DBRS Finalizes Ratings on PCL Funding II PLC, Series 2017-1 Notes

DBRS, Inc. (DBRS) has today finalized the provisional ratings on the following Series 2017-1 Notes issued by PCL Funding II PLC:

-- GBP 254,250,000 Series 2017-1, Class A Notes rated AAA (sf)
-- GBP 16,500,000 Series 2017-1, Class B Notes rated A (high) (sf)
-- GBP 11,250,000 Series 2017-1, 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 Series 2017-1 Notes. Credit enhancement levels are sufficient to support the DBRS-projected expected cumulative net loss assumption under various stress scenarios at each target rating level.
-- DBRS rating analysis incorporates the risks related to defaults by obligor, related insurance carrier and/or related intermediary as well as the 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.
-- The transaction parties’ capabilities with respect to originations, underwriting, servicing and 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.

The assets securing the Series 2017-1 Notes will be a revolving pool of commercial and consumer financing agreements, originated primarily in the United Kingdom, financing non-life insurance premiums, sport and leisure membership fees, professional membership fees and private school tuition. The reinvestment period for the Series 2017-1 Notes will expire in June 2020 and the Series 2017-1 Notes will have final maturity in June 2022. Premium Credit Limited will act as the servicer and Link Financial Outsourcing Limited will be the backup servicer.

Notes:
All figures are in Great Britain pounds unless otherwise noted.

The principal methodologies are Rating European Consumer and Commercial Asset-Backed Securitisations, Rating CLOs Backed by Loans to European SMEs and Rating CLOs and CDOs of Large Corporate Credit, 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.

Please see the attached appendix for additional information regarding sensitivity of assumptions used in the rating process.