Trafigura Securitisation Finance PLC (Series )

Transcription

1 Presale: Trafigura Securitisation Finance PLC (Series ) This presale report is based on information as of June 13, The credit ratings shown are preliminary. This report does not constitute a recommendation to buy, hold, or sell securities. Subsequent information may result in the assignment of initial credit ratings that differ from the preliminary credit ratings. Class Prelim. rating* Prelim. amount (mil. $) A1 AAA (sf) TBD Dynamic, with a 15% floor A2 AAA (sf) TBD Dynamic, with a 15% floor B1 BBB (sf) TBD Dynamic, with a 9% floor B2 BBB (sf) TBD Dynamic, with a 9% floor Minimum credit enhancement (%) Interest (%) One-month LIBOR plus a margin Fixed-rate One-month LIBOR plus a margin Fixed-rate Legal final maturity December 2020 December 2020 December 2020 December 2020 *The rating on each class of securities is preliminary as of June 13, 2017, and subject to change at any time. We expect to assign final credit ratings on the closing date, subject to a satisfactory review of the transaction documents and legal opinions. Our ratings address timely interest and ultimate principal payments. The interest rates will be determined on the pricing date. The total floating-rate coupon on the class A1 and B1 notes will be subject to a minimum level of zero percent. TBD--To be determined. Transaction Participants Originators Seller Master servicer Standby servicer Matching agent Security trustee Collection account provider Trafigura Pte. Ltd. and Trafigura Trading LLC Trafigura Pte. Ltd. Trafigura Group Pte. Ltd. Société Générale Société Générale SG Kleinwort Hambros Trust Company (CI) Ltd. Cooperatieve Rabobank U.A. (trading as Rabobank London) Primary Credit Analyst: Matthew S Mitchell, CFA, London (44) ; matthew.mitchell@spglobal.com Secondary Contact: Thore Hildebrandt, Frankfurt ; thore.hildebrandt@spglobal.com See complete contact list on last page(s) JUNE 13,

2 Transaction Participants Transaction account provider Paying agent Arrangers Book runners Supporting Ratings (cont.) Cooperatieve Rabobank U.A. (trading as Rabobank London) Citibank, N.A. London Branch Citigroup Global Markets Inc., MUFG Securities Americas Inc., and Société Générale. Citigroup Global Markets Inc., MUFG Securities Americas Inc., and SG Americas Securities LLC. Institution/role Cooperatieve Rabobank U.A. (trading as Rabobank London) as transaction account bank and collection account bank Ratings A+/Stable/A-1 Transaction Key Features Expected closing date June 2017 Collateral Description Country of origin Obligor concentration Trade receivables Trade receivables arising from contracts for sale of crude oil, oil products, non-ferrous metals, non-ferrous metal concentrates, iron ore, coal, and refined metals. Multiple Maximum concentration limits are defined within the program Total receivables (mil. $) 2,021.8* *As of April 28, Transaction Summary S&P Global Ratings has assigned its preliminary credit ratings to Trafigura Securitisation Finance PLC's (TSF) trade receivables-backed series medium-term notes (MTN). At closing, TSF will issue class A1 and A2 MTNs (together, the series class A MTN) and class B1 and B2 MTNs (together, the series class B MTN). This will be TSF's fourth MTN issuance that we have rated. For series , both floating-rate class A1 and B1 notes and fixed-rate class A2 and B2 notes will be issued. In prior MTN issuances, only floating-rate notes have been issued. The series transaction is scheduled to revolve for three years, and like the other notes issued by TSF, uses dynamic credit enhancement (default, yield, and dilution reserves) that is calculated in line with our trade receivables criteria (see "Trade Receivables Criteria: Calculating Credit Enhancement For Trade Receivables," published on Sept. 1, 2004). This means that credit enhancement levels adjust dynamically to reflect the portfolio's credit quality over time. The securitization program operates akin to a master trust structure, whereby a common pool of trade receivables backs multiple note issuances. Credit enhancement for the senior notes (including the series class A MTNs) will be in the form of subordination of the junior notes (including the series class B MTNs) and the senior and junior subordinated loans. The program is also subject to maximum country and obligor concentration limits, and the credit enhancement floors for each rating level are in line with our trade receivables criteria and our structured finance rating above the sovereign JUNE 13,

3 (RAS) criteria (see "Ratings Above The Sovereign - Structured Finance: Methodology And Assumptions," published on Aug. 8, 2016). The senior and junior notes benefit from a floor of 15% and 9% credit enhancement, respectively. Key Changes From The Issuance Of Series In September 2015, the Trafigura Group completed a corporate reorganization. All group activities and assets were consolidated under the Singapore-based entity, Trafigura Group Pte Ltd. (TGPL). As a result, Trafigura Beheer B.V. was replaced in its various roles in the transaction either by Trafigura PTE Ltd. (PTE) or by TGPL. We reviewed legal opinions, confirming that these changes do not affect the true sale nature of the various asset transfers and do not give rise to any new tax risks. Also in September 2015, the issuer replaced the account bank provider, formerly Deutsche Bank, London branch, with Cooperatieve Rabobank U.A., trading as Rabobank London. In January 2017, refined metals were added as eligible receivables in the program. Historically, there have been no delinquencies or defaults with respect to these eligible receivables. In addition, the collection, servicing, and underwriting procedures of refined metals match the existing procedures for the current portfolio. As a result, we view the addition of these receivables as being neutral to the transaction under our trade receivables criteria. In February 2017, amendments were made to the country concentration limits in the program for the long-term sovereign foreign currency ratings, and concentration limits on transfer and convertibility (T&C) assessments were also added. Following these amendments, the credit enhancement floors for each rating level remain in line with our revised approach to rating multijurisdictional structured finance transactions above the sovereign ratings (see "Ratings Affirmed On Trafigura Securitisation Finance's Trade Receivables ABS Notes Following Criteria Update," published on Feb. 27, 2017). In connection with the issuance of series , receivables governed by Swiss or Singapore law may be sold to TSF, subject to satisfaction of the eligibility criteria. We've reviewed the inclusion of receivables governed by the laws of these jurisdictions for consistency with our legal criteria (see "Asset Isolation And Special-Purpose Entity Methodology," published on March 29, 2017). Rating Rationale The preliminary ratings reflect our assessment of the following factors. Economic conditions The current portfolio predominantly comprises receivables from obligors domiciled in Asia-Pacific and Europe. However, the pool has a very high turnover rate and the composition could significantly change over time, subject to compliance with the portfolio concentration limits. Given the dynamic reserves in the transaction, which would account for any deterioration in the receivables' performance, we do not give specific consideration to the current macroeconomic outlook. JUNE 13,

4 Operational risk The originators (PTE and Trafigura Trading LLC [TTL]) and master servicer (TGPL) are, in our view, experienced participants in executing this securitization program, which has been in place since Our operational risk criteria focus on key transaction parties (KTPs) and the potential effect of a disruption in the KTP's services on the issuer's cash flows, as well as the ease with which the KTP could be replaced if needed (see "Global Framework For Assessing Operational Risk In Structured Finance Transactions," published on Oct. 9, 2014). Based on our view of the servicer's capabilities and the characteristics of the underlying receivables, our operational risk criteria do not constrain our preliminary ratings in this transaction. In addition, the transaction includes a back-up servicer, Société Générale, which would step-in following a disruption of the initial servicer. Credit risk The underlying obligors of the receivables tend to be highly rated companies with short payment terms. This, in our opinion, results in low credit risk on the portfolio, and to date defaults, delinquencies, and dilutions have all been negligible. The transaction uses dynamic credit enhancement that is in line with our trade receivables criteria, and provides credit enhancement commensurate with the assigned preliminary rating levels. This means that credit enhancement levels will adjust dynamically to reflect the credit quality of the portfolio over time. The dynamic enhancement is provided by a senior subordinated loan and a junior subordinated loan (the latter granted by the seller), with the senior and junior notes benefitting from a floor of 15% and 9% credit enhancement, respectively. The transaction contains stop-revolving triggers for defaults, dilutions, delinquencies, and collection periods. The actual portfolio performance has been well within the respective trigger levels. Payment structure and cash flow mechanics There is no principal deficiency ledger due to the transaction's dynamic nature. Collections are applied daily to purchase new receivables, performance based reserving is calculated dynamically, and there are stop-revolving triggers that are also tested weekly. The transaction will use a combined interest and principal priority of payments, under which repayment of the notes is fully sequential. In our view, the sizing of the yield reserve in the transaction should cover all senior waterfall items and coupons on the notes during the amortization period. Our analysis indicates that the credit enhancement available to the notes is commensurate with the preliminary ratings assigned to the class A1, A2, B1, and B2 notes. Legal risk The issuer is a limited liability company incorporated in the Republic of Ireland, and its share capital is held on trust. We consider it to be a bankruptcy remote special-purpose entity in line with our legal criteria. We've reviewed legal opinions addressing the sale of the receivables to TSF, which provide comfort that the sales would result in the receivables ceasing to be part of the seller's bankruptcy or insolvency estate. Setoff risk is mitigated by the program's eligibility criteria not permitting receivables subject to setoff to form part of JUNE 13,

5 the securitized portfolio. Counterparty risk The collection bank account provider and the transaction bank account provider is Cooperatieve Rabobank, trading as Rabobank London (A+/Stable/A-1). In our view, the transaction's replacement mechanisms adequately mitigate its exposure to counterparty risk at the 'AAA' rating level (see "Counterparty Risk Framework Methodology And Assumptions," published June 25, 2013). Commingling risk is mitigated through a dedicated collection account held by Rabobank London, in the name of the issuer, into which all obligors are instructed to pay. Ratings stability The required reserve amount will adjust dynamically based on the performance of the underlying trade receivables. Therefore, if portfolio performance deteriorates, the required reserve amount will increase accordingly. We believe the increase in the reserve would be sufficient to maintain the ratings on the notes. Failure to maintain the required reserve will set the transaction into amortization (see "Methodology: Credit Stability Criteria," published on May 3, 2010). Sovereign risk There are country concentration limits in the program for the long-term sovereign foreign currency ratings, as well as the T&C assessments. The credit enhancement floors for each rating level are in line with our trade receivables criteria and our RAS criteria. Strengths, Concerns, And Mitigating Factors Strengths The existing variable funding notes (VFN) and MTN have experienced stable performance, and no early amortization event has been triggered since inception. The originator and servicer are in our view experienced participants and should therefore be able to continue the smooth operation of the program. The underlying obligors of the receivables have in the past tended to be highly-rated companies with short payment terms. In our opinion, this results in low credit risk on the portfolio and to date, defaults, delinquencies, and dilutions have all been minimal. There is a robust cash flow structure in place, which in our opinion mitigates commingling risk and provides for a dynamic credit enhancement in line with our trade receivables criteria. The issuer will have the ability to increase or decrease the total issuance through the issuance of further VFNs as eligible receivables volumes change, thereby giving flexibility to the program and allowing the program to adjust to market demand. Setoff risk is mitigated through the program's eligibility criteria, which exclude any receivable subject to set off. Obligors pay straight into a collections account, in the issuer's name, with an eligible bank--the downgrade language in the documentation complies with our current counterparty criteria. As this account is in the name of the issuer and is with an eligible bank, the risk that any money could be lost by being trapped with the originator is mitigated, in our view. Concerns and mitigating factors A revolving portfolio means that credit enhancement needs to be adjusted constantly depending on the size and credit quality of the receivables portfolio. Dynamic credit enhancement, which is in line with our trade receivables JUNE 13,

6 criteria, has been put into place to cover any fluctuations in the levels of credit quality of the receivables. The program is heavily reliant on an effective servicer. However, the master servicer, TGPL, is in our opinion highly experienced and has been servicing the program since Societe Generale has been appointed as the back-up servicer and the matching agent since As such, it receives from the servicer daily a copy of the contracts and invoices of receivables in the program. Concentrations of the receivables could occur in the portfolio during the revolving period, which could potentially affect the credit quality of the portfolio. Concentration risks are mitigated by the transaction stipulating separate concentration limits based on the country of origination of the obligor, and the rating on the obligor. Transaction Structure The TSF securitization program was set up in 2004 and is a multijurisdiction asset-backed securities (ABS) transaction backed by commodity trade receivables originated by PTE and Trafigura Trading LLC (TTL). TTL sells receivables to PTE, which acts as originator and seller for the program. The receivables represent physical deliveries of goods that have been invoiced and shipped, and tend to be short-tenor obligations owed by large industrial and financial groups located in highly rated countries. There is no foreign currency risk as all assets and liabilities are U.S. dollar denominated. The receivables are all originated under receivables sales contracts, and all of the originators' rights, titles, and interest in the receivables are sold and duly assigned to the issuer under applicable governing laws. The receivables are purchased at the full face value of invoices for the sale of the commodities, which include but are not limited to the following: crude oil, oil products, non-ferrous metals, non-ferrous metal concentrates, iron ore, coal, and refined metals. The issuer (TSF) will make daily purchases of the receivables from PTE, which TSF will finance through the issuance of the VFN, MTN, a senior subordinated loan, and a junior subordinated loan. TGPL provides the junior subordinated loan, while the senior subordinated loan is provided by a third party. The series notes will use the existing structure and replicate the series, and will rank pari passu with the existing notes. Security for notes is in the form of a deed of charge. The deed of charge creates security for the noteholders over the transaction documents by creating a first-fixed charge over all the issuer's rights, claims, titles, and beneficial interests (future and present) to all money in the bank accounts, and assigns all its rights, claims, titles, benefits, and interests (future and present) in the English law documents. The deed of charge will also create a floating charge over all the issuer's assets not covered by the fixed charge. JUNE 13,

7 Existing notes The transaction structure allows for flexibility in the level of receivables to be funded as well as the nature of the instruments that are to be issued. The number of conduit funding banks has increased since 2004 and currently seven conduits or banks fund both the senior and junior VFN. The class A MTN will rank pari passu to the senior VFN and class A MTN, and will rank senior to the class B MTN, junior VFN, and class B MTN, which rank pari passu among themselves. A senior subordinated loan from a third party and a junior subordinated loan from TGPL support all of the notes. TGPL holds a minimum of 6% of the outstanding pool of receivables that the junior subordinated loan funds. The size of the subordinated loan is dynamically adjusted according to the volume of receivables being funded and the credit quality of the pool. While still revolving at the time of publication, the series class A and B MTNs are scheduled to be redeemed in October JUNE 13,

8 Flow of funds Commingling risk is addressed through the existing flow of funds structure. There is a single collection account for the payment of invoices for the receivables. The account is in the name of TSF (the issuer), and held with Rabobank London. Funds belonging to the issuer, the transaction finance banks (TFBs), and the sellers will all be received in the collection account. Societe Generale acts as the matching agent and instructs the paying agent to transfer daily the relevant amounts to the appropriate accounts. The matching agent identifies all collections using the invoice number, debtor name, invoice amount, due date, vessel used, etc., to match payments with invoices. If there are any unmatched amounts then this is put into the unreconciled amounts ledger until matched, and then allocated. The securitization program enables PTE and TTL to finance their invoices by selling them to the issuer at their full face value. The funds from the sale are then used to repay bilateral loans granted by TFBs, which in turn frees up credit lines at those banks and shortens the working capital cycle of Trafigura. If the trade is financed through TFBs, then before being securitized, TFBs will take a security interest over the receivable and the underlying asset. All TFBs of the Trafigura Group enter into an intercreditor agreement, whereby, when the issuer purchases a receivable from the originator, (i) the TFB will automatically release security over the receivable, and (ii) the issuer will pay the purchase price of the receivable to the TFB, which in turn will pass the remainder to the originator. We believe the involvement of TFBs in the receivables financing provides a mitigant to fraud risk in the transaction. Due to the competing interests of TSF and the TFBs in relation to collections, a trust was set up over the account to protect their respective interests over the collections. The TFBs are the beneficiaries of the trust over all encumbered receivables, while TSF has a trust over all unencumbered securitized receivables. Funds due to the originators are passed to them from the TFB account. The rationale behind the issuer having a trust is that without the trust, if one of the originators becomes insolvent that originator would have a pari passu claim over the collection account and could freeze the account, though not amounting to a right over monies. Originators TGPL and its subsidiaries form one of the largest independent physical commodity trading companies in the world. The group engages in purchasing, transporting, storing, and delivering commodities as principal and selling to industrial consumers, balancing global supply and demand. The company operates globally in 61 offices located in 36 countries, with finance, liquidity management, risk management, and legal functions centralized in Geneva, Switzerland. The parent company, TGPL, is incorporated in Singapore. The originators in the transaction, PTE and TTL, are wholly owned subsidiaries of TGPL, and are domiciled in Singapore and Delaware, respectively. TGPL hedges all physical positions for price risk, while no outright risk is taken other than limited speculative positions that are subject to defined risk limits. In addition, counterparty or country risks in excess of its credit guidelines are covered through the banking and insurance markets, the guidelines of which are constantly monitored and revised by its credit department according to the level of exposure to TGPL's balance sheet. JUNE 13,

9 Underwriting and collection policy TGPL's credit risk policies and procedures govern the approval of new counterparties, the establishment of new credit lines, monitoring and adjustment of existing lines, collections, and overdue debts. TGPL's credit department regularly reviews new and existing counterparties to set internal credit limits. The limits include: The maximum risk exposure to any single counterparty; The maximum acceptable tenor of a payment. The credit department also monitors that the payment terms are authorized and secured payment methods are used. Servicing The master servicer is the group's parent company, TGPL. It is an experienced servicer having serviced the receivables since Societe Generale is the matching agent on the collection account and will continue to be the back-up servicer. Priority of payments Before enforcement, on every weekly settlement date, payment will be made in the following order of priority: Senior costs and fees, which include the security and note trustee fee, program agent fee, and the servicing fee among others; Pro rata interest payment on the senior VFN, the series class A, and the series class A notes; Pro rata interest payment on the junior VFN, the series class B notes, and the series class B notes; Payment to the funding cost reserve account to top up the funding cost indemnity reserve amount; Pro rata principal payment on the senior VFN, the series class A notes, and the series class A notes; Reduce the class A notes excess principal ledger; Pro rata principal payment on the junior VFN, the series class B notes, and the series class B notes; and Reduce the class B notes excess principal ledger. The excess principal ledger is a structural mechanism that allows for the reduction of the principal of the MTNs if the receivables pool reduces. Where the receivables pool reduces, the VFNs will first reduce. Then once the outstanding amount of the VFN has been reduced to zero, any amount of principal of the MTN in excess of the receivable will reduce and be recorded in the excess principal ledger. If this balance remains for eight weeks, then the MTN will reduce by the same amount. On enforcement, interest on the junior VFN funded notes and the class B notes will be subordinated to principal payments on the senior VFN funded notes. Swaps There are no swaps in the transaction: The receivables are all denominated in U.S. dollars and interest rate risk is mitigated by dynamic credit enhancement (see "Yield reserve"). Credit Enhancement The issuer purchases the receivables at their full face amount without any discount. Risks relating to the underling JUNE 13,

10 quality of the receivables are met by dynamic reserving for loss, dilution, and yield, which is calculated in a manner consistent with our trade receivables criteria and is funded by the subordinated loans. In our analysis, we stressed reserves at the respective 'AAA' and 'BBB' rating levels. The dynamic reserving is funded by TGPL through the junior subordinated loan. The dynamic credit support calculation is computed weekly and to the extent that the current dynamic credit support required is greater than the level of enhancement available, at both the senior and junior levels, the subordinated loan increases to cover the required level. Yield reserve The yield reserve is sized to cover the interest on the notes and fees and expenses, including the issuer's fees and expenses. The amount required is then stressed over a period equal to the day's sales outstanding multiplied by two, plus one month. Loss reserve The required protection against reductions in collateral levels as a result of credit losses is represented by the loss reserve percentage. The loss reserve percentage is calculated weekly on a dynamic basis. The reserve measures losses as a percentage of sales at the time the defaulted receivable was generated (i.e., the loss ratio). This sales-based percentage is multiplied by the loss horizon. This is a ratio that equals the cumulative amount of receivables generated in the period in which losses remain unrealized in the pool, divided by the current month net eligible receivables. This is then stressed 2.5x for the 'AAA' rated notes, and 1.5x for the 'BBB' rating level. Dilution reserve The required protection against reductions in collateral levels as a result of noncredit losses, otherwise known as dilution, is referred to as the required dilution reserve. The foundation of the reserve is a ratio that measures aggregate dilution as a percentage of sales over the previous 12-month period. This sales-based percentage is then stressed at 2.5x at the 'AAA' rating level and 1.5x at the 'BBB' rating level. Cash flows The loss reserve and dilution reserve are sized commensurately with our preliminary rating on the class A and B MTNs, in line with our trade receivables criteria. As explained above, the reserve floor mitigates any concentration risk in the portfolio. The required credit enhancement will be calculated as: The maximum of (i) the sum of the reserve floor and a dilution component, and (ii) the sum of the loss reserve and the dilution reserve; plus The yield reserve; plus The back-up servicer reserve of 1%. Chart 2 shows the calculation of the dynamic credit enhancement levels for the senior and junior notes. JUNE 13,

11 Chart 2 Collateral Description The securitized receivables will be trade receivables generated through PTE and TTL's activities. The sellers originate the trade receivables in the course of their normal business, and they represent issued invoices with eligible obligors. On each daily purchase date, the seller offers eligible receivables to the issuer, which do not breach the concentration limits (see eligibility criteria and concentration limits below). The issuer may accept the offer to purchase subject to the following restrictions to purchase: Conditions precedent to initial sale and further sales are complied with including that (i) all documents and opinions are received, (ii) solvency certificates are received from the sellers, and (iii) that the notes are rated 'AAA' and 'BBB', respectively; All representations and warranties are true including (i) the transaction's eligibility criteria are complied with, (ii) concentration limits are not breached, (iii) semiannual audits have been performed, (iv) notification has been made to payment-undertaking obligors, and (v) sale and assignment are valid; Unreconciled collections on receivables are less than $500,000 or unreconciled for less than 10 days; No stop purchase event has occurred; There are sufficient funds to purchase the receivables; and JUNE 13,

12 The program agent has received the daily TSF statement. The key eligibility criteria include that all receivables: Are valid and binding, and transferable; Are U.S. dollar-denominated; Are not subject to withholding tax; Have no right of setoff in the contract, in relation to the customer; The originator has performed all obligations required to make the invoice payable; and Have a maximum term of 18 weeks (4.5 months). Table 1 shows the maximum country concentrations allowed in the transaction based on the long-term foreign currency rating of the country the obligor is domiciled in. Table 2 shows the maximum country concentrations based on the T&C assessment of the country the obligor is domiciled in. These limits are in line with our RAS criteria. Table 3 shows the maximum obligor concentrations allowed, with limits for affiliated obligors being applied to the total group exposures. These limits are in line with our trade receivables criteria. Table 1 Country Concentrations Country foreign currency rating Maximum country limit (%) 'AA' and above No limit 'AA-' 17.5 'AA-' to 'A+' 15.0 'A' to 'BBB+' 7.5 'BBB' to 'BBB-' 5.0 Below 'BBB-' to 'B-' 3.0 'CCC+' and below or unrated 0.0 Table 2 Country Concentrations Country transfer and convertibility assessment Maximum country limit (%) 'AAA' No limit 'AA+' to 'BBB' 15.0 'BBB-' to 'BB-' 9.0 'B+' to 'B-' 5.0 'CCC+' and below or unrated 0.0 Table 3 Obligor Concentrations Group long- and short-term rating Maximum group limit (%) 'AA' and above long-term rating or 'A-1+' short-term rating 17.5 'AA-' to 'A+' long-term rating or 'A-1' short-term rating 15.0 'A' to 'BBB+' long-term rating or 'A-2' short-term rating 7.5 'BBB' to 'BBB-' long term rating or 'A-3' short-term rating 5.0 Below 'BBB-' or unrated long-term rating, or below 'A-3' short-term rating JUNE 13,

13 The revolving period in relation to the series lasts until the earlier of the start of the amortization period (between 15 and 60 days before the scheduled termination date), and is suspended on the occurrence of a stop purchase event. Stop purchase events, either automatic or nonautomatic, include: Default/insolvency of the seller or any of TGPL and its subsidiaries; A material breach of any representation, not remedied; The imposition of withholding tax on the sellers or debtors; Our downgrade of the notes; A TFB dispute regarding the efficacy of any purchase or security; An issuer event of default; Illegality; Material adverse change; and Any trigger being hit (2.0% average default ratio, 5.0% average delinquency ratio, 1.5% average dilution ratio, or four-week-average collection period exceeding 35 days). For the purpose of this transaction, a receivable is deemed defaulted when it becomes eight weeks past due. Surveillance Details We will monitor this transaction for any breach of dilution, default, and delinquency triggers, which will set the transaction into amortization. The stop purchase events, which we will monitor regularly, are: That the average dilution ratio is more than 1.5%; That the average default ratio is more than 2.0%; That the average delinquency ratio is more than 5.0%; and That the four-week-average collection period exceeds 35 days. Charts 3 to 6 show the performance of the portfolio. The actual portfolio performance has been measured against the relevant trigger levels. JUNE 13,

14 Chart 3 JUNE 13,

15 Chart 4 JUNE 13,

16 Chart 5 JUNE 13,

17 Chart 6 Related Criteria And Research Related criteria Legal Criteria: Structured Finance: Asset Isolation And Special-Purpose Entity Methodology, March 29, 2017 Criteria - Structured Finance - General: Ratings Above The Sovereign - Structured Finance: Methodology And Assumptions, Aug. 8, 2016 Criteria - Structured Finance - General: Methodology: Criteria For Global Structured Finance Transactions Subject To A Change In Payment Priorities Or Sale Of Collateral Upon A Nonmonetary EOD, March 2, 2015 Criteria - Structured Finance - General: Global Framework For Assessing Operational Risk In Structured Finance Transactions, Oct. 9, 2014 Criteria - Structured Finance - General: Counterparty Risk Framework Methodology And Assumptions, June 25, 2013 Criteria - Structured Finance - General: Criteria Methodology Applied To Fees, Expenses, And Indemnifications, July 12, 2012 General Criteria: Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012 General Criteria: Methodology: Credit Stability Criteria, May 3, 2010 Criteria - Structured Finance - General: Standard & Poor's Revises Criteria Methodology For Servicer Risk JUNE 13,

18 Assessment, May 28, 2009 Criteria - Structured Finance - ABS: Trade Receivables Criteria: Structural Considerations For Trade Receivables, Sept. 1, 2004 Criteria - Structured Finance - ABS: Trade Receivables Criteria: Evaluating Trade Receivable Credit-Related Risks, Sept. 1, 2004 Criteria - Structured Finance - ABS: Trade Receivables Criteria: Measuring Performance: The Sales-Based Approach For Trade Receivables, Sept. 1, 2004 Criteria - Structured Finance - ABS: Trade Receivables Criteria: Calculating Credit Enhancement For Trade Receivables, Sept. 1, 2004 Related research APAC Economic Snapshots: Economic Data Turn Positive, May 19, 2017 European Economic Snapshots For 2Q 2017 Published, May 15, 2017 Global Credit Conditions Are Generally Stable Amid Lingering U.S. Policy Uncertainties, April 5, 2017 Credit Conditions: Europe's Recovery Is On Track, But Not Without Risks Of Derailment Or Disruption, March 31, 2017 Asia-Pacific Credit Conditions Q2 2017: Top Risk Is Uncertain U.S. Trade Tax Policy, March 28, 2017 Ratings Affirmed On Trafigura Securitisation Finance's Trade Receivables ABS Notes Following Criteria Update, Feb. 27, 2017 Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016 European Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, EMEA ABS Scenario And Sensitivity Analysis, Aug. 6, 2015 Ratings Assigned To ABS Deal Trafigura Securitisation Finance's Series Medium-Term Notes, Oct. 30, 2014 Analytical Team Primary Credit Analyst: Matthew S Mitchell, CFA, London (44) ; matthew.mitchell@spglobal.com Secondary Contact: Thore Hildebrandt, Frankfurt ; thore.hildebrandt@spglobal.com JUNE 13,

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