DBRS Confirms Rating on Securitisation of Catalogue Assets Limited

DBRS Ratings Limited (DBRS) has today confirmed its A (sf) rating on the Class A VFN Notes issued by Securitisation of Catalogue Assets Limited (SOCA) upon the execution of the following proposed amendments:

• The revolving period is extended to December 2018;
• The Class A VFN Margin is reduced from 2.5% to 2.25%;
• The Class A VFN Commitment has increased from £1,168,500,000 to £1,215,000,000;
• Link Financial Outsourcing Limited has replaced PwC as back-up servicer.

The rating confirmation is based on the considerations listed below:
-- The sufficiency of available credit enhancement in the form of subordination and overcollateralisation.
-- Portfolio performance, in terms of level of charge-off, payment rate and cash yield rate as of the October 2015 payment date.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
-- Current available credit enhancement to the Class A VFN Notes to cover expected losses assumed in line with an A (sf) rating level.

The charge-off, yield and payment rates have been stable over the year. The charge-off rate (excluding DMA and Dilution) slightly decreased over the year, from 13.56% to 13.40%, while the cash yield rate increased from 15.92% to 17.98%. The payment rate is currently at 11.11%.

Credit enhancement for the Notes is provided by subordinated Class B VFN and overcollaterisation. Current credit enhancement for the Class A VFN Notes is 28.00%.

The Royal Bank of Scotland plc is the account bank for the transaction. The DBRS rating of the
Royal Bank of Scotland plc complies with DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology, given the rating of the Notes.

Notes:
All figures are in GBP unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology. DBRS conducted a review of the Amendment Agreement, which spells out the amendment under consideration. The other transaction legal documents have remained unchanged since the most recent rating action, and were not reviewed. An asset and a cash flow analysis were both conducted; however, because of the inclusion of a revolving period in the transaction, and no change in assumptions, the initial analysis based on worst-case replenishment criteria set forth in the transaction legal documents was assumed.

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 and monthly reports provided by Shop Direct Finance Company Limited through the arranger. DBRS received monthly dynamic historical performance data on balance, payment, loss and recovery data divided by ageing and pool composition relating to originations.

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 14 November 2014, when DBRS confirmed the rating of A (sf) on the Class A VFN Notes.

Information regarding DBRS ratings, including definitions, policies and methodologies is available at www.dbrs.com.

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios as compared with the parameters used to determine the rating (the base case):

-- Charge-Off Rate Used: Charge-off Rate of 19.00%, a 25% and 50% increase on the base case;
-- Payment Rate Used: Base case Payment Rate of 7.50%, a 25% and 50% increase of the base case;
-- Cash Yield Used: Cash Yield of 11.50%, a 25% and 50% increase on the base case.

Class A VFN Risk Sensitivity:
-- A hypothetical increase of the base case Charge-Off Rate by 25%, ceteris paribus, would lead to a downgrade of the Class A VFN to BBB (sf);
-- A hypothetical increase of the base case Charge-Off Rate by 50%, ceteris paribus, would lead to a downgrade of the Class AVFN to BBB (sf);
-- A hypothetical decrease of the base case Payment Rate by 25%, ceteris paribus, would lead to a downgrade of the Class A VFN to BBB (sf);
-- A hypothetical decrease of the base case Payment Rate by 50%, ceteris paribus, would lead to a downgrade of the Class A VFN to BB (sf);
-- A hypothetical decrease of the base case Cash Yield by 25%, ceteris paribus, would lead to a downgrade of the Class A VFN to BBB (sf);
-- A hypothetical decrease of the base case Cash Yield by 50%, ceteris paribus, would lead to a downgrade of the Class A VFN to BBB (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration 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
Initial Rating Date: 25 November 2013
Initial Rating Committee Chair: Chuck Weilamann

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 and criteria used in the analysis of this transaction can be found at http://www.dbrs.com/about/methodologies and are as follows:

-- Legal Criteria for European Structured Finance Transactions (September 2015)
-- Master European Structured Finance Surveillance Methodology (April 2015)
-- Operational Risk Assessment for European Structured Finance Servicers (January 2015)
-- Rating European Consumer and Commercial Asset-Backed Securitisations (October 2015)
-- Unified Interest Rate Model for European Securitisations (October 2015)

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.