DBRS Assigns Rating to Sligo Card Finance 2015

DBRS Ratings Limited (DBRS) has today assigned a rating to the Class A notes (the Notes) issued by Sligo Card Finance 2015 Plc (the Issuer) as follows:

-- A (sf) to Class A Asset Backed Floating Rate Notes

The Notes are backed by credit card receivables acquired by AvantCard Limited, the Transferor, in the Republic of Ireland.

The rating is based on the considerations listed below:
-- The sufficiency of available credit enhancement in the form of subordination (13.0% for Class A) and excess spread.
-- The ability of the transaction’s structure and triggers to withstand stressed cash flow assumptions and repay the Notes in full according to the terms of the transaction documents.
-- The Transferor and its delegates’ capabilities of performing activities with respect to cash management, data processing and servicing.
-- The legal structure and presence of legal opinions addressing the assignment of the assets to the Receivables Trustee and the consistency with DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

The transaction was modeled 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

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.
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 the DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”
found at 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 the Transferor. DBRS received updated monthly dynamic historical performance data and static performance by cohort on payment, yield, loss and recovery data relating to originations going back to January 2008.

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

DBRS was supplied with third party assessments at the issuance of the Notes. 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.

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

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% and a hypothetical decrease of the base case Yield Rate by 25%, ceteris paribus, would not result in a downgrade of the A (sf) rating of the Class A Notes.
-- Whilst holding the Payment Rate constant, a hypothetical increase of the base case Charge-Off Rate by 50% and a hypothetical decrease of the base case Yield Rate by 50%, ceteris paribus, would not result in a downgrade of the A (sf) rating of the Class A Notes.
-- Whilst holding the Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 25% and a hypothetical decrease of the base case Yield Rate by 25%, ceteris paribus, would not result in a downgrade of the A (sf) rating of the Class A Notes.
-- Whilst holding the Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 50% and a hypothetical decrease of the base case Yield Rate by 50%, ceteris paribus, would result in a downgrade of the A (sf) rating of the Class A Notes to BBB (low) (sf).
-- Whilst holding the Yield Rate constant, 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 not result in a downgrade of the A (sf) rating of the Class A Notes.
-- Whilst holding the Yield Rate constant, 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 A (sf) rating of the Class A Notes to BBB (low) (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: Alessio Pignataro, Vice President
Initial Rating Date: 17 November 2015
Initial Rating Committee Chair: Jamie Feehely, Managing Director, Canadian Structured Finance

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

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