DBRS Upgrades Rating on Sligo Card Finance 2015

DBRS Ratings Limited (DBRS) upgraded its rating on the Class A Notes issued by Sligo Card Finance 2015 Designated Activity Company (the Issuer) to AA (sf) from A (sf).

The upgrade follows an annual review of the transaction and is based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies, Charge-off Rate, Principal Payment Rate and Portfolio Yield Rate, as of the October 2017 payment date.
-- Given the transaction is still in its revolving period, no early amortisation events have occurred.
-- Current available credit enhancement to the Class A Notes commensurate with the AA (sf) rating level.

Sligo Card Finance 2015 is a securitisation of credit card receivables originated and serviced by AvantCard DAC and extended to Irish consumers.

PORTFOLIO PERFORMANCE AND ASSUMPTIONS
As of the October 2017 payment date, the Monthly Principal Payment rate was 20.7%, above the DBRS base case assumption of 12.0%. The Annualised Portfolio Yield was 20.0%, above the DBRS base case assumption of 16.0%. The Annualised Charge-Off Rate was 1.4%, below the original DBRS base case assumption of 12.5%. Given the performance of the portfolio to date, the base case Charge-Off assumption was reduced to 9.9% from 12.5%. The 90+ delinquency ratio was at 0.9%.

CREDIT ENHANCEMENT AND RESERVE
Credit enhancement to the Class A Notes is provided by subordination of the Class B Notes and has remained stable at 13.0%.

The transaction benefits from a reserve fund, which provides liquidity support to the transaction. As of the October 2017 payment date, the reserve fund was at its target level of EUR 3,768,453.

Elavon Financial Services DAC, UK Branch is the Account Bank for the transaction. The DBRS private rating of Elavon Financial Services DAC, UK 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 methodology applicable to the rating is: 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. Due to the inclusion of a revolving period in the transaction, the analysis continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents.

A review of the transaction legal documents was not conducted as the legal 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 commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” at: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of data and information used for this rating include investor reports provided by U.S. Bank Global Trust Services and servicer reports provided by AvantCard DAC.

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

At the time of the initial rating DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the data and information available to it for the purposes of providing this rating to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on this transaction took place on 17 November 2016 when DBRS confirmed the rating on the Class A Notes at A (sf).

The lead analyst responsibilities for this transaction have been transferred to Andrew Lynch.

Information regarding DBRS ratings, including definitions, policies and methodologies, is 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 with the parameters used to determine the rating (the “Base Case”):
-- DBRS expected the Base Case Payment Rate, Yield Rate and Charge-off Rate for the pool based on a review of the transaction performance. 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, Portfolio Yield Rate and Charge-Off Rate for the current pool of receivables are 12.0%, 16.0% and 9.9%, respectively.
-- The Risk Sensitivity overview below illustrates the ratings expected for the Class A Notes if each variable was stressed over the Base Case assumption, while holding the other variables constant. For example, if the Charge-Off rate increases by 50% and the Yield Rate decreases by 50%, the rating for the Class A Notes would be expected to remain at AA (sf), all else being equal. If the Payment Rate decreases by 50% and the Charge-Off rate increases by 50%, the rating for the Class A Notes would be expected to fall to A (low) (sf), all else being equal.

Class A Notes risk sensitivity:
-- While 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 AA (sf) rating of the Class A Notes.
-- While 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 AA (sf) rating of the Class A Notes.
-- While 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 result in a downgrade of the AA (sf) rating of the Class A Notes to A (sf).
-- While 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 AA (sf) rating of the Class A Notes to A (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 result in a downgrade of the AA (sf) rating of the Class A Notes to A (low).
-- 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 AA (sf) rating of the Class A Notes to A (low) (sf).

For further information on DBRS historical 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 and US regulations only.

Lead Analyst: Andrew Lynch, Assistant Vice President
Rating Committee Chair: Vito Natale, Senior Vice President
Initial Rating Date: 17 November 2015

DBRS Ratings Limited
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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
-- Master European Structured Finance Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- European Consumer and Commercial Asset-Backed Securitisations
-- 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.