DBRS Confirms Ratings Assigned to B-Cards SA

DBRS Ratings Limited (DBRS) has today confirmed the ratings of AA (low) (sf) previously assigned to the Senior Notes and BBB (sf) previously assigned to the Mezzanine Notes issued by B-Cards SA, SIC institutionnelle de droit belge Compartment B-Cards-I (B-Cards).

The confirmations are based upon DBRS’s review of an Amendment Agreement dated 27 February 2015, which has resulted in both a change to DBRS’s original cash flow analysis as well as the credit enhancement levels afforded to both the Senior Notes and Mezzanine Notes. DBRS has observed the following relevant amendments:

-- Due to the jurisdiction of the Mezzanine Notes noteholder, corporate income tax is now due by the Issuer on the effective interest paid on the Mezzanine Notes.
-- The Mezzanine Notes Interest Rate for each Interest Period has been reduced from 3.0% to 2.5%.
-- Credit enhancement afforded to both the Senior Notes and Mezzanine Notes has increased through a decrease in the Notes Funding Percentage from 95.00% to 94.50%.

DBRS considers that these amendments do not affect the ratings previously assigned and has not adjusted its base-case assumptions related to the performance of the underlying assets.

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).

Notes:
All figures are in EUR unless otherwise noted.

The principal methodology applicable is Master European Structured Finance Surveillance Methodology (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 these ratings include the original performance data relating to the receivables provided by the Originator (Buy Way) through the arrangers BNP Paribas Fortis SA/NV and Natixis S.A. 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.

The last rating action on this transaction took place on 27 January 2015, when DBRS assigned ratings of AA (low) (sf) and BBB (sf) to the Senior Notes and Mezzanine Notes, respectively.

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 on 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 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 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 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 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 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 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 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 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 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 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: Alexander Garrod
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.

-- Master European Structured Finance Surveillance Methodology (December 2014).
-- 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).