Press Release

DBRS Assigns Provisional Ratings of AAA (sf), AA (sf), A (sf) and BBB (sf) to SCL V

Consumer Loans & Credit Cards
October 26, 2015

DBRS Ratings Limited (DBRS) has today assigned provisional ratings to the Class A, Class B, Class C and Class D Notes (collectively with the unrated Class E Notes, the Notes) to be issued by Scandinavian Consumer Loans V (SCL V or the Issuer) as follows:

-- AAA (sf) to Class A Floating-Rate Notes
-- AA (sf) to Class B Floating-Rate Notes
-- A (sf) to Class C Floating-Rate Notes
-- BBB (sf) to Class D Floating-Rate Notes

The Notes are backed by a portfolio of negotiable promissory notes and claims related to unsecured loans granted to Swedish consumers and serviced by Nordax Bank AB (Nordax).

The finalization of the ratings is contingent upon receipt of final documents conforming to information already received.

The ratings are based on the considerations listed below:

-- The sufficiency of available credit enhancement in the form of subordination (40% for Class A, 25% for Class B, 15% for Class C and 9% for Class D Notes), a liquidity reserve, a credit enhancement reserve and excess spread.
-- The ability of the transaction’s structure and triggers to withstand stressed cash flow assumptions and repay the Notes according to the terms of the transaction documents.
-- Nordax’s capabilities with respect to originations, underwriting and servicing.
-- The legal structure and presence of legal opinions addressing the assignment of the assets to the Issuer and the consistency with DBRS’s “Legal Criteria for European Structured Finance Transactions.”

The transaction was modelled in Intex Dealmaker and the default rates at which the rated notes did not return all specified cash flows in a timely manner were determined.

Notes:
All figures are in Swedish kronor unless otherwise noted.

The principal methodology applicable is: Rating European Consumer and Commercial Asset-Backed Securitisations.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.
Other methodologies referenced in this transaction are listed at the end of this press release. This may be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies

The sources of information used for this rating include performance and portfolio data relating to the loans originated by Nordax. DBRS received historical performance default and recovery data relating to Nordax’s originations by monthly vintage on a cumulative basis from February 2004 to September 2015. Data was also provided relating to dynamic prepayments from February 2004 to September 2015. In addition, DBRS received stratification tables related to the provisional collateral portfolio that allowed DBRS to further assess the portfolio.

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

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

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.

These ratings concern newly issued financial instruments. This is the first DBRS rating on these financial instruments.

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):

-- Probability of default (PD): base case of 8%, a 25% and 50% increase on the Base Case PD.
-- Loss given default (LGD): base case of 64%, a 25% and 50% increase on the Base Case LGD.

DBRS concludes that for the Class A Notes:
-- A hypothetical increase of the Base Case LGD by 25%, ceteris paribus, would not result in a downgrade of the AAA (sf) rating of the Class A Notes.
-- A hypothetical increase of the Base Case LGD by 50%, ceteris paribus, would lead to a downgrade of the rating of the Class A Notes to AA (high) (sf).
-- A hypothetical increase of the Base Case PD by 25%, ceteris paribus, would not result in a downgrade of the AAA (sf) rating of the Class A Notes.
-- A hypothetical increase of the Base Case PD by 50%, ceteris paribus, would lead to a downgrade of the rating of the Class A Notes to AA (high) (sf).
-- A hypothetical increase of the Base Case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (high) (sf).
-- A hypothetical increase of the Base Case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (sf).
-- A hypothetical increase of the Base Case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (sf).
-- A hypothetical increase of the Base Case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (high) (sf).

DBRS concludes that for the Class B Notes:
-- A hypothetical increase of the Base Case LGD by 25%, ceteris paribus, would not result in a downgrade of the AA (sf) rating of the Class B Notes.
-- A hypothetical increase of the Base Case LGD by 50%, ceteris paribus, would not result in a downgrade of the AA (sf) rating of the Class B Notes.
-- A hypothetical increase of the Base Case PD by 25%, ceteris paribus, would not result in a downgrade of the AA (sf) rating of the Class B Notes.
-- A hypothetical increase of the Base Case PD by 50%, ceteris paribus, would not result in a downgrade of the AA (sf) rating of the Class B Notes.
-- A hypothetical increase of the Base Case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to AA (low) (sf).
-- A hypothetical increase of the Base Case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to A (high) (sf).
-- A hypothetical increase of the Base Case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to A (high) (sf).
-- A hypothetical increase of the Base Case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to A (low) (sf).

DBRS concludes that for the Class C Notes:
-- A hypothetical increase of the Base Case LGD by 25%, ceteris paribus, would not result in a downgrade of the A (sf) rating of the Class C Notes.
-- A hypothetical increase of the Base Case LGD by 50%, ceteris paribus, would not result in a downgrade of the A (sf) rating of the Class C Notes.
-- A hypothetical increase of the Base Case PD by 25%, ceteris paribus, would not result in a downgrade of the A (sf) rating of the Class C Notes.
-- A hypothetical increase of the Base Case PD by 50%, ceteris paribus, would not result in a downgrade of the A (sf) rating of the Class C Notes.
-- A hypothetical increase of the Base Case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would not result in a downgrade of the A (sf) rating of the Class C Notes.
-- A hypothetical increase of the Base Case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class C Notes to BBB (high) (sf).
-- A hypothetical increase of the Base Case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class C Notes to BBB (high) (sf).
-- A hypothetical increase of the Base Case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class C Notes to BBB (sf).

DBRS concludes that for the Class D Notes:
-- A hypothetical increase of the Base Case LGD by 25%, ceteris paribus, would not result in a downgrade of the BBB (sf) rating of the Class D Notes.
-- A hypothetical increase of the Base Case LGD by 50%, ceteris paribus, would not result in a downgrade of the BBB (sf) rating of the Class D Notes.
-- A hypothetical increase of the Base Case PD by 25%, ceteris paribus, would not result in a downgrade of the BBB (sf) rating of the Class D Notes.
-- A hypothetical increase of the Base Case PD by 50%, ceteris paribus, would not result in a downgrade of the BBB (sf) rating of the Class D Notes.
-- A hypothetical increase of the Base Case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would not result in a downgrade of the BBB (sf) rating of the Class D Notes.
-- A hypothetical increase of the Base Case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would not result in a downgrade of the BBB (sf) rating of the Class D Notes.
-- A hypothetical increase of the Base Case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would not result in a downgrade of the BBB (sf) rating of the Class D Notes.
-- A hypothetical increase of the Base Case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class D Notes to BB (high) (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: Kevin Chiang
Initial Rating Date: 23 October, 2015
Initial Rating Committee Chair: Jamie Feehely

DBRS Ratings Limited
1 Minster Court, 10th Floor Mincing Lane, London EC3R 7AA
United Kingdom
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 Transactions.
-- Operational Risk Assessment for European Structured Finance Servicers.
-- Unified Interest Rate Model for European Securitisations.
-- Rating European Consumer and Commercial Asset-Backed 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

Ratings

SCL V
  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating