OREANDA-NEWS. Fitch Ratings has assigned ratings to DFS Asset Purchase Company Pte. Ltd.'s (DFS) working capital facility (WCF), standby liquidity facility (SBLF), class A1 and A2 notes (collectively class A notes), and class B and C notes. The issuance consists of notes backed by credit card and charge card receivables in Singapore originated by Diners Club (Singapore) Private Limited (DCS). The ratings are as follows:

WCF with facility limit of SGD10m due September 2019: assigned 'A-sf'; Outlook Stable

SBLF with a facility limit of SGD5m due September 2019: assigned 'A-sf'; Outlook Stable

SGD100m Class A1 notes due September 2021: assigned 'A-sf'; Outlook Stable

SGD15.38m Class A2 notes due September 2021: assigned 'A-sf'; Outlook Stable

SGD9.50m Class B notes due September 2021: assigned 'BBBsf', Outlook Stable

SGD7.92m Class C notes due September 2021: assigned 'BBsf', Outlook Stable

The amounts of the class A1, A2, B and C notes represent the sizes issued at closing.

At the cut-off date, the total collateral pool consisted of 209,052 eligible accounts with eligible receivables balance of SGD158,558,765. The transaction features a 36-month revolving period, followed by a 24-month pass-through period. Early amortisation events can end the revolving period and accelerate the pass-through period, thus protecting investors against any further deterioration in the portfolio.

KEY RATING DRIVERS

Performance of Card Receivables: The ability of the issuer to meet its payment obligations under the notes is closely linked to the performance of the card receivable portfolio. Fitch has analysed the credit risk of the underlying receivables and derived the default rate, payment rate and gross yield assumptions of the portfolio, based on the historical data provided by DCS. Stress tests on these assumptions and interest rate stress were used to analyse the effect on the transaction's cash flow.

Credit Enhancement: The credit enhancement provided by the respective subordination for each of the rated notes, rated SBLF, and the rated WCF is commensurate with the corresponding rating stress. The transaction also benefits from a SBLF from closing to the end of revolving period and then a cash reserve until the maturity date, which covers three months of rated notes and WCF interest and fees, senior expenses, servicer transition costs and dilution risk.

Protection Mechanism: Various early amortisation triggers protect investors against deterioration in the portfolio by ending the revolving period. Eligibility criteria are in place for the purchase of additional card receivables by DFS.

Asset Outlook: The stable economic conditions in Singapore continue to support the steady performance of the credit-card sector in Singapore.

Rating Cap: The transaction is capped at an 'Asf' rating category due to DCS' small market share in Singapore and high dependency of the ongoing underwriting and collection practices of the originator in the revolving period. Moreover, there is interest rate risk exposure in this transaction that makes it incompatible with a high investment grade.

RATING SENSITIVITIES

Rating sensitivities provide insights into the model-implied sensitivities the transaction faces when one risk factor is stressed, while holding others equal. The modelling process first uses the estimation and stress of base case assumptions to reflect asset performance in a stressed environment. Structural protection is then analysed in a customised proprietary cash flow model. The results should only be considered as one potential outcome given that the transaction is exposed to multiple risk factors that are all dynamic variables. Please see the sample results below:

- Increasing the base case default rate by 50% may result in a one-notch downgrade of the ratings on the WCF, SBLF and class A notes to 'BBB+sf'.

- Decreasing the base case payment rate by 25% may result in a four-notch downgrade of the ratings on the WCF, SBLF and class A notes 'BB+sf'.

- Decreasing the base case gross yield by 35% does not result in a change to the ratings of the WCF, SBLF and class A notes.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.

REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS

A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool was not prepared for this transaction because it does not involve the use of offering documents. For further information, please see Fitch's Special Report titled "Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions," dated 31 May 2016.

DATA ADEQUACY

Fitch conducted a file review of 20 sample loan files focusing on the underwriting procedures conducted by DCS compared to DCS's credit policy at the time of underwriting. Fitch has checked the consistency and plausibility of the information and no material discrepancies were noted that would impact Fitch's rating analysis.

Fitch reviewed the results of the agreed-upon procedures (AUP) conducted on the portfolio. The AUP reported no material errors that would impact Fitch's rating analysis.

Key Rating Drivers and Rating Sensitivities are further discussed in the corresponding new issue report entitled "DFS Asset Purchase Company Pte. Ltd", published today.