS Confirms NCF Dealer Floorplan Master Trust, Series 2014-1 Ratings and Removes from Under Review-Developing

DBRS, Inc. (DBRS) has today confirmed the ratings of NCF Dealer Floorplan Master Trust, Series 2014-1 and has removed the ratings from Under Review with Developing Implications. DBRS placed the ratings Under Review with Developing Implications upon the publication of an updated DBRS rating methodology entitled “Rating U.S. Wholesale Securitizations.” This confirmation also includes application of the updated methodology “Unified Interest Rate Model for Rating U.S. Structured Finance Transactions.”

Additional analysis was performed in accordance with the updated methodology to ensure the existing credit enhancement levels provide sufficient support to withstand stresses. Since payment rates and the payment rate triggers are lower than typical DBRS-rated wholesale ABS transactions, DBRS adjusted the loss timing curve and payment rate stresses so the peak and floor, respectively, were reached over a 24-month period.

For the purposes of the confirmation, the following base case variables were assumed: payment rates of 8.0%, annualized losses of 4.85% and yield of 4.90%. Additionally, annualized losses (annualized defaults net of recoveries) were as follows (all figures are Updated):

Starting Losses: 4.85%

Peak Losses:
-- AA (sf) at 16.98%
-- A (sf) at 14.55%
-- BBB (sf) at 12.85%
-- BB (sf) at 9.70%

Existing credit enhancement levels provide support to withstand stresses contained in the new rating methodologies consistent with expectations for the assigned ratings.

Notes:
The applicable methodologies are Rating U.S. Wholesale Securitizations, Unified Interest Rate Model for Rating U.S. Wholesale ABS Transactions and DBRS Master U.S. ABS Surveillance Methodology, which can be found on our website under Methodologies.

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

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.