Structured Finance

Future Flow Receivables DFS Funding Corp. Presale

Analysts Ratings Structured Finance Fitch Peter Winning, CFA Expected +44 20 3530 1377 Series Amount (EURm) Final Maturity Rating LSR CE (%) Rating Outlook [email protected] 2011‐A 50.00 June 2018 BBB+exp n.a. n.a. Positive 2011‐B 75.00 Sept 2023 BBB+exp n.a. n.a. Positive Bernardo Costa +1 312 606 3315 2011‐C 75.00 Sept 2023 BBB+exp n.a. n.a. Positive [email protected] 2011‐D 75.00 June 2016 BBB+exp n.a. n.a. Positive 2011‐E 25.00 June 2018 BBB+exp n.a. n.a. Positive Gregory J. Kabance Total Issuance 300.00 +1 312 368 2052 The expected rating does not reflect the final rating and is based on information provided by the issuer as of 18 April [email protected] 2011. Expected ratings are contingent on final documents conforming to information already received. Ratings are not a recommendation to buy, sell or hold any security. The transaction documents and other material should be reviewed Banks prior to any purchase. Levent Topcu +90 212 284 7819 n.a. − Not applicable [email protected]

Gulcin Orgun +90 212 279 10 65 Transaction Summary [email protected] Fitch Ratings has assigned an expected ‘BBB+’, Positive Outlook, issue‐specific Sovereigns ratings to the EUR50m series 2011‐A, EUR75m series 2011‐B, EUR75m series 2011‐C, Ed Parker EUR75m series 2011‐D and EUR25m series 2011‐E notes issued by DFS Funding Corp. +44 20 7417 6340 [email protected] (DFS, or the issuer). The agency’s ratings address the likelihood of timely payment of interest and principal. The underlying issuance is a securitisation of existing and Related Research future USD‐, EUR‐ and GBP‐denominated diversified payment rights (DPRs) originated by Denizbank A.S. (Denizbank, Foreign Currency Issuer Default Rating Applicable Criteria • Future Flow Securitization Rating Criteria (IDR) ‘BBB−’/Positive; Short‐term IDR of ‘F3’, Local Currency IDR ‘BBB’/Positive). (March 2010) • Criteria for Interest Rate Stresses in The ‘BBB+’ ratings reflect structural mitigants to several sovereign and bank risks Structured Finance Transactions associated with Turkey and Denizbank. The rating of the notes reflects the (March 2011) performance risk of Denizbank — as measured by Fitch’s going concern assessment Other Research (GCA) score of GC3 — the strength of Denizbank’s DPR flows, and the legal structure • Turkey (November 2010) of the transaction, which provide the securitisation with a one‐notch rating up‐tick • Denizbank A.S. (June 2010) above the bank’s Local Currency IDR. Denizbank is Turkey’s ninth‐largest bank — or excluding the state‐controlled banks, the sixth‐largest privately owned bank — with noticeable market shares across most business segments. As of end Q410, Denizbank had TRY33.9bn in assets, representing approximately 2.8% of total system assets and 2.5% of deposits. The six largest Turkish privately owned banks in order of size are: Isbank, Garanti Bank, , Yapi Kredi Bank, Finansbank and Denizbank; together they represent approximately 53.7% of total system assets (as at Q310). However, this is dominated by the top four private banks, which together account for 47.1% of system assets, while Finansbank and Denizbank have much smaller market shares. Key Rating Drivers • Local Currency IDR and Going Concern Assessment of Originator: Denizbank has a Local Currency IDR of ‘BBB’/Positive, driven by the support of its foreign‐ owned parent (‘A+’/Stable/‘F1+’). Based on its position as the ninth‐ largest bank in the financial system and its relative importance to the Turkish economy, Fitch has assigned a GCA score of GC3 to the bank. Fitch has rated the notes one notch above Denizbank’s Local currency IDR following the agency’s analysis of the GC3 score and the influence of the parental support on Denizbank’s rating. www.fitchratings.com 21 April 2011 Structured Finance

• Product/Asset Analysis: The collateral backing these notes involves DPRs processed by Denizbank. DPRs are essentially payment orders processed by a bank’s settlement department on behalf of its clients. Foreign currency payment orders may arise for any reason including exports, foreign direct investment (FDI) and individual remittances. The issuer will have rights to the DPRs immediately upon their generation. Fitch believes payments processing is crucial to the bank’s existence as a going concern. This view is reflected in the bank’s GCA score and the transaction rating. • Sovereign Analysis: In November 2010, Fitch affirmed both Turkey’s Foreign Currency IDR and Local Currency IDR at ‘BB+’, and revised their Outlooks to Positive from Stable. The Positive Outlook on Denizbank and on the transaction’s rating reflects the Positive Outlook on the sovereign. When contemplating ratings that exceed the Foreign Currency Rating of a country, Fitch considers potential sovereign risk events consistent with the expected rating level. These risks include transfer and convertibility, devaluations and, to some degree, nationalisation and expropriation. Any controls on transfer or conversion of foreign exchange should be mitigated in this transaction, as payments from the obligors are collected offshore. Additionally, Fitch evaluated the potential for sovereign redirection (ie payment‐diversion risk) in this transaction. Fitch believes this risk is mitigated on several levels.

• Structural Features: Typical early amortisation triggers accelerate the amortisation of the notes without capturing all cash flow (after covering scheduled debt service payments, 40% of excess cash flow is returned to the bank). If all cash flow were trapped, it could cause an extraordinary liquidity event that could further deteriorate the bank’s financial condition. • Legal Analysis: Under a true sale agreement between Denizbank (the seller) and a special‐purpose corporation (SPC) called DFS Funding Corp, the seller has sold to the SPC all rights to, title to, and interest in existing and future DPRs. Selected correspondent banks have executed Acknowledgement Agreements giving the trustee control over flows from such correspondent banks. • Cash Flow Analysis: In Fitch’s base case scenario, expected monthly maximum debt service coverage levels (based on the maximum monthly debt service amount due) for the programme are approximately 28x. Fitch’s cash‐flow analysis only gives credit to non‐Turkish flows through designated depositary banks (DDBs). Fitch’s base case took the lowest monthly flow since 2008 to incorporate the effects of the recent economic recession (if the average flow since 2008 was used, the DSCR would have been approximately 56x). The agency applies various stress scenarios to the base case flow volume to test the adequacy of the coverage. • Total Size of Future‐Flow Programme Relative to Total Bank Liabilities: Fitch estimates Denizbank’s DPR programme represents approximately 3.9% of overall liabilities. In differentiating Denizbank’s IDR from the issuance ratings assigned to these notes, Fitch highlights that the additional series, in combination with the existing programme, represent a small portion of overall obligations. While Fitch is comfortable with current leverage, if programme leverage were to significantly increase, it would likely constrain the ratings of any series rated by Fitch. Rating Sensitivity Fitch believes the most significant variables affecting the rating of the transaction are the credit quality of the bank, its GCA score and the sovereign rating. While coverage levels are also a key input, the current reported monthly maximum debt service coverage ratio (DSCR) is approximately 111x and therefore the current rating could withstand a significant decline in cash flows (Fitch’s calculation of the

DFS Funding Corp. April 2011 2 Structured Finance

DSCR only gives credit to non‐Turkish flows through DDBs, so the agency used lower coverage levels in its analysis). Fitch also believes the current rating can withstand some level of downgrade at the bank and sovereign level; however, the reasons for the downgrades would need to be considered when analysing the impact on the rating of the transaction. Model, Criteria Application, and Data Adequacy In rating this transaction, Fitch reviewed remittance data from the DFS programme dating back to July 2004. The data were provided in a manner requested by Fitch and, upon review, found to be adequate for the purposes of its analysis. Data were broken down by remittance volume, number of transactions, beneficiary information, and currency, as well as country of origination. Fitch used a cash flow model provided by the arranger in its analytical process to simulate stresses to the transaction and determine the sufficiency of available enhancement under various simulations. The agency customised the cash flow model with its own rating stresses to test the structure of the transaction under different scenarios. Fitch’s base‐case coverage levels, modelling assumptions, and stress tests are consistent with the published future‐flow rating criteria available on its website. Transaction and Legal Structure

Figure 1 Denizbank DPR Securitisation True Sale of Note Issuance & Payment Rights Proceeds of Issuance Issuer Denizbank DFS Funding Corp. Noteholders

Proceeds of Note Issuance

Collateral Account (Held With Indenture Amounts in Excess of Trustee) Required Amount to Quarterly Service Debt on Quarterly Required Amount Payment Dates Daily Transfers of Payment Rights Collections Designated Depository Bank (Concentration Turkey Account) Offshore

Source: Transaction documents The timely payment of interest and principal on the Series 2011‐A, B, C, D and E notes will be backed by the DPRs generated by Denizbank. The transfer of the DPRs has been structured as a “true sale” of the existing and future USD‐, EUR‐ and GPB‐ denominated DPRs originated or acquired by Denizbank, to DFS Funding Corp., a Cayman Island SPC. To finance the purchase the SPC then issues notes backed by the DPRs. Most transaction documents are governed by the laws of the state of New York, with the exception of the bill of sale, which covers the Turkish sale of assets and is governed by the laws of Turkey, and the Acknowledgement Agreements, which are governed by the laws of the countries where each of the DDBs are located. Denizbank retains all obligations to make applicable payments to the respective beneficiaries of the payment orders.

DFS Funding Corp. April 2011 3 Structured Finance

Fitch reviewed appropriate legal opinions validating the typical protections of a future‐flow remittance securitisation. As long as Denizbank continues to generate DPRs, the agency expects the trustee to maintain control of cash flows pursuant to the sale of the assets. These flows should remain unchallenged regardless of Denizbank’s standing with other creditors. It should be noted that Denizbank has no obligation to pay the notes should it fail to generate sufficient DPRs (note‐holders would only have recourse to Denizbank upon the occurrence of certain defaults — including failure to pay by the SPC; see Events of Defaults section below). The Series 2011‐A and 2011‐E notes have a seven‐year tenor with a two‐year interest‐only period where no principal payments will be made; Series 2011‐B and Series 2011‐C have a 12‐year tenor with a two and a half‐year interest‐only period; while series 2011‐D has a five‐year tenor with a two‐year interest‐only period. The transaction amortises quarterly according to a fixed schedule during the scheduled amortisation period. The interest rate for each series will be floating over three‐ month Euribor plus a specified margin. Early Amortisation Early amortisation events include the following. • There is non‐payment of any amount due by the SPC. • Any representation or warranty made by the SPC is incorrect or false. • The SPC enters bankruptcy/insolvency. • There is a breach of certain covenants by the SPC which is expected to cause a material adverse event. • In any four month period, less than 60% of collections are via DDBs. • A default will have occurred with respect to that series (see below). • Subject to Denizbank’s right to fund the coverage reserve: o in any quarterly reporting period: the DSCR is less than 6x; or o in any monthly reporting period: the DSCR is less than 4x. • For two consecutive quarterly reporting periods, the collections are less than 60% of the flows in the same period the previous year and the quarterly DSCR is less than 12x; provided that any single DPR of at least USD20m is excluded from the calculation. • In the last two quarterly reporting periods, the collections from affiliates of Denizbank were greater than 20% (excluding direct or indirect shareholders, or their subsidiaries, of Denizbank that are located in OECD countries) and the quarterly DSCR was less than 12x. • An early amortisation event in relation to any other series occurs that results in acceleration. If any early amortisation acceleration event occurs, the issuer will capture 60% of excess cash to accelerate the amortisation of the notes. The remaining collections will be released to the bank (the intention of this is to prevent an early amortisation event causing a liquidity crisis at the bank). DSCR triggers are defined as monthly or quarterly flows through DDBs over the remaining maximum monthly or quarterly debt service. The flows used in the DSCR triggers are called tested collections and are defined to give limited credit to domestic Turkish flows. Fitch’s analysis of the flows gives no credit to domestic Turkish flows. However, in Fitch’s opinion, the DSCR levels remain very high, even if Turkish flows are completely excluded. While the DSCR early amortisation triggers are helpful in certain circumstances, it is unlikely they would be breached barring a significant deterioration in the bank,

DFS Funding Corp. April 2011 4 Structured Finance

given that these triggers are significantly below current coverage levels. Fitch’s rating of the transaction mainly reflects the rating of Denizbank, its GCA score and the fact that debt service coverage levels are consistently very high (even if domestic Turkish flows are completely excluded from the analysis). If a DSCR trigger is breached but remains at least 1x, Denizbank can, at its own discretion, fund a coverage reserve account by informing the trustee to trap any collections that would have been paid to Denizbank under the priority of payments (excluding the 40% of excess cash that would be paid to it if an early amortisation acceleration event were to occur). Any trapped collections are then controlled by the trustee on behalf of the noteholders. There is no minimum amount that must be deposited in the coverage reserve account. Nevertheless, by funding the coverage reserve account, an early amortisation event is deemed not to have occurred. If for the next quarterly reporting period, a DSCR trigger remains breached, an early amortisation event will occur. By funding the coverage reserve, Denizbank can delay the onset of an early amortisation event by up to five months. The intention of the coverage reserve is to prevent an early amortisation event occurring due to a one‐off extreme event beyond the control of Denizbank. The bank cannot use the coverage reserve more than once in any 12‐ month period or (depending on the series) more than three to five times during the entire life of the notes. Events of Default Should an event of default occur, Denizbank could be obliged to immediately redeem the notes (ie noteholders would have recourse to Denizbank). Events of default under the transaction include the following.

• There is a breach of representations, warranties or covenants by Denizbank. • Denizbank fails to pay any amount due under the programme. • There is a servicer event of default (if Denizbank is the servicer). • Less than 50% of collections are via DDBs. • Denizbank cross‐defaults on any amount of at least USD20m. • Denizbank Bank enters bankruptcy/insolvency. • There is a default of any other series. • There is non‐payment of any amount due by the SPC. Disclaimer For the avoidance of doubt, Fitch relies, in its credit analysis, on legal and/or tax opinions provided by transaction counsel. As Fitch has always made clear, Fitch does not provide legal and/or tax advice or confirm that the legal and/or tax opinions or any other transaction documents or any transaction structures are sufficient for any purpose. The disclaimer at the foot of this report makes it clear that this report does not constitute legal, tax, and/or structuring advice from Fitch and should not be used or interpreted as legal, tax, and/or structuring advice from Fitch. Should readers of this report need legal, tax, and/or structuring advice, they are urged to contact relevant advisers in the relevant jurisdictions. Asset Analysis Collateral DPRs refer to rights of payment in respect of payment orders intended for third‐ party beneficiaries processed through Denizbank. The issuer has rights to the DPRs immediately upon their generation. Denizbank generated approximately USD21.5bn of eligible DPRs in 2010, which represented a small increase of approximately 2% over 2009. Growth in DPRs is highly correlated to the positive economic path of the country and, in particular,

DFS Funding Corp. April 2011 5 Structured Finance

exports. As the economy rebounds strongly after the 2008‐09 recession, the volume of DPRs is also likely to grow as well. Fitch expects total flows in 2011 to be broadly in line with those in 2010 but, over the medium term, the agency expects flows to continue their upward trend as the Turkish economy continues to grow. DPRs originate from a variety of sources. Non‐Turkish DPRs are predominantly derived from payments on export goods and services. Other sources of non‐Turkish DPRs include capital flows and traditional worker and family remittances. The transaction is supported by the true sale structure, and the current ratio of cash flow to maximum debt service is approximately 58.9x (including the new notes that have been issued). The collateral is broadly defined to capture all USD‐, EUR‐ and GBP‐denominated flows received by the bank. Historically, around two thirds of flows have been in USD, with most of the remainder in EUR. GBP‐denominated flows have contributed only 1%‐2% of total flows. The majority of DPRs are expected to flow through DDBs that have signed Acknowledgment Agreements, obliging them to pay remittances through the offshore accounts controlled by the indenture trustee. Acknowledgement Agreements must be in place at all times for banks originating at least 60% of the total DPR flows, and Denizbank must execute an Acknowledgement Agreement with any bank representing more than 8% of the then total flow (or must close the account). At the transaction’s close, approximately 92% of DPRs flowed through DDBs (the percentage of DDB collections has been consistently above 90% for most of the programme’s life).

Figure 2

DFS Funding Corp. ‐ DDB Breakdown OTHER DEPOSITORY BANKS

(%) BARCLAYS BANK 100 HSBC BANK PLC

DEXIA BIL 80 ABN AMRO BANK

DRESDNER BANK AG

60 AG

BAYERISCHE HYPO‐UND VEREINSBANK AG

COMMERZBANK AG 40 STANDARD CHARTERED BANK FRANKFURT

CITIBANK N.A. NY 20 WACHOVIA BANK NY

JP MORGAN CHASE BANK NY 0 STANDARD CHARTERED BANK NY 2007 2008 2009 2010 Source: Denizbank BANK OF NEWYORK NY

The DDBs that have executed acknowledgement agreements are: • Standard Charted New York and Standard Charted Frankfurt (part of Standard Chartered Bank, rated ‘AA‐’/Stable/‘F1+’); • The Bank of New York Mellon (rated ‘AA‐’/Stable/‘F1+’); • NA (rated ‘A+’/‘F1+’/RWN); • Commerzbank (rated ‘A+’/Stable/‘F1+’) and Dresdner Bank, which is now part of Commerzbank;

DFS Funding Corp. April 2011 6 Structured Finance

• Deutsche Bank Trust Company and Deutsche Bank AG (rated ‘AA‐ ’/Negative/‘F1+’); • JP Morgan Chase Bank (rated ‘AA‐’/Stable/‘F1+’); • Wachovia Bank NA, now part of Wells Fargo Bank NA (rated ‘AA‐’/Stable/ ‘F1+’); • Bayerische Hypo‐Und Vereinsbank AG, now part of UniCredit Bank A.G. (rated ‘A+’/Stable/‘F1+’); • Royal Bank of Scotland N.V. (rated ‘AA‐’/Stable/‘F1+’); • Dexia Banque Internationale a Luxembourg (‘A+’/Stable/‘F1+’); • HSBC Bank plc (rated ‘AA’/Stable/‘F1+’); and • Barclays Bank plc (‘AA‐’/Stable/‘F1+’). Historically, Bank of New York Mellon has been the correspondent bank for the largest share of incoming flows (in 2010 it accounted for 27% of total collections). The next largest banks were JP Morgan Chase (11.8%), Dexia Banque (10.7%) and Wachovia Bank (9.9%). Each DDB maintains a collection account that is controlled by the indenture trustee (such accounts are referred to as “concentration accounts”). The DDBs agree to capture all DPRs into concentration accounts for this programme. The selected DDBs will transfer the funds in their concentration accounts daily to the collateral account controlled by the trustee. Once the collateral account is funded with an amount necessary to cover the required principal, interest and fees for the period, the indenture trustee will notify the DDBs to send all remaining collections to Denizbank (alternatively, Denizbank has the option to pre‐fund the collateral account to the required amount prior to the start of each payment period). In the absence of any trigger events, only flows from DDBs will be transferred from concentration accounts to the collateral account. Following an early amortisation acceleration event, 60% of all excess cash, after paying quarterly debt service, will be captured and applied to accelerate the payment of the notes; the remaining 40% will be released to Denizbank for general operating purposes. DPRs are broadly defined as rights to payment in respect of payment orders (typically SWIFT MT103 payment orders) denominated in USD, EUR or GBP, where the ultimate beneficiary is an individual or company with a Denizbank account. The definition of DPR specifically excludes trade payment rights, payments related to Western Union money transfers and credit card payments. MT‐103 payments are defined as any payments generated through the Society for Worldwide Interbank Financial Telecommunication (SWIFT) system and designated for third‐party, non‐financial institution beneficiaries. The definition of DPRs also covers any type of replacement or substitute systems, such as telex or the Internet. MT‐103 payments include trade finance payments, electronic family remittances and capital flows. Origins of DPRs The DPR volume for Denizbank has grown rapidly over the past decade, reflecting the growth in exports, personal remittances and capital flows over this period. The breakdown of the DPRs by industry of the recipient shows they are both granular and diverse, reflecting the diverse nature of the Turkish economy.

DFS Funding Corp. April 2011 7 Structured Finance

Figure 3 DFS Funding Corp. ‐ Breakdown of Flows (USD Equivalent)

Turkish flows Non‐Turkish flows

25,000,000,000

20,000,000,000

15,000,000,000

10,000,000,000

5,000,000,000

0 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Source: Denizbank

The Turkish economy suffered a short but severe recession from late 2008 to early 2009. However, since then the economy has rebounded strongly. This is reflected in the DPR flows, which dropped significantly during 2009. However, Fitch expects that flows have now stabilised and will grow again as export markets recover. Traditionally, Turkey’s main export markets have been in the European Union and the US; however the economy is gradually diversifying exports into new higher growth emerging markets. The Turkish economy is diverse with strengths in many sectors from manufacturing to tourism. The diverse nature of the economy is reflected in the diverse nature of the DPRs, which are not dominated by any one industrial sector.

Figure 4 DFS Funding Corp. ‐ Currency Breakdown (USD Equivalent)

(%) USD EUR GBP Other 100

80

60

40

20

0 2007 2008 2009 2010 Source: Denizbank

Figure 5 DFS Funding Corp. ‐ Industry Breakdown of Recipient (%) 25 20 15 10 5 0

s s s s r s e d d g d d n d n n & l l ls

t m cs le s e c n n s n n n a n s a a l s & n io io ce ce on ti n a a a a a i ri i

e s th ce ri s nt ica th xti ge a nt et ti l v v ct f s s tai d a e rce e e r O ge f r tu me e tat vi a r a l ry m in y a m ra ou e u r ic e y T u c ru e e e cl f ga p e m e ic ci ra i T t or s t o n a a tr d h e rg n p s ve n o

, r p l p . S te e s to d Ch ns es e s c uf u nd nd a ot hi ui l a ty, le n tro r gn m b veh n a t a ti n q Cor a i m a c e g , s c, an ci r s Co ac p o e s . r g r n Foo li e e le s ri o Ma on M e n t rs T b ore E n ni com b e ole f rs com ct u al ki b p h e ra e d P wa e Mi le l u P n T an R W E R a B te Source: Denizbank

DFS Funding Corp. April 2011 8 Structured Finance

During 2010, the top 20 beneficiaries averaged approximately 31% of total collections. The industrial breakdown of the top 20 beneficiaries was also diverse, including companies in finance, wholesale retail & foreign trade, chemicals, manufacturing and transportation & telecommunication. Fitch has assessed the impact of losing these collections in its analysis and believes the transaction can withstand such a stress. It is also worth noting that Denizbank acts as the clearing bank for the Gold Exchange. Denizbank estimates that approximately 8% of flows related to the Gold Exchange in 2010. The flows themselves are highly granular. Since January 2007, on average approximately 37% of flows have been for payments under USD1m; 77% of flows have been for amounts under USD10m and 87% have been for flows under USD20m. On average between 2007‐2010, only 13% of flows related to very large payment orders of more than USD20m. Very large payment orders often represent capital flows that tend to be much more volatile than export flows and remittances. For instance, during a crisis, capital flows are more likely to dry up than exports and remittances, which are likely to persist (albeit at lower levels). Fitch considers the granular and diverse nature of the flows as a positive because it means they are less likely to be disrupted by extreme events affecting particular sectors of the economy or particular borrowers.

Figure 6 DFS Funding Corp. ‐ Payment Order by Size (USD Equivalent)

Less than 1,000 Between 1,000 and 99,999.99 Between 100,000 and 999,999.99 Between 1,000,000 and 4,999,999.99 Between 5,000,000 and 9,999,999.99 Between 10,000,000 and 19,999,999.99 (%) Equal to or greater than 20,000,000

100

80

60

40

20

0 2007 2008 2009 2010 Source: Denizbank

Strategic Importance Like other large Turkish banks, payment processing is a key service Denizbank provides to its clients, both retail and corporate. While this business is one of many product lines offered by a universal bank such as Denizbank, Fitch considers it essential. Payment processing is an important source of foreign currency, and the incoming payments provide a source of funding for the bank. Payment orders are also a significant source of intangible benefits. Cross‐selling opportunities arise out of payment order activity. Existing clients that are beneficiaries have a vested interest to maintain accounts at Denizbank, and new beneficiaries are encouraged to bank there as well. Denizbank’s DPR Market Share and Going Concern Score Denizbank is the ninth‐largest bank in Turkey (or if the state‐owned banks are excluded, the sixth‐largest privately owned bank in Turkey) by market share of assets. According to SWIFT data, Denizbank had a 3.1% share of incoming DPRs in 2010. Looking at both state‐owned and private banks, the Turkish banking system is very much dominated by the top seven banks in the country and particularly by the top four banks, which each have market shares well in excess of 10% of system assets. After the top seven banks, the Turkish banking market becomes increasingly

DFS Funding Corp. April 2011 9 Structured Finance

fragmented. Denizbank’s GCA 3 score partly reflects its position in the market and its relative importance to the Turkish financial system compared to its much larger competitors.

Figure 7 Turkish Banks by Share of System Assets Share of Total Established total system assets Banks (% share) Fitch rating since assets (%) (TRYm) Türkiye Cumhuriyeti Ziraat Bankası A.Ş. ‘BB+’/Positive/‘B’ 1863 15.5 137,476 Türkiye İş Bankası A.Ş. ‘BBB‐’/Positive/‘F3’ 1924 14.1 124,828 Türkiye Garanti Bankası A.Ş. ‘BBB‐’/Positive/‘F3’ 1946 12.8 113,502 Akbank T.A.Ş. ‘BBB‐’/Positive/‘F3’ 1948 11.8 104,589 Yapı ve Kredi Bankası A.Ş. ‘BBB‐’/Positive/‘F3’ 1944 8.4 74,198 Türkiye Vakıflar Bankası T.A.O. ‘BB+’/Positive/‘B’ 1954 8.1 72,110 Türkiye Halk Bankası A.Ş. ‘BB+’/Positive/‘B’ 1938 7.9 69,581 Finans Bank A.Ş. ‘BBB‐’/Stable/‘F3’ 1987 3.8 33,854 Denizbank A.Ş. ‘BBB‐’/Positive/‘F3’ 1997 2.8 24,833 Türk Ekonomi Bankası A.Ş. ‘BBB‐’/Positive/‘F3’ 1927 1.9 16,773 Source: Turkish Banking Association, Fitch; state‐controlled banks in bold, data as at Q310

On closing, Denizbank’s Local Currency IDR was one‐notch higher than the country ceiling for Turkey, due to the support of its foreign‐owned parent, Dexia. Fitch has rated the notes only one notch above Denizbank’s Local currency IDR, following the agency’s analysis of the GC3 score and the influence of the parental support on Denizbank’s rating. The Positive Outlook on Denizbank’s IDR on closing reflected the Positive Outlook on the sovereign rating. In this instance, the Positive Outlook was carried through to the transaction’s rating. Performance Risk Analysis When rating a financial future‐flow transaction, Fitch believes its performance will depend on the originator’s ability to maintain the business operations that generate the assets being securitised. To be able to make timely payments to noteholders, Denizbank must continue to generate USD‐, EUR‐ and GPB‐denominated third‐party beneficiary payment orders. Based on its position as the sixth‐largest privately owned bank in the Turkish financial system and its associated role in the local economy, Fitch views the bank’s DPR business line and performance risk as consistent with a GCA score of GC3. According to the agency’s future‐flow criteria report (see Related Research on page 1), the definition of GC3 is that “continued business operation is less probable but still likely, with a more significant element of doubt present” (as compared to GC1 and GC2). The rating of the transaction will be notched off the local currency IDR of the bank, depending on the GCA score. A GCA score of GC3 allows the transaction rating to achieve a maximum of a two‐notch uplift over the local currency IDR of the bank. However, Fitch has rated the notes only one notch above Denizbank’s Local Currency IDR following the agency’s analysis of the GC3 score and the influence of the parental support on Denizbank’s rating. For more information on the bank, see Appendix B. Financial Structure and Cash Flow Modelling Fitch evaluated historical payment order activity and the performance of the existing programme to test the adequacy of cash flows. Cash flows could fall for a number of reasons, including an overall decline in payment orders to Turkey (for instance, due to a deteriorating export environment), a reduction in market share in the payment order business, or a shift in activity to other correspondent banks. After considering Denizbank’s current DPR flows and various stress scenarios, as well as the performance of the bank in general, Fitch

DFS Funding Corp. April 2011 10 Structured Finance

believes the bank’s current and future DPR business is sufficient to support this issuance of notes. From 2005 through 2010, the average annual eligible DPR flow was approximately USD17.6bn (with non‐USD denominated flows converted at prevailing exchange rates). Given current interest rates and flows (as at March 2011), the monthly DSCR for the programme is approximately 90.0x the maximum monthly debt service payment (the last reported quarterly DSCR in March 2011 was approximately 90.7x the maximum quarterly debt service payment). If the lowest flow since January 2008 is used (thereby using the lowest monthly flow during the last recession), and only non‐Turkish flows are used in the calculation, the DSCR would be approximately 28.0x. Fitch typically gives no credit to domestic flows in its analysis because, in the agency’s opinion, these are susceptible to sovereign interference. The proportion of domestic Turkish flows, as a percentage of total eligible flows, has averaged approximately 54% from 2005‐10. If domestic Turkish flows are completely excluded from the analysis, the average annual eligible DPR flows from 2005‐2010 would equal approximately USD6.9bn. If Turkish flows are excluded from the calculation, the average monthly DSCR (using only non‐Turkish DDB collections) for the programme over the past year would have been approximately 55.3x the maximum monthly debt service payment. Fitch ran various stress scenarios to assess the impact on the notes. In all stress scenarios, debt service coverage levels remained adequate to pay interest and scheduled principal due on the notes. For example, to stress the floating rate of interest due on any floating‐rate notes, the agency applied its standard Libor and Euribor rising interest rate stresses for ratings commensurate with the notes, thereby causing the interest due on the notes to increase. To stress the foreign exchange rate risk, between the denomination of the collections and that of the notes, Fitch ran a stress scenario assuming the USD/EUR exchange rate deteriorated by 50% of the historical average for the entire life of the transaction.

Figure 8

DFS Funding Corp. ‐ Outstanding Principal & Scheduled Amortisation

Total principal o utstanding (LHS) Total scheduled amo rtisatio n (RHS) 700,000,000 140,000,000 600,000,000 120,000,000 500,000,000 100,000,000 400,000,000 80,000,000 300,000,000 60,000,000 200,000,000 40,000,000 100,000,000 20,000,000 0 0 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023

So urce: Denizbank, Fitch

Alternative stress scenarios were run to address concentration risks within the composition of DPR beneficiaries. Stress scenarios were run assuming that a certain percentage of the top beneficiaries ceased using the services of Denizbank. A concentration to certain beneficiaries could also expose the transaction to obligor risk. Scenarios were also modelled where flows through DDBs are diverted to other correspondent banks that are not DDBs. This scenario reflects the diversion risk present if Denizbank were to attempt to alter DDB instructions. It is worth noting that such action by Denizbank would likely trigger an early amortisation event. In another stress, Fitch analysed the impact of losing all gold‐related flows (for instance, in the event that Denizbank ceased acting as the clearing bank for the Istanbul Gold Exchange). In all these scenarios, Fitch assumed a permanent drop in flows for the whole of the transaction’s life. Fitch also ran a scenario with all rating

DFS Funding Corp. April 2011 11 Structured Finance

stresses combined. In all scenarios, cash flow coverage was sufficient to meet the timely payment of scheduled principal and interest due on the notes. Any incremental issuance under this programme must be accompanied by a rating reaffirmation of the existing Fitch‐rated series. Specifically, the legal documents require that Fitch will have to affirm that the additional leverage on the collateral would not cause a downgrade to any outstanding notes rated by the agency to below the higher of the then current rating or ‘BBB‐’ (additionally, the issuance of new series is not permitted if the existing rating of the notes is below ‘BBB‐’). Size of Programme Relative to Other Denizbank Liabilities When evaluating a future‐flow IDR, Fitch considers the ratio of the size of the securitisation to the overall liabilities of a company. To materially differentiate an originator’s IDR from the securitisation’s IDR, it is important that the securitisation represents only a limited portion of overall obligations. In the case of Denizbank’s DPR programme, Fitch’s rating of ‘BBB+’ is one notch above the bank’s Local Currency IDR of ‘BBB’. In addressing this concern, Fitch reviews: • the total size of all existing future‐flow programmes; • total liabilities of the bank, approximated as total assets minus equity; and • the number of notches the future‐flow trust’s IDR exceeds the originator’s IDR and the relative rating of the sovereign. Based on Q310 numbers, Fitch estimates Denizbank’s DPR programme represented approximately 3.9% of overall liabilities. By way of international comparison, this level is near the middle of the range for other bank DPR programmes rated by the agency. While Fitch is comfortable with the current levels for the assigned rating, if programme leverage were to significantly increase, it could constrain the ratings of additional series. Performance Analytics The ongoing performance analysis of transactions forms an essential part of Fitch’s rating process. Comprehensive, clear and timely reporting on every transaction is key to assessing current performance and forming an accurate credit view. The Fitch surveillance process is split into two parts: ongoing review of monthly information; and a full review at committee at least annually. Where Fitch believes relevant information is missing, conservative assumptions will be made in reviewing an ongoing credit. In extreme cases of very poor reporting, ratings will be withdrawn. The surveillance of this transaction will be driven by changes in the credit quality of Denizbank or changes within the Turkish sovereign environment due to their credit linkage. The other key factor crucial to the surveillance process is the underlying credit quality of the collateral flows and, in particular, the volume of overseas non‐Turkish flows relative to debt service payments.

DFS Funding Corp. April 2011 12 Structured Finance

Appendix A

Figure 9 Transaction Comparison Salvadoreno DPR Funding SBP DPR Ltd. (Banco Brazil Foreign Jamaica Finance Co. HSBC DPR DPR Co. (Scotiabank CCR MT‐ Continental Garanti Bank Salvadoreno) (Santander) (NCB) Peru) 100 (BCP) DPR (BBVA) Denizbank Turkey Financials as of 31 Dec 2009 31 Dec 2009 YE9/2010 31 Dec 2009 31 Dec 2009 31 Dec 2009 30 Sep 2010 31 Dec 2009 Current FF program 25.6 1,021.0 260.0 300.0 963.3 450.0 705.0 2,850.0 size USD Current "Max" 32.6x 103.1x 76.1x 74.9x 134.2x 95.5 58.9x 71x monthly DSCR (excluding domestic flows)

Total assets 1,822.8 196,692.5 3,957.1 7,970.5 18,029.3 10,429.9 20,319.9 78,029.0 Total liabilities 1,589.6 159,383.1 3,380.5 6,943.2 16,353.5 9,427.5 18,009.3 68,849.4 (assets‐equity) Total equity 233.2 37,309.4 576.6 1,027.3 1,675.8 1,002.4 2,310.7 9,179.6 Customer deposits 1,283.6 64,760.3 1,704.5 5,688.7 13,540.2 7,183.7 12,143.0 44,297.7 Long‐term funding 268.1 7,314.1 319.3 524.0 1,265.2 685.1 4,027.1 7,553.8

Program size as % of 1.6 0.6 7.7 4.3 5.9 4.8 3.9 4.14 total liabilities Program size as % of 8.4 1.1 15.5 23.9 34.2 20.1 12.0 11.6 liabilities excluding deposits Program size as % of 9.5 14.0 81.4 57.3 76.1 65.7 17.5 37.7 LT funding

Bank rating (FC/LC) BBB‐ ON BBB OP/BBB+ OP B‐ OS/B‐ OS BBB OP/BBB+ OS BBB/BBB OS BBB OP/BBB+ OS BBB‐/BBB OP BBB‐ OP GCA 1 1 1 1 1 1 3 1 Deal rating BBB+ OS A OP BB OS A OS A‐ OS A OS BBB+ OP A‐ OS Notches (from LC) 2 2 4 2 2 2 2 3 Key: ON = Outlook Negative; OP = Outlook Positive; OS = Outlook Stable Source: Fitch

Figure 10 Parties to Transaction Participant name Status Fitch rating DFS Funding Corp. Issuer NR (SPC) Denizbank A.S. Originator Foreign currency (FC) IDR: ‘BBB−’, Positive Outlook Local currency (LC) IDR: ‘BBB’, Positive Outlook GCA score 3 Turkey sovereign Not a direct party to the transaction FC IDR: ‘BB+’, Positive Outlook LC IDR: ‘BB+’, Positive Outlook Country ceiling: ‘BBB−’ NR − Not rated; SPC − Special‐purpose corporation; IDR − Issuer default rating Source: Fitch

DFS Funding Corp. April 2011 13 Structured Finance

Appendix B: Key Parties Bank Analysis Denizbank is 99.8% owned by Belgium‐based Dexia (‘A+’/Stable/‘F1+’). It operates in all financial business segments, including non‐bank such as leasing and factoring. It is the ninth‐largest bank in Turkey, with a 2.8% share of assets. The Foreign‐Currency Long‐ and Short‐Term IDRs, Local‐Currency Short‐Term IDR, National Long‐Term Rating and Individual Rating of Denizbank A.S. (Denizbank) reflect its individual financial strength and are also underpinned by the support it would expect to receive from its parent, Dexia. Its Local‐Currency Long‐Term (LT) IDR and Support Rating are driven by the potential support from its parent. The Individual Rating reflects Denizbank’s good profitability, improved efficiency, well established franchise in certain niche segments, and diversified and growing deposits. These are balanced by a high loans/deposits ratio and potential challenges related to the funding strategy. Denizbank’s overall profitability is good, compares favourably by international standards and is considered a major strength. In Fitch’s opinion, given its size, Denizbank’s efficiency ratios are good and in line with those of its peers. The global crisis brought significant changes at Dexia; however, Fitch understands that Dexia remains committed to retaining its interest in Denizbank. Denizbank is making efforts to diversify sources of funding and reduce usage of lines provided by its parent. While funds provided by Dexia still represent an important source of wholesale funding for Denizbank, the is making good inroads in tapping funds from bilateral agencies. Access to the international syndicated loans markets is also possible and opportunities for capital markets issuance for Turkish banks — both in domestic and international markets — are presently strong. In Fitch’s view, there is a high probability of support from the parent; however, its ability to do so could be constrained by Turkey’s ‘BBB−’ Country Ceiling. The bank’s Foreign‐Currency LT IDR is constrained by the Country Ceiling, and its Local‐ Currency LT IDR is capped two notches above the sovereign rating. Denizbank’s IDRs would change to mirror any change in the sovereign rating. Fitch does not foresee any upside to the Individual Rating in the short term. Downward pressure could come from any persistent deterioration in asset quality or funding profile that would undermine profitability and capitalisation. For a more detailed analysis of Denizbank, see the full rating report dated 9 June 2010, available on Fitch’s website at www.fitchratings.com. Sovereign Risk Analysis Fitch revised the Outlook on Turkey’s ‘BB+’ IDRs to Positive from Stable on 24 November 2010. The Outlook revisions reflect strong economic recovery, improving public finances and increasing confidence that a lasting transformation in economic prospects and stability is under way. It follows the agency’s two‐notch upgrade of the Foreign Currency IDR to ‘BB+’ in December 2009, which recognised improved credit fundamentals and resilience to shocks. The public finances are strengthening. Fitch forecasts the general government deficit to narrow from 5.9% of GDP in 2009 to 4% in 2010 and 3% in 2011. Public debt dynamics are favourable, helped by strong GDP growth and lower interest rates. Fitch forecasts general government debt to decline from 45.5% at end‐2009 to around 42% of GDP at end‐2010 and 40% at end‐2011. The government is lengthening the maturity of its debt. Debt tolerance is supported by a deep local market, strong debt management capacity and a good modern debt service record. The country is experiencing a strong recovery, albeit after a severe recession. GDP growth was 8.9% in 2010. Fitch forecasts growth of 5% in 2011 and 2012. Nevertheless, there is some uncertainty whether Turkey can grow robustly without generating macroeconomic imbalances. Indeed there are some signs of overheating.

DFS Funding Corp. April 2011 14 Structured Finance

The current account deficit (CAD) widened to USD48.6bn (6.6% of GDP) in 2010, from 2.3% of GDP in 2009, and Fitch forecasts 7.5% in 2011. Moreover, the quality of financing has deteriorated, with an increase in short‐term debt. This is worsening the external liquidity position and exposes the country to an abrupt change in global liquidity. External debt and debt service ratios are higher than for peers. Turkey has a record of higher and more volatile inflation than rating peers. Although inflation dipped to 4% in March, Fitch expects it to increase this year as higher commodity prices and the depreciation of the lira feed through, while GDP and bank credit are growing rapidly; real interest rates are low and the central bank appears reluctant to raise them for fear of attracting excessive capital inflows. In such an environment there is a risk of policy mistakes and financial volatility. Turkey’s ratings are underpinned by GDP per capita that is above the ‘BBB’ range median, a strong banking system, a floating exchange rate regime, and favourable business climate and governance. Political risk weighs on the ratings. For a more detailed analysis of Turkey, see the full rating report dated 24 November 2010, available on Fitch’s website at www.fitchratings.com. Impact of Sovereign Rating on Transaction When contemplating ratings that exceed the foreign currency rating of a country, Fitch considers potential sovereign risk events consistent with the rating level. The effects these events might have on the country and the specific structure of the transaction are then evaluated to determine the enhancements. Fitch evaluated the potential for sovereign redirection (ie payment diversion risk) in this transaction. There is a risk the sovereign, during a period of crisis, may attempt to capture the USD‐, EUR‐ or GBP‐denominated payment flows at paying banks and transfer payments to a designated account maintained by the central bank. This risk is mitigated on several levels. First, paying banks have received notices that the rights to the DPRs have been sold to the issuer. Second, selected correspondent banks have signed irrevocable and unconditional acknowledgements stating that all cash flows generated by the DPRs will be deposited into offshore accounts that are owned by the trust and maintained by the indenture trustee. Third, large coverage levels ensure that the incentive for interference remains low. With the vast majority of flows already returning to Turkey via Denizbank, the marginal benefit of redirection would not likely offset the consequences of isolation from the international capital markets.

DFS Funding Corp. April 2011 15 Structured Finance

Appendix C: Transaction Overview

Figure 11 DFS Funding Corp. (Denizbank) Series 2011‐A, 2011‐B, 2011‐C, 2011‐D & 2010‐E Turkey/Future Flow Capital Structure Fitch expected Series ratings Rating Outlook Size (%) Size (EURm) CE (%) Interest rate (%) PMT freq. Final maturity 2011‐A BBB+exp Positive 16.7.0 50.00 n.a. Three‐month Euribor + spread Quarterly June 2018 2011‐B BBB+exp Positive 25.0 75.00 n.a. Three‐month Euribor + spread Quarterly Sept 2023 2011‐C BBB+exp Positive 25.0 75.00 n.a. Three‐month Euribor + spread Quarterly Sept 2023 2011‐D BBB+exp Positive 25.7 75.00 n/a Three‐month Euribor + spread Quarterly June 2016 2011‐E BBB+exp Positive 8.3 25.00 n.a Three‐month Euribor + spread Quarterly June 2018 Total 100.0 300.00 n.a. − Not applicable Source: Fitch

Key Information Details Parties Closing date 27 April 2011 Seller/originator Denizbank A.s. (Denizbank) Country of assets and type Turkey/future flow Servicer Denizbank Country of SPV Cayman Islands Issuer DFS Funding Corp. Analyst Peter Winning, CFA Arranger WestLB AG +44 20 3530 1377 Performance analyst Peter Winning, CFA +44 20 3530 1377 Source: Fitch

Key Rating Drivers Simplified ‐ Denizbank DPR Securitisation • Local Currency IDR and Going Concern Assessment of Originator: Denizbank has a Local Currency IDR of ‘BBB’/Positive, driven by the Issuer support of its foreign‐owned parent Dexia (‘A+’/Stable/‘F1+’). Based on Denizbank DFS Funding Corp. Noteholders its position as the ninth‐largest bank in the financial system and its relative importance to the Turkish economy, Fitch has assigned a GCA score of GC3 to the bank. Fitch has rated the notes one notch above Denizbank’s Local currency IDR following the agency’s analysis of the GC3 score and the influence of the parental support on Denizbank’s rating. Collateral Account • Product/Asset Analysis: The collateral backing these notes involves DPRs (Held With Indenture Trustee) through Denizbank. Non‐Turkish payment orders arise mainly from exports, foreign direct investment (FDI) and individual remittances. The issuer will have rights to the DPRs immediately upon their generation. Fitch believes this business line is consistent with the bank’s GCA score and the transaction rating. Designated Depository • Sovereign Analysis: Fitch affirmed Turkey’s Foreign Currency IDR and Bank (Concentration Local Currency IDR both at ‘BB+’, Outlook Positive. The Positive Outlook Account) on Denizbank and on the transaction’s rating reflects the Outlook on the sovereign. When contemplating ratings that exceed the Foreign Currency Source: Transaction documents rating of a country, Fitch considers potential sovereign risk events consistent with the expected rating level. These risks include transfer and convertibility, devaluations and, to some degree, nationalisation and expropriation. Fitch believes exchange and convertibility risks should be mitigated in this transaction, as payments from the obligors are collected offshore. • Structural Features: Typical early amortisation triggers accelerate the amortisation of the notes without capturing all cash flow. If all cash flow were trapped, it could cause an extraordinary liquidity event which could further deteriorate the bank’s financial condition. • Legal Analysis: Under a true sale agreement between Denizbank (the seller) and a special‐purpose corporation (SPC), the seller has sold to the SPC all rights to, title to, and interest in existing and future DPRs. Selected correspondent banks have executed Acknowledgement Agreements giving the trustee control over flows from such correspondent banks. • Cash Flow Analysis: Expected base case maximum debt service coverage levels for the programme exceed 28x. Fitch’s cash flow analysis only considers non‐Turkish flows through designated depositary banks (DDBs). The agency applies various stress scenarios to the flow volume to test the adequacy of the coverage. • Total Size of Future‐Flow Programme Relative to Total Bank Liabilities: Fitch estimates Denizbank’s DPR programme represents approximately 3.9% of overall liabilities. In differentiating Denizbank’s IDR from the issuance ratings assigned to these notes, Fitch highlights that the additional series, in combination with the existing programme, represent a very limited portion of overall obligations. While the agency is comfortable with these levels for the assigned rating, if programme leverage were to significantly increase, it could constrain the ratings of additional series.

Source: Fitch

DFS Funding Corp. April 2011 16 Structured Finance

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS . IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEB SITE AT WWW.FITCHRATINGS.COM. PUBLISHED RATINGS, CRITERIA, AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE, AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE CODE OF CONDUCT SECTION OF THIS SITE.

Copyright © 2011 by Fitch, Inc., Fitch Ratings Ltd. and its subsidiaries. One State Street Plaza, NY, NY 10004.Telephone: 1‐800‐753‐4824, (212) 908‐0500. Fax: (212) 480‐4435. Reproduction or retransmission in whole or in part is prohibited except by permission. All rights reserved. In issuing and maintaining its ratings, Fitch relies on factual information it receives from issuers and underwriters and from other sources Fitch believes to be credible. Fitch conducts a reasonable investigation of the factual information relied upon by it in accordance with its ratings methodology, and obtains reasonable verification of that information from independent sources, to the extent such sources are available for a given security or in a given jurisdiction. The manner of Fitch’s factual investigation and the scope of the third‐party verification it obtains will vary depending on the nature of the rated security and its issuer, the requirements and practices in the jurisdiction in which the rated security is offered and sold and/or the issuer is located, the availability and nature of relevant public information, access to the management of the issuer and its advisers, the availability of pre‐existing third‐party verifications such as audit reports, agreed‐upon procedures letters, appraisals, actuarial reports, engineering reports, legal opinions and other reports provided by third parties, the availability of independent and competent third‐party verification sources with respect to the particular security or in the particular jurisdiction of the issuer, and a variety of other factors. Users of Fitch’s ratings should understand that neither an enhanced factual investigation nor any third‐party verification can ensure that all of the information Fitch relies on in connection with a rating will be accurate and complete. Ultimately, the issuer and its advisers are responsible for the accuracy of the information they provide to Fitch and to the market in offering documents and other reports. In issuing its ratings Fitch must rely on the work of experts, including independent auditors with respect to financial statements and attorneys with respect to legal and tax matters. Further, ratings are inherently forward‐looking and embody assumptions and predictions about future events that by their nature cannot be verified as facts. As a result, despite any verification of current facts, ratings can be affected by future events or conditions that were not anticipated at the time a rating was issued or affirmed.

The information in this report is provided “as is” without any representation or warranty of any kind. A Fitch rating is an opinion as to the creditworthiness of a security. This opinion is based on established criteria and methodologies that Fitch is continuously evaluating and updating. Therefore, ratings are the collective work product of Fitch and no individual, or group of individuals, is solely responsible for a rating. The rating does not address the risk of loss due to risks other than credit risk, unless such risk is specifically mentioned. Fitch is not engaged in the offer or sale of any security. All Fitch reports have shared authorship. Individuals identified in a Fitch report were involved in, but are not solely responsible for, the opinions stated therein. The individuals are named for contact purposes only. A report providing a Fitch rating is neither a prospectus nor a substitute for the information assembled, verified and presented to investors by the issuer and its agents in connection with the sale of the securities. Ratings may be changed or withdrawn at anytime for any reason in the sole discretion of Fitch. Fitch does not provide investment advice of any sort. Ratings are not a recommendation to buy, sell, or hold any security. Ratings do not comment on the adequacy of market price, the suitability of any security for a particular investor, or the tax‐ exempt nature or taxability of payments made in respect to any security. Fitch receives fees from issuers, insurers, guarantors, other obligors, and underwriters for rating securities. Such fees generally vary from US$1,000 to US$750,000 (or the applicable currency equivalent) per issue. In certain cases, Fitch will rate all or a number of issues issued by a particular issuer, or insured or guaranteed by a particular insurer or guarantor, for a single annual fee. Such fees are expected to vary from US$10,000 to US$1,500,000 (or the applicable currency equivalent). The assignment, publication, or dissemination of a rating by Fitch shall not constitute a consent by Fitch to use its name as an expert in connection with any registration statement filed under the United States securities laws, the Financial Services and Markets Act of 2000 of Great Britain, or the securities laws of any particular jurisdiction. Due to the relative efficiency of electronic publishing and distribution, Fitch research may be available to electronic subscribers up to three days earlier than to print subscribers.

DFS Funding Corp. April 2011 17