Trafigura Securitisation Finance PLC (Series 2021-1) - S&P ...

New Issue: Trafigura SecuritisationFinance PLC (Series 2021-1)

Primary Credit Analyst:

Florent Stiel, Paris + 33 14 420 6690; [email protected]

Secondary Contact:

Isabel Plaza, Madrid + 34 91 788 7203; [email protected]

Table Of Contents

Transaction Summary

Key Changes From The Issuance Of Series 2018-1

Rating Rationale

Environmental, Social, And Governance (ESG)

Strengths, Concerns, And Mitigating Factors

Transaction Structure

Credit Enhancement

Collateral Description

Surveillance Details

Related Criteria

Related Research

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New Issue: Trafigura Securitisation Finance PLC(Series 2021-1)

Ratings Detail

Ratings

Class Rating* Amount (mil. $)

Minimum credit enhancement

(%) Interest § Legal final maturity

A1 AAA (sf) 139.5 Dynamic, with a 15% floor One-month LIBOR plus 53

bps

January 2025

A2 AAA (sf) 139.5 Dynamic, with a 15% floor Fixed rate January 2025

B BBB (sf) 21.0 Dynamic, with a 9% floor Fixed rate January 2025

*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 notes will be subject to a minimum level of zero percent. Bps--Basis points. .

Transaction Participants

Originators Trafigura Pte. Ltd., Trafigura Asia Trading PTE Ltd., and Trafigura Trading LLC

Seller Trafigura Pte. Ltd.

Master servicer Trafigura Group Pte. Ltd.

Standby servicer Société Générale

Matching agent Société Générale

Security trustee SG Kleinwort Hambros Trust Co. (CI) Ltd.

Collection account provider Standard Chartered Bank

Transaction account provider Standard Chartered Bank

Paying agent Citibank N.A. London Branch

Arrangers Société Générale, Citigroup Global Markets Inc., and SMBC Nikko Securities Inc.

Book runners Citigroup Global Markets Inc., SMBC Nikko Securities Inc., and SG Americas Securities LLC.

Supporting Rating

Institution/role Rating

Standard Chartered Bank as transaction account bank and collection account bank A/Stable/A-1

Transaction Key Features

Closing date July 22, 2021

Collateral Trade receivables

Description 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

Country of origin Multiple

Obligor concentration Maximum concentration limits are defined within the program

Total receivables (mil. $) 4,483.45*

*As of May 28, 2021.


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last page.

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Transaction Summary

S&P Global Ratings has assigned its credit ratings to Trafigura Securitisation Finance PLC's (TSF) trade

receivables-backed series 2021-1 medium-term notes (MTN). At closing, TSF issued class A1 and A2 MTNs (together,

the series 2021-1 class A MTN) and class B MTNs.

This is TSF's sixth MTN issuance that we have rated. For series 2021-1, both floating-rate class A1 notes and fixed-rate

class A2 and B notes were issued.

The series 2021-1 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 "Related Criteria"). 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 2021-1 class A MTNs) is

in the form of subordination of the junior notes (including the series 2021-1 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 sovereign risk criteria (see "Related Criteria").

The senior and junior notes benefit from a floor of 15% and 9% credit enhancement, respectively.

Key Changes From The Issuance Of Series 2018-1

There were no material changes since the issuance of Series 2018-1. The only changes are (i) the change in the bank

account provider (ii) the change in the benchmark rate replacement, and (iii) the addition of Trafigura Asia Trading

PTE Ltd. (TAT) as new intermediary originator (taking on part of Trafigura Pte. Ltd.'s [PTE] activity).

Rating Rationale

The ratings reflect our assessment of the following factors.

Economic conditions

The current portfolio is largely comprised of 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 receivables performance, we do not give specific consideration to the current macroeconomic outlook.

Operational risk

The originators (PTE, TAT, and Trafigura Trading LLC [TTL]) and master servicer Trafigura Group Pte. Ltd. (TGPL)

are, in our view, experienced participants in executing this securitization program, which has been in place since 2004.



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New Issue: Trafigura Securitisation Finance PLC (Series 2021-1)

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 "Related

Criteria"). Furthermore, when analyzing operational risk for trade receivable transactions, we consider the

creditworthiness and franchise value of the seller-servicer, among other things, when assessing the likelihood of a

material disruption in its services. Based on our assessment of the creditworthiness of Trafigura, our view of the

servicer's capabilities and the characteristics of the underlying receivables, and the presence of a hot back-up servicer,

Société Générale, which would step-in following a disruption of the initial servicer, we have concluded that our

operational risk criteria do not constrain our ratings in this transaction.

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 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 uses a combined interest and principal payment priority, 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 ratings assigned to

the class A1, A2, B 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 have received and reviewed updated legal opinions.

Setoff risk is mitigated by the program's eligibility criteria not permitting receivables subject to setoff to form part of

the securitized portfolio.



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Counterparty risk

The collection bank account provider and the transaction bank account provider is Standard Chartered Bank

(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 "Related Criteria"). Commingling risk is mitigated through a dedicated

collection account held by Standard Chartered Bank, 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 "Related Criteria").

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 sovereign risk criteria.

Environmental, Social, And Governance (ESG)

Our rating analysis considers a transaction's potential exposure to ESG credit factors. In our view, the transaction has

relatively high exposure to environmental and social credit factors considering Trafigura supplies commodities related

to the oil & gas and metals & mining sectors (see "ESG Industry Report Card: Oil And Gas" and "ESG Industry Report

Card: Metals And Mining," both published Feb. 11, 2020). Nevertheless, in the transaction, the underlying obligors of

the trade receivables tend to be highly rated companies and the securitized receivables have very short payment

terms. For underlying obligors rated by S&P Global Ratings, our credit analysis on these entities incorporates any

material ESG credit factors. At the transaction level, in our view, the diversification by obligor and geography and short

tenor on these trade receivables (typically less than 30 days) mitigates the risk that the credit quality of the portfolio

would be materially impacted by ESG credit factors during the expected length of the transaction's amortization

period. Moreover, the program is also subject to maximum country and obligor concentration limits embedded into

the credit enhancement floors for each rating level.

In our view, the transaction also has relatively higher exposure to governance credit factors given the revolving

collateral pool and the originator's more active role over the transaction's life, exposing investors to the risk of

loosening underwriting standards or potential adverse selection. Under the transaction structure there are eligibility

criteria and concentration limits for selecting the new receivables, and we have observed very strong portfolio

performance from Trafigura over multiple economic cycles. In addition, the transaction documents set certain

performance triggers to terminate the revolving period, and the dynamic credit enhancement would also increase if the

portfolio performance deteriorates.



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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 setoff.

• 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

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 2004. Societe Generale has been appointed as the

back-up servicer and the matching agent since 2004. As such, it receives from the servicer daily a copy of the

contracts and invoices of receivables in the program. Our operational risk analysis does not constrain our ratings on

the notes based on our assessment of TGPL's creditworthiness and the presence of Societe Generale as hot back-up

servicer.

• 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 multi-jurisdiction asset-backed securities (ABS) transaction

backed by commodity trade receivables originated by PTE, TAT, and TTL.



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TTL and TAT sell 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 2021-1 notes uses the existing

structure and replicates the 2018-1 series, and ranks 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 also creates a floating charge over all the

issuer's assets not covered by the fixed charge.



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Chart 1

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 nine

conduits or banks fund both the senior and junior VFN. The 2021-1 class A MTN ranks pari passu to the senior VFN

and 2018-1 class A MTN, and ranks senior to the 2021-1 class B MTN, junior VFN, and 2018-1 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 2018-1 class A and B MTNs are scheduled to be redeemed in

September 2021.



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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 Standard

Chartered Bank. 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, they are put into the unreconciled amounts ledger until matched, and then allocated.

The securitization program enables PTE, TAT, 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 88 offices located in 48

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, TAT, and TTL, are

wholly owned subsidiaries of TGPL.

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.



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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; and

• 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 2004. Societe Generale is the matching agent on the collection account and will continue to be the

back-up servicer.

Payment priority

Before enforcement, on every weekly settlement date, payment will be made in the following priority:

• Senior costs and fees, which include the security and note trustee fee, program agent fee, and the servicing fee

among others;

• Pay pro rata interest on the senior VFN, the series 2021-1 class A, and the series 2018-1 class A notes;

• Pay pro rata interest on the junior VFN, the series 2021-1 class B notes, and the series 2018-1 class B notes;

• Pay the funding cost reserve account to top up the funding cost indemnity reserve amount;

• Pay pro rata principal on the senior VFN, the series 2021-1 class A notes, and the series 2018-1 class A notes;

• Reduce the class A notes excess principal ledger;

• Pay pro rata principal on the junior VFN, the series 2021-1 class B notes, and the series 2018-1 class B notes; and

then

• 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" section).



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Credit Enhancement

The issuer purchases the receivables at their full face amount without any discount. Risks relating to the underling

quality of the receivables are met by a dynamic credit reserve for loss and dilution, subject to a reserve floor equal to a

concentration component plus the expected dilutions over the dilution horizon ratio (the credit reserve). Since the

trade receivables are not interest rate bearing, negative carry cost risk is addressed through a yield reserve to cover for

the interest rates to be paid on the notes during a stressed amortization period and a back-up servicer reserve that 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 (which is more than typically expected in our criteria to cover for the negative carry risk). The yield

reserve formula in the contractual documentation assumes a multiple over the overall notes coupon, while under our

current trade receivable criteria we typically expect a fixed margin of at least 200 basis points added to the interest

rate index (see "Related Criteria"). Nevertheless, comparing both formulas historically, we believe that the current yield

reserve in the transaction mitigates sufficiently the interest risk. Finally, most of the notes are fixed-rate notes, so that

the interest rate risk in the program is limited.

Country risk:

Trafigura features a multi-jurisdictional pool, with specific limits depending on the single countries' foreign currency

ratings. We believe that the limits to country exposure set out in the transaction documents are more conservative

than the diversification thresholds set out in our criteria for incorporating sovereign risk in rating structured finance

securities (with a speculative-grade ratings limit of 3%, compared with 15% in the diversification thresholds table) (see

"Related Criteria"). Therefore, we have neither increased our stress factors applied at 'AAA' and 'BBB', nor assumed

higher credit reserve floors for country risk.

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.



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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 rating on the class A and B MTNs, in line

with our trade receivables criteria. The reserve floor mitigates any concentration risk in the portfolio. Historically, the

credit reserve in the transaction is determined by the reserve floor, which is the sum of the concentration component

and the dilution component. The concentration component is 15% for senior notes rated 'AAA' and 9% for junior notes

rated 'BBB', and it accounts for the event risk for top obligors' default in 'AAA' and 'BBB' rating scenarios according to

the obligors' limits in the transaction documents and the concentration matrix in our criteria.

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.



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Chart 2

Collateral Description

The securitized receivables are trade receivables generated through PTE, TAT, 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

• The program agent has received the daily TSF statement.



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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 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 shows the maximum country concentrations based on the T&C assessment of the country the obligor is

domiciled in.

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 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 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



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Table 3

Obligor Concentrations (cont.)

Group long- and short-term rating Maximum group limit (%)

'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 3.0

The revolving period in relation to the 2021-1 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:

• The average dilution ratio is more than 1.5%.

• The average default ratio is more than 2.0%.

• The average delinquency ratio is more than 5.0%.

• The four-week-average collection period exceeds 35 days.

Charts 3-6 show the performance of the portfolio. The actual portfolio performance has been measured against the

relevant trigger levels.



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Chart 3

Chart 4



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Chart 6

Related Criteria

• Criteria | Structured Finance | ABS: Global Trade Receivable Methodologies And Assumptions, June 29, 2021

• Criteria | Structured Finance | General: Global Framework For Payment Structure And Cash Flow Analysis Of

Structured Finance Securities, Dec. 22, 2020

• Criteria | Structured Finance | General: Counterparty Risk Framework: Methodology And Assumptions, March 8,

2019

• Criteria | Structured Finance | General: Incorporating Sovereign Risk In Rating Structured Finance Securities:

Methodology And Assumptions, Jan. 30, 2019

• Legal Criteria: Structured Finance: Asset Isolation And Special-Purpose Entity Methodology, March 29, 2017

• Criteria | Structured Finance | General: Global Framework For Assessing Operational Risk In Structured Finance

Transactions, Oct. 9, 2014

• General Criteria: Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012

• General Criteria: Principles Of Credit Ratings, Feb. 16, 2011

• Criteria | Structured Finance | General: Methodology For Servicer Risk Assessment, May 28, 2009



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Related Research

• Economic Research: Asia-Pacific's Recovery Regains Its Footing, June 24, 2021

• European Economic Snapshots Say Conditions Are In Place For A Strong Rebound, April 28, 2021

• The Latest ESG Pulse Shines A Spotlight On Structured Finance, April 28, 2021

• Industry Top Trends 2021, Oil And Gas Industry Continues To Face Headwinds, Dec. 10, 2020

• Industry Top Trends 2021, Metals And Mining Resilient Demand From China Improves The Industry Outlook, Dec.

10, 2020

• 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, 2016



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