DBRS Confirms AA (sf) Ratings on Class A Notes of Secucor Finance 2013-I

DBRS Ratings Limited (DBRS) has today confirmed its AA (sf) ratings on the Class A1 and A2 notes (the Class A Notes and collectively with Class B VFN, the Notes) issued by Secucor Finance 2013-I Limited (the Issuer) upon the execution of the following proposed amendments:

-- The revolving period is extended to November 2018 and legal final maturity date is extended to November 2023;
-- Asset Factor Floor is reduced from 23.5% to 9% (and correspondingly, minimum subordination for the Class A Notes is reduced from 19.03% to 8.26%);
-- Issuer Collection Account Banks are reduced to Banco Santander, Banco Bilbao Vizcaya Argentaria and CaixaBank only;
-- The spread on the Class A Notes is reduced from 2.7% to 1% and the spread on the Class B Notes is reduced from 3.5% to 2.2%;
-- A floor of 3% is established for the Dilution Reserve;
-- Senior Expense Reserve is increased from 0.3% to 0.9%; and
-- The floor of stressed Euribor used in the Yield Reserve calculation is increased to 2.25 times of current Euribor from 2 times.

The rating confirmation is based on the considerations listed below:

-- The sufficiency of available credit enhancement in the form of Loss Reserve (subordination), Yield Reserve along with the Class A Reserve Fund, Dilution Reserve, and excess spread.
-- The ability of the transaction’s structure and triggers to withstand stressed cash flow assumptions and repay the Class A Notes according to the terms of the transaction documents.
-- Originator/Servicer’s capabilities with respect to originations, underwriting, servicing and financial strength.
-- The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

The transaction was modelled in DaVinci, a proprietary DBRS cash flow model and the Notes return all specified cash flows in a timely manner.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is:
“Rating European Consumer and Commercial Asset-Backed Securitisations”
Other methodologies referenced in this transaction are listed at the end of this press release. This may be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to DBRS’s “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of information used for these ratings include investor reports provided by Deutsche Bank AG, London Branch and servicer report provided by Financiera El Corte Inglés E.F.C., S.A.

DBRS does not rely upon third-party due diligence in order to conduct its analysis.

• DBRS was not supplied with third party assessments. However, this did not impact the rating analysis.

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.

The last rating action on this transaction took place on 20 October 2014 when the rating of AA (sf) was confirmed on Class A1 and A2 Notes.

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

To assess the impact of 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):

DBRS concludes that for the Class A Notes:

-- Whilst holding the Payment Rate constant, a hypothetical increase of the base case Charge-Off Rate by 25% would result in a downgrade of the rating of the Class A to AA (low) (sf).
-- Whilst holding the Payment Rate constant, a hypothetical increase of the base case Charge-Off Rate by 50% would result in a downgrade of the rating of the Class A to A (low) (sf).
-- Whilst holding the Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 25% would result in a downgrade of the rating of the Class A to A (low) (sf).
-- Whilst holding the Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 50% would result in a downgrade of the rating of the Class A to BB (sf).
-- A hypothetical decrease of the base case Payment Rate by 25% and a hypothetical increase of the base case Charge-Off Rate by 25%, ceteris paribus, would result in a downgrade of the rating of the Class A to BBB (sf).
-- A hypothetical decrease of the base case Payment Rate by 25% and a hypothetical increase of the base case Charge-Off Rate by 250%, ceteris paribus, would result in a downgrade of the rating of the Class A to BB (high) (sf).
-- A hypothetical decrease of the base case Payment Rate by 50% and a hypothetical increase of the base case Charge-Off Rate by 25%, ceteris paribus, would result in a downgrade of the rating of the Class A to B (low) (sf).
-- A hypothetical decrease of the base case Payment Rate by 50% and a hypothetical increase of the base case Charge-Off Rate by 50%, ceteris paribus, would result in a downgrade of the rating of the Class A to below B (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 5, 2013
Initial Rating Committee Chair: Chuck Weilamann

Lead Analyst: Kevin Chiang
Lead Surveillance Analyst: Antonio Di Marco
Rating Committee Chair: Chuck Weilamann

DBRS Ratings Limited
1 Minster Court, 10th Floor Mincing Lane, London EC3R 7AA
United Kingdom
Registered in England and Wales: No. 7139960

The rating methodologies 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
Master European Structured Finance Surveillance Methodology
Operational Risk Assessment for European Structured Finance Servicers
Unified Interest Rate Model for European Securitisations

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375