DBRS Confirms the Ratings on Secucor Finance 2013-I Limited

DBRS Ratings Limited (“DBRS”) has reviewed Secucor Finance 2013-I Limited (the “Issuer”) and confirms the ratings to the Class A1 and Class A2 Notes (“Class A Notes”) at ‘AA’ (sf).

Confirmation of the ratings for the Notes is based upon the following analytical considerations, as described more fully below:
• The low level of delinquencies as of 15 September 2014 reporting date.
• Levels of Yield Rate, Monthly Payment Rate (MPR) and Charge-Off Rate are within DBRS initial expectations.
• No early-amortization event has occurred.
• Current available credit enhancement to Class A1 and Class A2 Notes to cover the expected losses at the ‘AA’ (sf) rating level.

As of the most recent reporting date, the delinquencies greater than 90 days, 30-60 and 61-90 days were 0.5%, 0.48% and 0.27% respectively.

Credit enhancement for the Class A1 and Class A2 Notes is provided by the subordination of the Class B Variable Funding Note (“VFN”) and a Class A Reserve Fund. The Class B VFN is dynamically sized and its amount is a function of the outstanding Class A Notes and dynamic Loss Reserve, Yield Reserve and Dilution Reserve. The Class A Reserve Fund provides liquidity support and is currently at the target level of €9 million. The current credit enhancement is 24.08%.
All counterparties comply with the current DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in Euro unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include investor reports provided by Deutsche Bank AG, London Branch ("DB") and servicer report provided by Financiera El Corte Inglés E.F.C., S.A.
DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 7 November 2013, when DBRS assigned the ratings of ‘AA’ (sf) to the Class A1 and Class A2 Notes.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the 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”):
• DBRS expected a Base Case Yield Rate, Monthly Payment Rate (MPR) 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.
• Base Case Payment Rate by product of 93.1% for TSC, 81.3% for TS9, 11.1% FCC and 20.6% for FSC; with a 25% and 50% decrease on the Base Case Payment Rate.
Base Case Annualised Charge off Rate by product of 6.5% for TSC, 17.2% for TS9, 16.0% FCC and 4.6% for FSC; with a 25% and 50% increase on the Base Case Charge Off Rate.
• The Risk Sensitivity overview below illustrates the ratings expected for the Class A Notes if each variable (Yield Rate, MPR and Charge-Off Rate) was stressed by a certain percentage over the Base Case assumption, while holding the other variables constant. For example, if the Charge-Off Rate increases by 50% the rating for the Class A Notes would be expected to drop to A (low) (sf), all else being equal. If the MPR decreases by 50% the rating for the Class A Notes would be expected to drop to BB (sf), all else being equal.

Class A Notes Risk Sensitivity:
 A hypothetical decrease of the base case Payment Rate by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (low) (sf).
 A hypothetical decrease of the base case Payment Rate by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to BB (sf).
 A hypothetical increase of the base case Charge off Rate by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (low) (sf).
 A hypothetical increase of the base case Charge off Rate by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (low) (sf).
 A hypothetical decrease of the base case Payment Rate by 25% and a hypothetical increase of the Charge off Rate by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to BBB (sf).
 A hypothetical decrease of the base case Payment Rate by 50% and a hypothetical increase of the Charge off Rate by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to B (Low) (sf).
 A hypothetical decrease of the base case Payment Rate by 25% and a hypothetical increase of the Charge off Rate by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to BB (High) (sf).
 A hypothetical decrease of the base case Payment Rate by 50% and a hypothetical increase of the Charge off Rate by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to CC (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“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 regulations only.

Initial Lead Analyst: Bruno Franco
Initial Rating Date: 7 November 2013
Initial Rating Committee Chair: Chuck Weilamann

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Chuck Weilamann

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The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

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