DBRS Confirms Rating on Purple Master Credit Cards

DBRS Ratings Limited (DBRS) has today confirmed its AAA (sf) rating on the EUR 550,000,000 Series 2015-1, Class A Notes (Class A Notes) issued by Purple Master Credit Cards (the Issuer).

The rating action reflects an annual review of the transaction, based upon the following analytical considerations:
-- Portfolio Performance, in terms of delinquencies and defaults, as of the March 2016 payment date, in line with DBRS’s initial expectations.
-- No Revolving Termination Events or Accelerated Amortisation Events have occurred.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
-- The current available credit enhancement to the notes to cover expected losses assumed in line with the AAA (sf) rating level for the Class A Notes.

The rating on the Class A Notes addresses the timely payment of interest and the ultimate payment of principal payable on or before the Legal Final Maturity Date in April 2027.

The Issuer is a fonds commun de titrisation established jointly by Eurotitrisation and Natixis S.A. (Natixis). The Notes are backed by a portfolio of French unsecured revolving credit agreements (credit card receivables) underwritten to retail Group BPCE clients and originated by Natixis Financement SA in France. The deal follows the standard structure under the French Securitisation Law and closed on 21 April 2015.

The transaction’s revolving period extends until the September 2016 payment date, subject to certain conditions being met. During the revolving period, the Issuer (1) may issue further Notes Series, (2) will issue new Class S Notes and (3) will purchase new receivables.

The portfolio is performing in line with DBRS’s expectations. As of the March 2016 payment date, one- to two-month delinquencies and two- to three-month delinquencies were 2.12% and 0.29% of the portfolio balance, respectively, while delinquencies greater than three months were 0.37%.
The annualised portfolio yield is currently 13.10%, and the Monthly Payment Rate (MPR) has been running between 6.48% and 9.82% over the life of the transaction and averaged 7.69% since closing. The annualised charge-off rate has averaged 0.41% since closing and currently stands at 0.79%.

Credit enhancement for the Class A Notes (25.79%) is provided by the subordination of the Class C 2015-1, the Class S and Residual Units, and the General Reserve Account as well.

The transaction structure includes a General Reserve Account, available to cover senior expenses and missed interest payments on the Class A Notes. The reserve fund is currently at the initial and target level of EUR 6.60 million.

A swap structure is in place to hedge the interest rate mismatch between the Class A Notes, indexed to 1-month Euribor, and the fixed interest rate payments from the collateral portfolio. Natixis S.A., London Branch is the Counterparty of the Swap Agreement; the DBRS private rating of Natixis S.A., London Branch complies with the First Rating Threshold defined in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology.

Natixis is the Account Bank for this transaction. The DBRS private ratings of Natixis complies with the Minimum Institution Rating given the rating assigned to the Notes, as described in DBRS’s Legal Criteria for European Structured Finance Transactions methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is Master European Structured Finance Surveillance Methodology.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

An asset and a cash flow analysis were both conducted. However, due to the inclusion of a revolving period in the transaction, and no change in assumptions, the initial analysis based on worst-case replenishment criteria set forth in the transaction legal documents was assumed.

A review of the transaction’s 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.

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

The sources of information used for this rating include monthly investor reports provided by Eurotitrisation (the Management Company).

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 these ratings 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 is the first rating action since the Initial Rating Date.

The lead responsibilities for this transaction have been transferred to Joana Seara da Costa.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the changing transaction parameters on the rating, DBRS considered the following stress scenarios, as compared with 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 A 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 A Notes to AA (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 A Notes to BBB (high) (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 A Notes to AA (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 A Notes to A (low) (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 A Notes to AA (high) (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 A 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: 17 March 2015
Initial Rating Committee Chair: Chuck Weilamann

Lead Surveillance Analyst: Joana Seara da Costa
Rating Committee Chair: Chuck Weilamann

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