OREANDA-NEWS. Fitch Ratings has assigned Sligo Card Finance 2015 Designated Activity Company's class A notes backed by Irish credit card receivables final ratings, as follows:

EUR236m class A notes, due December 2023: 'A+sf'; Outlook Stable
EUR35.3m class B notes, due December 2023: not rated
Variable subordinated facility: not rated

The issuance proceeds were used to purchase a closed book of granular credit card receivables originated by Avant Card Limited (ACL) and extended to Irish consumers. The transaction will encompass a three year revolving period. This will be the first public Irish credit card securitisation to date.

KEY RATING DRIVERS

Adjusted Borrowing Base
The structure securitises all existing and future receivables from designated accounts. However, some assets, such as receivables on accounts that are 90 days plus delinquent, and receivables on payment arrangement accounts which represent more than 0.5% are excluded from the eligible borrowing base calculation. Cashflows from assets on accounts excluded from the borrowing base can provide an upside to the transaction until such a time that these accounts are re-designated to the seller.

Closed Pool; Declining Asset Balance
ACL stopped originating new accounts in 2012, and thus new receivables added to the pool during the revolving period are likely solely generated via new purchases on existing accounts. In order to protect the structure from the risk of declining asset balance during the revolving period as accounts charge off or obligors switch to other card products, pro rata partial amortisation will occur on any payment date where the eligible asset balance is less than the class A and B note balance. The amount paid aims to ensure assets continue to match liabilities. Fitch has analysed this mechanism and deems it sufficient to mitigate the risk posed during the revolving period.

Asset Performance
Historical charge-off performance of the pool incorporates the considerable period of stress weathered by the Irish economy during the economic downturn from 2008 -2012. Since then charge-offs have displayed decreasing trends and are heading back towards pre-crisis levels. Fitch has set a steady state charge-off assumption of 6.5% with a stress between the median and higher end of the spectrum (3.25x for 'Asf').

A steady state monthly payment rate (MPR) assumption of 15% has been applied with a stress on the lower end of the range given the low absolute level of the base case.

A steady state yield assumption of 16% was applied. A stress on the lower end of the spectrum (25% for 'Asf') was applied given (i) the low absolute level of the base case and (ii) the fact that the interest rates charged are industry standard and the repricing to maintain competitiveness is not a material risk for the transaction.

Servicing and Risk Management
Due to the revolving nature of the underlying assets, performance will be influenced by the ongoing monitoring and risk management actions of the servicer and seller. Although Fitch's asset analysis addresses much of the risk of performance deterioration by applying stresses to performance parameters, performance may still be impacted by the deterioration of the seller's/servicer's financial profile.

Servicing Continuity Risk
Avantcard Limited is the servicer. Upon a servicer default, Lapithus Management Company as servicer co-ordinator is contracted to take over the responsibility for the cash management functions and coordinate with any insolvency administrator to source and ensure a smooth transfer of the servicing functions of the transaction to a successor servicer. A liquidity reserve will also be in place from closing, which should be sufficient to cover a period of three months payment interruption.

A daily sweep of collections into the account of the issuer and a declaration of trust is in place for the benefit of the issuer over the collections in the servicer account.

Additionally, the collection account banks will be replaced if they breach certain rating triggers, with any residual risk considered in Fitch's analysis. The structural elements should help mitigate potential commingling risk within the transaction.

Positive Economic Outlook
Fitch expects the economic environment in Ireland to remain positive with decreasing unemployment rates forecast over the next two years (10.5% and 9.6% expected in 2015 and 2016), GDP growth (2.5% expected in 2016) and stable interest rates.

RATING SENSITIVITIES
Rating sensitivity to increased charge-off rate
Current rating: 'A+sf'
Increase base case charge-offs by 10%: 'A+sf'
Increase base case charge-offs by 25%: 'Asf'

Rating sensitivity to reduced MPR
Current rating: 'A+sf'
Reduce base case MPR by 10%: 'Asf'
Reduce base case MPR by 25%: 'A-sf'

Rating sensitivity to a change in multiple factors
Current rating: 'A+sf'
Increase base case charge-offs by 10%, Reduce MPR by 10%: 'Asf'
Increase base case charge-offs by 25%, Reduce MPR by 25%:: 'A-sf'

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis.

SOURCES OF INFORMATION
The information below was used in the analysis.
- Historical dynamic pool performance data provided by ACL from Jan 2000 to May 2015.