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

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 the Class B Variable Funding Note, the Notes) issued by Secucor Finance 2013-I Limited (the Issuer).

The confirmations of the ratings on the Class A Notes are based on the following analytical considerations:
-- Portfolio performance, in terms of charge-off, payment and cash yield rate as of the October 2016 payment date.
-- Given the transaction is still in its revolving period, ending on the November 2018 payment date, no early amortisation events have occurred.
-- The current available credit enhancement to the Class A Notes to cover expected losses assumed in line with the AA (sf) rating level.

Secucor Finance 2013-I Limited is a securitisation of amortising consumer loans and store charge card credit facilities originated and serviced by Financiera El Corte Inglés E.F.C., S.A. (FECI), the captive finance company of the El Corte Inglés, S.A. distribution group.

As of October 2016, the monthly principal payment rate was 47.2%, the cash yield rate 18.10% and the charge-off rate 0.9%, slightly better compared to those as of October 2015. Delinquency rates have exhibited a downward trend over the year, with the 30-180 days in arrears at 0.42% of the performing receivables portfolio.

The credit enhancement to the Class A Notes is provided by the subordination of the Class B Variable Funding Note which depends on both the Yield Reserve and Dilution Reserve, the Class A Reserve Fund (currently at its target level of EUR 9 million), and Excess Spread. As of the October 2016 payment date, credit enhancement to the Class A Notes was at 11.05%, above the minimum value to be maintained of 8.26%.

BNP Paribas Securities Services S.A., Spanish Branch acts as Issuer Account Bank for this transaction. The DBRS private rating of BNP Paribas Securities Services S.A., Spanish Branch complies with the Minimum Institution Rating given the rating assigned to the Class A Notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal applicable methodology 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.

An asset and a cash flow analysis were both conducted. However, due to 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.

A review of the transaction legal documents was not conducted as the documents have remained unchanged since the most recent rating action.

Other methodologies referenced in this transaction are listed at the end of this press release.

These 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 reports provided by FECI.

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 30 October 2015 when the ratings of AA (sf) was confirmed on the Class A 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 expected the base case monthly payment rate and charge-off rate for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.

-- The base case portfolio monthly payment rate and charge-off rates for TSC, TS9, FCC and FSC products of the current pool of receivables are 91.2%, 82.2% 11.8%, 22.1 and 3.2%, 10.2%, 9.1% and 2.5%, respectively.

-- The Risk Sensitivity overview below illustrates the ratings expected for the Class A Notes if each variable (monthly payment rate and charge-off rate) was stressed over the base case assumption, while holding the other variables constant. For example, if the charge-off rate increases by 50%, the rating for the Class A Notes would be expected to drop to A (low) (sf), all else being equal. If the payment rate decreases by 50%, the rating for the Class A Notes would be expected to drop to BB (sf), all else being equal.

-- 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 Notes 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 Notes 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 Notes 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 Notes 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 Notes 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 50%, ceteris paribus, would result in a downgrade of the rating of the Class A Notes 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 Notes 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 Notes to below B (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Authority (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: 5 November 2013
Initial Rating Committee Chair: Chuck Weilamann, Managing Director

Lead Surveillance Analyst: Antonio Di Marco, Senior Financial Analyst
Rating Committee Chair: Chuck Weilamann, Managing Director

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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 Originators
-- 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