DBRS Assigns Provisional Rating to Purple Master Credit Cards

DBRS Ratings Limited (DBRS) has today assigned a AAA (sf) provisional rating to the Class A2015-1 notes to be issued by Purple Master Credit Cards (PuMaCC). The receivables to be securitised consist of French unsecured revolving credit agreements (the Portfolio) underwritten to retail Group BPCE clients and originated by Natixis Financement (NFI, the Originator and Servicer).

The ratings are based upon review by DBRS of the following analytical considerations:

-- Transaction capital structure and form and sufficiency of available credit enhancement.
-- Relevant credit enhancement in the form of a general reserve and subordination. Credit enhancement levels are sufficient to support DBRS-projected payment, yield and charge-off rates under various stress scenarios at a AAA (sf) standard for the Class A2015-1 notes issued by PuMaCC.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in 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 Servicers to perform collection activities on the collateral.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the Rating European Consumer and Commercial Asset-Backed Securitisations.

Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include performance data relating to the receivables provided by the Originator through the arranger, Natixis S.A. DBRS received monthly dynamic historical performance data on balance, payment, yield, loss and recovery data relating to originations going back to January 2006. DBRS considers 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 (the Base Case):

-- Charge-Off Rate Used: Charge-off Rate of 6.0%, a 25% and 50% increase on the base case.
-- Principal Payment Rate Used: Base case Payment Rate of 4.0%, a 25% and 50% decrease of the base case.
-- Yield Rate Used: Yield Rate of 12.0%, a 25% and 50% decrease on the base case.

DBRS concludes that for the Class A2015-1 notes:

-- Whilst 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 rating of the Class A2015-1 notes to A (high) (sf).
-- Whilst 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 Class A2015-1 notes to BBB (low) (sf).
-- Whilst 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 rating of the Class A2015-1 notes to A (high) (sf).
-- Whilst 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 rating of the Class A2015-1 notes to BBB (sf).
-- Whilst 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 rating of the Class A2015-1 notes to AA (low) (sf).
-- Whilst 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 rating of the Class A2015-1 notes to BBB (low) (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration (ESMA) 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: Alessio Pignataro
Initial Rating Date: 17 March 2015
Initial Rating Committee Chair: Chuck Weilamann

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

DBRS Ratings Limited
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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.
-- Legal Criteria for European Structured Finance Transactions.
-- Operational Risk Assessment for European Structured Finance Servicers.
-- Unified Interest Rate Model for European Securitisations.
-- Derivative Criteria for European Structured Finance Transactions.