DBRS Assigns Provisional Ratings to Ochiba 2015 B.V.

DBRS Ratings Limited (DBRS) has today assigned AAA (sf) provisional ratings to the €346,500,000 Class A1 and €126,000,000 Class A2 Notes to be issued by Ochiba 2015 B.V. as well as AA (sf) and A (sf) provisional ratings to the €126,000,000 Class B and €126,000,000 Class C Notes to be issued by Ochiba 2015 B.V. (Ochiba 2015). The Notes are expected to be backed by a pool of Dutch consumer loan receivables.

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 subordination and a cash reserve.
-- Credit enhancement levels are sufficient to support DBRS’s projected payment, yield and charge-off rates under various stress scenarios at AAA (sf) standard for the Class A1 and Class A2 Notes, AA (sf) and A (sf) standard for the Class B and Class C Notes to be issued by Ochiba 2015.
-- 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 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.

The above mentioned ratings are provisional. Ratings will be finalised upon receipt of execution version of the governing transaction documents. To the extent that the documents and information provided to DBRS as of this date differ from the executed version of the governing transaction documents, DBRS may assign different final ratings to the Notes or may avoid assigning final ratings to the Notes altogether.

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’s “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary 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, Crédit Agricole Corporate & Investment Bank. DBRS received quarterly dynamic historical performance data on balance, payment, yield, loss and recovery data relating to originations going back to Q2 2004. 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.

These ratings concern newly issued financial instruments. These are the first DBRS ratings on these financial instruments.

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):

-- Net Charge-Off Rate Used: 2.50%, a 25% and 50% increase on the base case.
-- Principal Payment Rate Used: Base Case Payment Rate of 1.30%, a 25% and 50% decrease on the base case.
-- Yield Margin Rate Used: Yield Margin Rate of 6.50%, a 25% and 50% decrease on the base case.

DBRS concludes that for the Class A1 and Class A2 Notes:

-- Whilst holding the Payment Rate constant, a hypothetical increase of the base case Net Charge-Off Rate by 25% and a hypothetical decrease of the base case Yield Margin Rate by 25%, ceteris paribus, would maintain the rating of the Class A1 and Class A2 notes at AAA (sf).
-- Whilst holding the Payment Rate constant, a hypothetical increase of the base case Net Charge-Off Rate by 50% and a hypothetical decrease of the Yield Margin Rate by 50%, ceteris paribus, would maintain the rating of the Class A1 and Class A2 notes at AAA (sf).
-- Whilst holding the Yield Margin Rate constant, a hypothetical increase of the base case Net Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would maintain the rating of the Class A1 and Class A2 notes at AAA (sf).
-- Whilst holding the Yield Margin Rate constant, a hypothetical increase of the base case Net Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would maintain the rating of the Class A1 and Class A2 notes at AAA (sf).
-- Whilst holding the Net Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 25% and a hypothetical decrease of the Yield Margin Rate by 25%, ceteris paribus, would maintain the rating of the Class A1 and Class A2 notes at AAA (sf).
-- Whilst holding the Net Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 50% and a hypothetical decrease of the Yield Margin Rate by 50%, ceteris paribus, would maintain the rating of the Class A1 and Class A2 notes at AAA (sf).

DBRS concludes that for the Class B Notes:

-- Whilst holding the Payment Rate constant, a hypothetical increase of the base case Net Charge-Off Rate by 25% and a hypothetical decrease of the base case Payment Rate by 25%, ceteris paribus, would maintain the rating of the Class B notes at AA (sf).
-- Whilst holding the Payment Rate constant, a hypothetical increase of the base case Net Charge-Off Rate by 50% and a hypothetical decrease of the Yield Margin Rate by 50%, ceteris paribus, would maintain the rating of the Class B notes at AA (sf).
-- Whilst holding the Yield Margin Rate constant, a hypothetical increase of the base case Net Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would maintain the rating of the Class B notes at AA (sf).
-- Whilst holding the Yield Margin Rate constant, a hypothetical increase of the base case Net Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would maintain the rating of the Class B notes at AA (sf).
-- Whilst holding the Net Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 25% and a hypothetical decrease of the Yield Margin Rate by 25%, ceteris paribus, would maintain the rating of the Class B notes at AA (sf).
-- Whilst holding the Net Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 50% and a hypothetical decrease of the Yield Margin Rate by 50%, ceteris paribus, would maintain the rating of the Class B notes at AA (sf).

DBRS concludes that for the Class C Notes:

-- Whilst holding the Payment Rate constant, a hypothetical increase of the base case Net Charge-Off Rate by 25% and a hypothetical decrease of the base case Yield Margin Rate by 25%, ceteris paribus, would maintain the rating of the Class C notes at A (sf).
-- Whilst holding the Payment Rate constant, a hypothetical increase of the base case Net Charge-Off Rate by 50% and a hypothetical decrease of the Yield Margin Rate by 50%, ceteris paribus, would lead to a downgrade of the Class C notes to BBB (high) (sf).
-- Whilst holding the Yield Margin Rate constant, a hypothetical increase of the base case Net Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would maintain the rating of the Class C notes at A (sf).
-- Whilst holding the Yield Margin Rate constant, a hypothetical increase of the base case Net 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 C notes to BBB (high) (sf).
-- Whilst holding the Net Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 25% and a hypothetical decrease of the Yield Margin Rate by 25%, ceteris paribus, would maintain the rating of the Class C notes at A (sf).
-- Whilst holding the Net Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 50% and a hypothetical decrease of the Yield Margin Rate by 50%, ceteris paribus, would lead to a downgrade of the rating of the Class C notes to BBB (high) (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: 14 April 2015
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: Not applicable; no last rating date.

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.
• Legal Criteria for European Structured Finance Transactions.
• Operational Risk Assessment for European Structured Finance Servicers.
• Unified Interest Rate Model Methodology for European Securitisations.