DBRS Confirms Ratings of Hollis Receivables Term Trust II

DBRS Limited (DBRS) confirmed the ratings of the following notes (the Notes) issued by Hollis Receivables Term Trust II (the Trust). The confirmation is part of DBRS’s continued efforts to provide timely credit rating opinions and increased transparency to market participants.

-- AAA (sf) for Line of Credit Receivables-Backed Class A Notes, Series 2014-1
-- AAA (sf) for Line of Credit Receivables-Backed Class A Notes, Series 2015-1

The rating confirmation is based on the following factors:

(1) The level of credit enhancement provided by 17% subordination, excess spread and the cash reserve account, which could build up to 2.0% of the initial invested amount if excess spread drops below 0.55%.

(2) The gross yield, net loss rate and principal payment rate have been stable, averaging 6.3%, 1.8% and 6.4%, respectively, since October 2013.

(3) The experience of Bank of Nova Scotia (rated AA with a Negative trend by DBRS as of July 28, 2017) to manage a large, well-diversified, unsecured line of credit portfolio.

The performance and characteristics of the custodial pool and the Notes are available and updated each month in the Monthly Canadian ABS Report (see Related Research at the right of the screen). DBRS conducts a monthly stress testing of each rated class of the Trust, with the results indicating simultaneous declines in yield and payment rates and that increases in losses would not result in a failure of the Trust to repay the Notes on a timely basis. The severity of the tests applied is commensurate with the respective ratings of the Notes.

Notes:
The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link to the right under Related Research or by contacting us at info@dbrs.com.

The principal methodologies are Master Canadian Structured Finance Surveillance Methodology, Rating Canadian Credit Card and Personal Line of Credit Securitizations, Legal Criteria for Canadian Structured Finance and Derivatives Criteria for Canadian Structured Finance, which can be found on dbrs.com under Methodologies.

The rated entity or its related entities did participate in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities.