DBRS Assigns New Ratings to B-Cards SA

DBRS Ratings Limited (DBRS) has today assigned new ratings of AA (low) (sf) to the Senior Notes and BBB (sf) to the Mezzanine Notes issued by B-Cards SA, SIC institutionnelle de droit belge Compartment B-Cards-I (B-Cards). The receivables that have been securitised consist of Belgian and Luxembourg unsecured revolving credit facilities (with and without a credit card) and instalment loans underwritten to retail clients and originated by Buy Way Personal Finance SA/NV (Buy Way).

The ratings are based on DBRS’s review of the following analytical considerations:

-- Transaction capital structure as well as form and sufficiency of available credit enhancement.
-- Relevant credit enhancement afforded to the Senior Notes in the form of subordination through the Mezzanine Notes and a Subordinated Loan. Credit enhancement levels are sufficient to support the DBRS charge-off, payment and yield rate assumptions under various stress scenarios at an AA (low) (sf) standard for the Senior Notes and a BBB (sf) standard for the Mezzanine Notes issued by B-Cards.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested.
-- The transaction parties' capabilities with respect to originations, underwriting, servicing and financial strength.
-- The credit quality of the collateral and ability of the Servicer to perform collection activities on the collateral.
-- The legal structure and presence of legal opinions addressing the assignment of the assets to the Issuer and the consistency with DBRS’s “Legal Criteria for European Structured Finance Transactions.”

Notes:
The principal methodology applicable is Rating European Consumer and Commercial Asset-Backed Securitisations (December 2014), which can be found on www.dbrs.com at
http://www.dbrs.com/about/methodologies. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

The sources of information used for this rating include performance data relating to the receivables provided by the Originator (Buy Way) through BNP Paribas Fortis SA/NV, acting as one of the Arrangers. DBRS received monthly dynamic historical performance data on balance, payment, yield, loss, origination and recovery data separated by product type (revolving credit facilities and instalment loans) and sourcing entity, relating to receivables performance from 2008 (instalments loans) and 2010 (revolving credit facilities) to YE2014. DBRS considers that the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

This rating concerns a newly issued financial instrument.

The full report providing additional analytical detail is available by clicking on the link or by contacting us at info@dbrs.com.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (each a specific Base Case):

-- Charge-Off Rate Used: Charge-off Rate of 4.75%, a 25.00% and 50.00% increase on the Base Case.
-- Payment Rate Used: Base-case Payment Rate of 7%, a 25% and 50% decrease of the Base Case.
-- Yield Rate Used: Yield Rate of 11%, a 25% and 50% decrease on the Base Case.
-- Purchase Rate Used: No purchases were assumed, a 0% Purchase Rate.

DBRS concludes that for the Senior Notes:
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the base case Yield Rate by 25%, ceteris paribus, would lead to the Senior Notes maintaining their rating of AA (low) (sf).
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the base-case Yield Rate by 50%, ceteris paribus, would lead to a downgrade of the Senior Notes to BBB (high) (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the base-case Payment Rate by 25%, ceteris paribus, would lead to a downgrade of the Senior Notes to A (high) (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the base-case Payment Rate by 50%, ceteris paribus, would lead to a downgrade of the Senior Notes to BBB (low) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 25% and a hypothetical decrease of the base-case Yield Rate by 25%, ceteris paribus, would lead to a downgrade of the Senior Notes to A (low) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 50% and a hypothetical decrease of the base-case Yield Rate by 50%, ceteris paribus, would lead to a downgrade of the Senior Notes to BB (high) (sf).

DBRS concludes that for the Mezzanine Notes:
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the base-case Yield Rate by 25%, ceteris paribus, would lead to a downgrade of the Mezzanine Notes to BB (low) (sf).
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the base-case Yield Rate by 50%, ceteris paribus, would lead to a downgrade of the Mezzanine Notes to C (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the base-case Payment Rate by 25%, ceteris paribus, would lead to a downgrade of the Mezzanine Notes to BB (high) (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the base-case Payment Rate by 50%, ceteris paribus, would lead to a downgrade of the Mezzanine Notes to B (high) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 25% and a hypothetical decrease of the base-case Yield Rate by 25%, ceteris paribus, would lead to a downgrade of the Mezzanine Notes to BB (low) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 50% and a hypothetical decrease of the base-case Yield Rate by 50%, ceteris paribus, would lead to a downgrade in the Mezzanine Notes to C (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Initial Lead Analyst: Alexander Garrod
Initial Rating Date: 27 January 2015
Initial Rating Committee Chair: Chuck Weilamann

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Chuck Weilamann

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The rating methodologies and criteria used in the analysis of this transaction can be found at http://www.dbrs.com/about/methodologies.

-- Rating European Consumer and Commercial Asset-Backed Securitisations (December 2014).
-- Legal Criteria for European Structured Finance Transactions (December 2014).
-- Operational Risk Assessment for European Structured Finance Servicers (January 2015).