DBRS Finalizes Provisional Ratings on PCL Funding III PLC, Series 2017-2 Notes

DBRS, Inc. (DBRS) finalized its provisional ratings on the Series 2017-2 Notes (the Notes) issued by PCL Funding III PLC (the Issuer) as follows:

-- GBP 255,000,000 Series 2017-2 Class A Notes rated AAA (sf)
-- GBP 17,250,000 Series 2017-2 Class B Notes rated A (high) (sf)
-- GBP 11,250,000 Series 2017-2 Class C Notes rated BBB (high) (sf)

The ratings are based on DBRS’s review of the following analytical considerations:

-- Transaction capital structure and form and sufficiency of available credit enhancement.
-- Historical performance data on the credit quality of the collateral and the performance of existing securitization series to date.
-- Relevant credit enhancement in the form of a liquidity reserve and subordination of the junior classes of the Notes. Credit enhancement levels are sufficient to support the DBRS-projected expected cumulative net loss assumption under various stress scenarios at each rating level.
-- DBRS’s rating analysis incorporates the risks related to defaults by 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 a sensitivity analysis related to the grandfathering provision in the excess concentration limits with respect to certain changes in insurance carrier/intermediary mix.
-- The transaction parties’ capabilities with respect to originations, underwriting and servicing as well as financial strength.
-- The legal structure and presence of legal opinions addressing the transfer 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 Securitisations, 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.

The full report providing additional analytical detail is available by clicking on the link under Related Research at the right of the screen or by contacting us at info@dbrs.com.