DBRS Assigns Provisional Ratings of A (sf) and BBB (sf) to FCT Ginkgo Debt Conso 2015-1 Notes

DBRS Ratings Limited (DBRS) has today assigned provisional ratings to the Class A and Class B Notes (collectively with the unrated Class C Notes, the Notes) to be issued by FCT Ginkgo Compartment Debt Conso 2015-1 (the Issuer) as follows:

-- A (sf) to Class A Asset-Backed Fixed-Rate Notes;
-- BBB (sf) to Class B Asset-Backed Fixed-Rate Notes

The Notes are backed by a pool of debt consolidation loans originated through brokers and granted to French individuals by Crédit Agricole Consumer Finance (CACF).

The finalization of the ratings is contingent upon receipt of final documents conforming to information already received.

The ratings are based on the considerations listed below:

-- The sufficiency of available credit enhancement in the form of subordination (22% for Class A, 16% for Class B), a liquidity reserve fund and excess spread.
-- The ability of the transaction’s structure and triggers to withstand stressed cash flow assumptions and repay the Notes according to the terms of the transaction documents.
-- CACF’s capabilities with respect to originations, underwriting, servicing and financial strength.
-- 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:
All figures are in euros unless otherwise noted.

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

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 and portfolio data relating to the receivables sourced by CACF through the transaction arranger, Crédit Agricole Corporate and Investment Banking. DBRS received historical performance default and recovery data relating to CACF’s originations by quarterly vintage on a cumulative basis from 2011 to March 2015. Data was also provided relating to dynamic arrear levels and prepayment data from 2011 to March 2015. In addition, DBRS received portfolio stratification tables related to the collateral portfolio as at 30 June 2015 that allowed DBRS to further assess the portfolio. DBRS considers that the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS was supplied with third-party assessments; however, this did not affect the rating analysis.

Data checks were performed and DBRS did not apply additional cash flow stresses in its scenarios.

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.

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 the changing the transaction parameters on the rating, DBRS considered the following stress scenarios as compared with the parameters used to determine the rating (the base case):

-- Probability of default (PD): base case of 10.7%, a 25% and 50% increase on the base-case PD.
-- Loss given default (LGD): base case of 90%, a 5% and 10% absolute increase on the base-case LGD.

DBRS concludes that for the Class A Notes:

-- A hypothetical increase of the base-case LGD by 5% or 10%, ceteris paribus, would not result in a downgrade of the A (sf) rating of the Class A Notes.
-- A hypothetical increase of the base-case PD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (low) (sf).
-- A hypothetical increase of the base-case PD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (low) (sf).
-- A hypothetical increase of the base-case PD by 25% and a hypothetical increase of the LGD by 5%, ceteris paribus, would lead to a downgrade of the Class A Notes to BBB (high) (sf).
-- A hypothetical increase of the base-case PD by 50% and a hypothetical increase of the LGD by 5%, ceteris paribus, would lead to a downgrade of the Class A Notes to BBB (sf).
-- A hypothetical increase of the base-case PD by 25% and a hypothetical increase of the LGD by 10%, ceteris paribus, would lead to a downgrade of the Class A Notes to BBB (high) (sf).
-- A hypothetical increase of the base-case PD by 50% and a hypothetical increase of the LGD by 10%, ceteris paribus, would lead to a downgrade of the Class A Notes to BBB (low) (sf).

DBRS concludes that for the Class B Notes:

-- A hypothetical increase of the base-case PD by 25% or a hypothetical increase of the LGD by 5% or 10%, ceteris paribus, would not result in a downgrade of the BBB (sf) rating of the Class B Notes.
-- A hypothetical increase of the base-case PD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to BB (high) (sf).
-- A hypothetical increase of the base-case PD by 25% and a hypothetical increase of the LGD by 5%, ceteris paribus, would not result in a downgrade of the BBB (sf) rating of the Class B Notes.
-- A hypothetical increase of the base-case PD by 50% and a hypothetical increase of the LGD by 5%, ceteris paribus, would lead to a downgrade of the Class B Notes to BB (high) (sf).
-- A hypothetical increase of the base-case PD by 25% and a hypothetical increase of the LGD by 10%, ceteris paribus, would lead to a downgrade of the Class B Notes to BBB (low) (sf).
-- A hypothetical increase of the base-case PD by 50% and a hypothetical increase of the LGD by 10%, ceteris paribus, would lead to a downgrade of the Class B Notes to BB (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: Eric Levassor
Initial Rating Date: 8 July 2015
Initial Rating Committee Chair: Diana Turner

Lead Surveillance Analyst: TBD
Rating Committee Chair: TBD

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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.
-- Derivative Criteria for European Structured Finance Transactions.
-- Unified Interest Rate Model Methodology for European 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.