DBRS Upgrades Rating on Senior ETNs of Series 2012 Senior VFN, Issued by PCL Funding I Limited

DBRS, Inc. (DBRS) upgraded the rating on Senior Eligible Trust Notes (ETNs) of the Series 2012 Senior Variable Funding Notes (VFNs) issued by PCL Funding I Limited (the Issuer) to AAA (sf) from AA (high) (sf). The transaction, up to a maximum of GBP 850,000,000, represents a restructuring of a warehouse funding facility for the benefit of Premium Credit Limited and was most recently rated by DBRS in February 2017.

The rating is based on DBRS’s review of the following analytical considerations:
-- Updated historical performance data and improvement in certain operational metrics allowed for the reduction in the stressed loss assumption by DBRS.
-- DBRS rating analysis incorporates the risks related to defaults by the obligor, related insurance carrier and/or related intermediary as well as currency volatility. Cash flow modeling scenarios generally reflect the worst-case collateral pool mix at the end of the revolving period. In addition, DBRS runs additional sensitivity analysis related to the grandfathering provision in the excess concentration limits with respect to certain changes in insurance carrier/intermediary mix.
-- Relevant credit enhancement in the form of a liquidity cash reserve account and subordinated ETNs. Credit enhancement levels are sufficient to support the DBRS-projected expected cumulative net loss assumption under various stress scenarios at a rating level of AAA (sf).
-- The transaction parties’ capabilities with respect to originations, underwriting, servicing and financial strength.
-- The legal structure and presence of legal opinions addressing the assignment of collateral assets to the Issuer and the consistency with DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in British pounds sterling unless otherwise noted.

The principal methodologies are Rating European Consumer and Commercial Asset-Backed Securities, Legal Criteria for European Structured Finance Transactions, Rating CLOs and CDOs of Large Corporate Credit, and Rating CLOs Backed by Loans to European SMEs, which can be found on dbrs.com under Methodologies.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

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.