DBRS Assigns Provisional Ratings to Latitude Australia Credit Card Loan Note Trust – Series 2018-1 and Confirms Ratings on Series 2017-1 and Series 2017-2

DBRS Ratings Limited (DBRS) assigned provisional ratings to the Series 2018-1 Notes issued by Latitude Australia Credit Card Loan Note Trust as follows:

-- Series 2018-1 Class A1 Notes at AAA (sf)
-- Series 2018-1 Class A2 Notes at AAA (sf)
-- Series 2018-1 Class B Notes at AA (sf)
-- Series 2018-1 Class C Notes at A (sf)
-- Series 2018-1 Class D Notes at BBB (sf)
-- Series 2018-1 Class E Notes at BB (sf)

DBRS also took the following rating actions on the Series 2017-1 Notes and Series 2017-2 Notes issued by Latitude Australia Credit Card Loan Note Trust:

-- Series 2017-1 Class A1 Notes confirmed at AAA (sf)
-- Series 2017-1 Class A2 Notes confirmed at AAA (sf)
-- Series 2017-1 Class B Notes confirmed at AA (sf)
-- Series 2017-1 Class C Notes confirmed at A (sf)
-- Series 2017-1 Class D Notes confirmed at BBB (sf)
-- Series 2017-1 Class E Notes confirmed at BB (sf)

-- Series 2017-2 Class A1 Notes confirmed at AAA (sf)
-- Series 2017-2 Class A2 Notes confirmed at AAA (sf)
-- Series 2017-2 Class B Notes confirmed at AA (sf)
-- Series 2017-2 Class C Notes confirmed at A (sf)
-- Series 2017-2 Class D Notes confirmed at BBB (sf)
-- Series 2017-2 Class E Notes confirmed at BB (sf)

The transaction represents the issuance of notes backed by credit card receivables related to credit agreements originated or acquired by Latitude Finance Australia (Latitude) to customers in Australia and assigned to the Latitude Australia Credit Card Master Trust. DBRS previously assigned ratings to the Issuer’s Series 2017-1 Notes in April 2017 and Series 2017-2 Notes in September 2017.

The majority of credit card accounts within the portfolio were originated by GE Capital Australia prior to its acquisition by a consortium comprising Deutsche Bank AG and funds managed by Värde Management L.P. and KKR & Co. L.P. in November 2015, at which point the business was renamed Latitude, and accounts subsequently originated by Latitude.

With respect to the Series 2018-1 Notes, the Class A1 Notes benefit from a minimum credit support of 32.5% which includes subordination of the Class A2 Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes (collectively 28.0%) and the series-specific Originator VFN (4.5%). Upon closing, part of the initial balance of the Series Originator VFN subordination, equal to 1% of the rated Notes, will be used to fund a specific ledger that provides liquidity support to the transaction. This liquidity support would only be available as credit enhancement if not utilised for liquidity purposes.

The ratings are based on DBRS’s review of the following analytical considerations:
-- The transaction capital structure including the form and sufficiency of available credit enhancement.
-- Credit enhancement levels are sufficient to support the DBRS charge-off, payment and yield rate assumptions under various stress scenarios at a AAA (sf) standard for the Class A1 and Class A2 Notes, AA (sf) standard for the Class B Notes, A (sf) standard for the Class C Notes, BBB (sf) standard for the Class D Notes and BB (sf) standard for the Class E Notes across all outstanding series.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested.
-- The transaction parties’ capabilities with respect to originations, underwriting, servicing and cash management.
-- The credit quality of the collateral and Latitude’s ability to perform collection activities on the collateral.
-- The legal structure and presence of legal opinions addressing the assignment of the assets to the trust and its consistency with DBRS’s “Legal Criteria for European Structured Finance” methodology.
-- Portfolio performance to date in line with DBRS’s expectations, in terms of delinquencies, charge-off rates, principal payment rates and yield rates.

DBRS considers the Australian credit card market to share a similar consumer credit protection framework to that of European jurisdictions. Furthermore, the performance and operation of Latitude’s portfolio is deemed comparable with other originators where DBRS has previously assigned structured finance ratings. Subsequently, DBRS has elected to continue to reference its “Rating European Consumer and Commercial Asset-Backed Securitisations” methodology when assessing the transaction.

Notes:
All figures are in Australian dollars unless otherwise noted.

The principal methodologies applicable to the ratings are: “Rating European Consumer and Commercial Asset-Backed Securitisations” and “Master European Structured Finance Surveillance Methodology”.

DBRS has applied the principal methodologies consistently and conducted a review of the transaction in accordance with the principal methodologies.

An asset and a cash flow analysis were both conducted.

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 “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.

The sources of data and information used for these ratings include monthly historical dynamic data from Q1 2007 to Q4 2017 from Bank of America Merrill Lynch in its capacity as Arranger. The data was then further broken down by product type from Q1 2010 onwards; static data was supplied in relation to charge-offs and payment rate. This data was supplemented with additional data, including the investor reports from the Series 2017-1 Notes and Series 2017-2 Notes, that allowed DBRS to assess 1) the stock and flow of hardship arrangements (repayment plans), 2) portfolio attrition rates, 3) delinquency and roll-rate analysis, 4) recoveries on charged-off accounts, 4) fraud/dilutions, and 5) portfolio mix through the provision of stratification tables.

All information used for these ratings was sourced by Latitude directly or indirectly through the Arranger, Bank of America Merrill Lynch.

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

At the time of the initial rating, DBRS was not 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 these ratings 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 ratings on the Series 2018-1 Notes concern a newly issued financial instrument. These are the first DBRS ratings on this financial instrument. The rating actions on the Series 2017-1 Notes and Series 2017-2 Notes are the first rating actions since the Initial Rating Date.

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 to the parameters used to determine the rating (the Base Case):

• Charge-off Rate Used: base case of 6.25%, stressed with a 25% and 50% increase on the base case charge-off rate.
  -- Monthly Principal Payment Rate Used: base case of 11.25%, stressed with a 25% and 50% decrease on the base case payment rate.
  -- Yield Rate Used: base case of 12.5%, stressed with a 25% and 50% decrease on the base case yield rate.

DBRS concludes that for the Series 2018-1 Notes:

-- Whilst 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 AAA (sf) rating of the Class A1 Notes.
-- Whilst 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 AAA (sf) rating of the Class A1 Notes.
-- Whilst 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 not result in a downgrade of the AAA (sf) rating of the Class A1 Notes.
-- Whilst 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 AAA (sf) rating of the Class A1 Notes to A (high) (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 not result in a downgrade of the AAA (sf) rating of the Class A1 Notes.
-- 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 AAA (sf) rating of the Class A1 Notes to A (sf).

-- Whilst 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 result in a downgrade of the AAA (sf) rating of the Class A2 Notes to AA (sf).
-- Whilst 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 result in a downgrade of the AAA (sf) rating of the Class A2 Notes to A (high) (sf).
-- Whilst 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 AAA (sf) rating of the Class A2 Notes to AA (low) (sf).
-- Whilst 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 AAA (sf) rating of the Class A2 Notes to BBB (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 AAA (sf) rating of the Class A2 Notes to AA (low) (sf).
-- 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 AAA (sf) rating of the Class A2 Notes to BBB (low) (sf).

-- Whilst 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 result in a downgrade of the AA (sf) rating of the Class B Notes to A (sf).
-- Whilst 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 result in a downgrade of the AA (sf) rating of the Class B Notes to BBB (sf).
-- Whilst 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 B Notes to A (low) (sf).
-- Whilst 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 B Notes to BB (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 B Notes to BBB (high) (sf).
-- 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 B Notes to BB (high) (sf).

-- Whilst 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 result in a downgrade of the A (sf) rating of the Class C Notes to BBB (low) (sf).
-- Whilst 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 result in a downgrade of the A (sf) rating of the Class C Notes to BB (sf).
-- Whilst 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 A (sf) rating of the Class C Notes to BBB (low) (sf).
-- Whilst 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 A (sf) rating of the Class C Notes to B (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 A (sf) rating of the Class C Notes to BBB (low) (sf).
-- 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 A (sf) rating of the Class C Notes to BB (low) (sf).

-- Whilst 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 result in a downgrade of the BBB (sf) rating of the Class D Notes to BB (low) (sf).
-- Whilst 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 result in a downgrade of the BBB (sf) rating of the Class D Notes to B (sf).
-- Whilst 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 BBB (sf) rating of the Class D Notes to BB (low) (sf).
-- Whilst 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 BBB (sf) rating of the Class D Notes to below B (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 BBB (sf) rating of the Class D Notes to BB (sf).
-- 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 BBB (sf) rating of the Class D Notes to B (sf).

-- Whilst 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 result in a downgrade of the BB (sf) rating of the Class E Notes to B (sf).
-- Whilst 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 result in a downgrade of the BB (sf) rating of the Class E Notes to below B (sf).
-- Whilst 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 BB (sf) rating of the Class E Notes to B (sf).
-- Whilst 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 BB (sf) rating of the Class E Notes to below B (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 BB (sf) rating of the Class E Notes to B (sf).
-- 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 BB (sf) rating of the Class E Notes to below B (sf).

DBRS concludes that for the Series 2017-1 Notes:

-- Whilst 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 AAA (sf) rating of the Class A1 Notes.
-- Whilst 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 AAA (sf) rating of the Class A1 Notes.
-- Whilst 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 not result in a downgrade of the AAA (sf) rating of the Class A1 Notes.
-- Whilst 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 AAA (sf) rating of the Class A1 Notes to AA (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 not result in a downgrade of the AAA (sf) rating of the Class A1 Notes.
-- 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 AAA (sf) rating of the Class A1 Notes to A (high) (sf).

-- Whilst 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 result in a downgrade of the AAA (sf) rating of the Class A2 Notes to AA (sf).
-- Whilst 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 result in a downgrade of the AAA (sf) rating of the Class A2 Notes to A (high) (sf).
-- Whilst 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 AAA (sf) rating of the Class A2 Notes to AA (sf).
-- Whilst 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 AAA (sf) rating of the Class A2 Notes to BBB (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 AAA (sf) rating of the Class A2 Notes to AA (low) (sf).
-- 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 AAA (sf) rating of the Class A2 Notes to BBB (low) (sf).

-- Whilst 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 result in a downgrade of the AA (sf) rating of the Class B Notes to A (sf).
-- Whilst 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 result in a downgrade of the AA (sf) rating of the Class B Notes to BBB (sf).
-- Whilst 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 B Notes to A (low) (sf).
-- Whilst 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 B Notes to BB (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 B Notes to BBB (high) (sf).
-- 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 B Notes to BB (high) (sf).

-- Whilst 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 result in a downgrade of the A (sf) rating of the Class C Notes to BBB (sf).
-- Whilst 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 result in a downgrade of the A (sf) rating of the Class C Notes to BB (sf).
-- Whilst 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 A (sf) rating of the Class C Notes to BBB (low) (sf).
-- Whilst 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 A (sf) rating of the Class C Notes to B (high) (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 A (sf) rating of the Class C Notes to BBB (low) (sf).
-- 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 A (sf) rating of the Class C Notes to B (high) (sf).

-- Whilst 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 result in a downgrade of the BBB (sf) rating of the Class D Notes to BB (low) (sf).
-- Whilst 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 result in a downgrade of the BBB (sf) rating of the Class D Notes to B (sf).
-- Whilst 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 BBB (sf) rating of the Class D Notes to BB (low) (sf).
-- Whilst 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 BBB (sf) rating of the Class D Notes to below B (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 BBB (sf) rating of the Class D Notes to BB (sf).
-- 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 BBB (sf) rating of the Class D Notes to B (sf).

-- Whilst 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 result in a downgrade of the BB (sf) rating of the Class E Notes to B (sf).
-- Whilst 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 result in a downgrade of the BB (sf) rating of the Class E Notes to below B (sf).
-- Whilst 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 BB (sf) rating of the Class E Notes to B (sf).
-- Whilst 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 BB (sf) rating of the Class E Notes to below B (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 BB (sf) rating of the Class E Notes to B (high) (sf).
-- 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 BB (sf) rating of the Class E Notes to below B (sf).

DBRS concludes that for the Series 2017-2 Notes:

-- Whilst 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 AAA (sf) rating of the Class A1 Notes.
-- Whilst 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 AAA (sf) rating of the Class A1 Notes.
-- Whilst 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 not result in a downgrade of the AAA (sf) rating of the Class A1 Notes.
-- Whilst 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 AAA (sf) rating of the Class A1 Notes to AA (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 not result in a downgrade of the AAA (sf) rating of the Class A1 Notes.
-- 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 AAA (sf) rating of the Class A1 Notes to A (high) (sf).

-- Whilst 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 result in a downgrade of the AAA (sf) rating of the Class A2 Notes to AA (sf).
-- Whilst 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 result in a downgrade of the AAA (sf) rating of the Class A2 Notes to A (high) (sf).
-- Whilst 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 AAA (sf) rating of the Class A2 Notes to AA (low) (sf).
-- Whilst 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 AAA (sf) rating of the Class A2 Notes to BBB (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 AAA (sf) rating of the Class A2 Notes to AA (low) (sf).
-- 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 AAA (sf) rating of the Class A2 Notes to BBB (low) (sf).

-- Whilst 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 result in a downgrade of the AA (sf) rating of the Class B Notes to A (sf).
-- Whilst 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 result in a downgrade of the AA (sf) rating of the Class B Notes to BBB (sf).
-- Whilst 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 B Notes to A (low) (sf).
-- Whilst 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 B Notes to BB (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 B Notes to BBB (high) (sf).
-- 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 B Notes to BB (high) (sf).

-- Whilst 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 result in a downgrade of the A (sf) rating of the Class C Notes to BBB (sf).
-- Whilst 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 result in a downgrade of the A (sf) rating of the Class C Notes to BB (sf).
-- Whilst 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 A (sf) rating of the Class C Notes to BBB (low) (sf).
-- Whilst 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 A (sf) rating of the Class C Notes to B (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 A (sf) rating of the Class C Notes to BBB (low) (sf).
-- 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 A (sf) rating of the Class C Notes to BB (low) (sf).

-- Whilst 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 result in a downgrade of the BBB (sf) rating of the Class D Notes to BB (low) (sf).
-- Whilst 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 result in a downgrade of the BBB (sf) rating of the Class D Notes to B (sf).
-- Whilst 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 BBB (sf) rating of the Class D Notes to BB (low) (sf).
-- Whilst 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 BBB (sf) rating of the Class D Notes to below B (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 BBB (sf) rating of the Class D Notes to BB (sf).
-- 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 BBB (sf) rating of the Class D Notes to B (sf).

-- Whilst 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 result in a downgrade of the BB (sf) rating of the Class E Notes to B (sf).
-- Whilst 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 result in a downgrade of the BB (sf) rating of the Class E Notes to below B (sf).
-- Whilst 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 BB (sf) rating of the Class E Notes to B (sf).
-- Whilst 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 BB (sf) rating of the Class E Notes to below B (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 BB (sf) rating of the Class E Notes to B (high) (sf).
-- 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 BB (sf) rating of the Class E Notes to below B (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: Christian Aufsatz, Managing Director
Initial Rating Date: 6 March 2017

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.

-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Legal Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- Interest Rate Stresses for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology

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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.