DBRS Confirms Ratings of FCT Oneycord, Compartiment Oneycord 1

DBRS Ratings Limited (DBRS) has reviewed the FCT Oneycord, Compartiment Oneycord 1 (the Issuer) and has today confirmed the ratings on the Obligation A bonds at AAA (sf).

Confirmation of the ratings is based upon the following analytical considerations:
-- Portfolio performance, in terms of defaults and delinquencies, as of the March 2015 payment date.
-- Level of Monthly Payment Rate, Monthly Portfolio Yield and Monthly Default Rate.
-- Current available credit enhancement for the Obligation A bonds to cover the expected losses at the AAA (sf) rating level.

This is a securitisation of a mixture of credit card and consumer loan receivables granted by Banque Accord S.A. to French individuals. Banque Accord S.A. is the captive finance company of the French retail group Auchan.

The transaction is still in the revolving period which terminates in September 2015. During the revolving period, the Obligation A bonds will not amortise unless any event triggering amortisation occurs. To date, no early amortisation events have been activated.

The pool is fairly granular (858,102 obligors and 1,481,242 contracts), moderately seasoned and has an average amortisation of approximately 27 months.

The portfolio is performing within DBRS’s expectations. As per the most recent reporting date, delinquencies greater than 90 days were 1.46%. The Monthly Default Rate as of the June 2014 payment date was 0.24%, well below the amortisation trigger level of 1.05%.

The Monthly Payment Rate has been running between 5.19% and 6.70% over the life of the transaction and at approximately 6.28% in the last 12 months. Payment rates in French credit card securitisations are generally low given the low utilisation rates of credit cards in France.

The Monthly Portfolio Yield has been declining since rating in April 2011 and it is currently at 1.15%. Although declining, it is still above the amortisation trigger of 0.90%.

The Obligation A bonds are supported by subordination of the Obligation B bonds and the Obligation Cédant. As of the March 2015 payment date, credit enhancement for the Obligation A bonds (as a percentage of the performing balance of the portfolio) reached 39.01%.

The transaction benefits from an amortising reserve fund which provides liquidity support to the transaction. On the March 2015 payment date, the reserve fund was at the current target level of EUR 17.40 million (4.66% of the outstanding balance of the Obligation A bonds).

Natixis S.A. is the Account Bank and Swap Counterparty for the transaction. The DBRS private rating of Natixis S.A. is at least equal to the Minimum Institution Rating given the rating assigned to the Obligation A bonds, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology. Additionally, the DBRS private rating of Natixis S.A. complies with the current DBRS “Derivative Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted. The principal methodology applicable is the “Master European Structured Finance Surveillance Methodology”.

Due to the inclusion of a revolving period in the transaction, the collateral was initially modelled based on the worst-case replenishment criteria set forth in the transaction legal documents. These assumptions have not changed and consequently no asset or cash flow analysis was conducted.

A review of the transaction legal documents was not conducted as the documents have remained unchanged since the most recent rating action
Other methodologies referenced in this transaction are listed at the end of this press release. This may be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies

The sources of information used for this rating include management reports provided by EuroTitrisation.

DBRS does not rely upon third-party due diligence in order to conduct its analysis.

DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

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.

The last rating action on this transaction took place on 7 July 2014, when the ratings of the Obligations A bonds were confirmed.

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):

-- DBRS expected a Base Case Monthly Portfolio Yield, Monthly Payment Rate and Monthly Default Rate for the pool based on a review of the transaction performance. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The Base Case Monthly Portfolio Yield, Monthly Payment Rate and Monthly Default Rate of the current pool of receivables are 1.02%, 6.11% and 0.78%, respectively.
-- The Risk Sensitivity overview below illustrates the ratings expected for the Obligation A bonds if each variable (Monthly Portfolio Yield, Monthly Payment Rate and Monthly Default Rate) was stressed by a certain percentage over the Base Case assumption, while holding the other variables constant. For example, if the Monthly Default Rate increases by 75%, the rating for the Obligation A bonds would be expected to remain at AAA (sf), all else being equal. If the Monthly Payment Rate decreases by 75%, the rating for the Obligation A bonds would be expected to remain at AAA (sf), all else being equal.

Obligation A bonds Risk Sensitivity:

• 50% increase in Monthly Default Rate, expected rating of AAA (sf).
• 75% increase in Monthly Default Rate, expected rating of AAA (sf).
• 100% increase in Monthly Default Rate, expected rating of A (sf).
• 50% decrease in Monthly Payment Rate, expected rating of AAA (sf).
• 75% decrease in Monthly Payment Rate, expected rating of AAA (sf).
• 100% decrease in Monthly Payment Rate, expected rating of AAA (sf).
• 50% decrease in Monthly Portfolio Yield, expected rating of AAA (sf).
• 75% decrease in Monthly Portfolio Yield, expected rating of AAA (sf).
• 100% decrease in Monthly Portfolio Yield, expected rating of AAA (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: Gareth Levington, Managing Director
Initial Rating Date: 25 April 2011
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Jamie Feehely

DBRS Ratings Limited
1 Minster Court, 10th Floor Mincing Lane, London EC3R 7AA
United Kingdom
Registered in England and Wales: No. 7139960

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

Legal Criteria for European Structured Finance Transactions
Derivative Criteria for European Structured Finance Transactions
Master European Structured Finance Surveillance Methodology
Operational Risk Assessment for European Structured Finance Servicers
Unified Interest Rate Model for European Securitisations
Rating European Consumer and Commercial Asset-Backed Securitisations

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375