DBRS Assigns Provisional Rating of AAA (sf) to Matsuba 2016 B.V. Class A Notes

DBRS Ratings Limited (DBRS) has today assigned a provisional rating of AAA (sf) to the Class A Notes (collectively with the unrated Class B Notes, the Notes) to be issued by Matsuba 2016 B.V. (the Issuer).

The Notes are expected to be backed by a pool of Dutch amortising consumer loan receivables.

The rating is based upon DBRS’s review of the following analytical considerations:

-- The sufficiency of available credit enhancement in the form of subordination, excess spread and liquidity reserve.
-- The ability of the transaction’s structure and triggers to withstand stressed cash flow assumptions and repay the Class A Notes according to the terms of the transaction documents.
-- The Originators/Servicers’ capabilities with respect to originations, underwriting, servicing and financial strength of the ultimate parent, Crédit Agricole S.A.
-- The legal structure and the presence of legal opinions that address the true sale of the assets to the Issuer and the consistency with DBRS’s Legal Criteria for European Structured Finance Transactions methodology.

The above-mentioned rating is provisional. The rating will be finalised upon receipt of an 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 a different final rating to the Class A Notes or may avoid assigning a final rating to the Class A Notes altogether.

The transaction was modeled in INTEX, and the default rates at which the Class A Notes did not return all specified cash flows in a timely manner were determined.

Notes:
All figures are in euros unless otherwise noted.

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

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

An asset and a cashflow analysis were both conducted.

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

These 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 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 Crédit Agricole Consumer Finance S.A., Crédit Agricole Consumer Finance Nederland B.V. and Crédit Agricole Corporate and Investment Bank SA.

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

DBRS was 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 to be 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. This is the first DBRS rating on this financial instrument.

Information regarding DBRS ratings, including definitions, policies and methodologies, is 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 to the parameters used to determine the rating (the Base Case):
DBRS concludes that for the Class A Notes:
-- A hypothetical loss given default (LGD) of 90%, ceteris paribus, would not result in a downgrade of the AAA (sf) rating of the Class A Notes.
-- A hypothetical LGD of 100%, ceteris paribus, would not result in a downgrade of the AAA (sf) rating of the Class A Notes.
-- A hypothetical increase of the Base Case probability of default (PD) by 25%, ceteris paribus, would result in a downgrade of the rating of the Class A Notes to AA (high) (sf).
-- A hypothetical increase of the Base Case PD by 50%, ceteris paribus, would result in a downgrade of the rating of the Class A Notes to AA (high) (sf).
-- A hypothetical increase of the Base Case PD by 25% and a hypothetical LGD of 90%, ceteris paribus, would result in a downgrade of the Class A Notes to AA (high) (sf).
-- A hypothetical increase of the Base Case PD by 50% and a hypothetical LGD of 90%, ceteris paribus, would result in a downgrade of the Class A Notes to AA (sf).
-- A hypothetical increase of the Base Case PD by 25% and a hypothetical LGD of 100%, ceteris paribus, would result in a downgrade of the Class A Notes to AA (high) (sf).
-- A hypothetical increase of the Base Case PD by 50% and a hypothetical LGD of 100%, ceteris paribus, would result in a downgrade of the Class A Notes to AA (sf).

For further information on DBRS historical default rates published by the European Securities and Markets Authority (“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: Kevin Chiang
Initial Rating Date: 28 September 2016
Initial 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

-- Rating European Consumer and Commercial Asset-Backed Securitisations (30 September 2015)
-- Legal Criteria for European Structured Finance Transactions (14 September 2016)
-- Derivative Criteria for European Structured Finance Transactions (19 February 2016)
-- Operational Risk Assessment for European Structured Finance Servicers (31 December 2015)
-- Operational Risk Assessment for European Structured Finance Originators (15 December 2015)
-- Unified Interest Rate Model for European Securitisations (12 October 2015)

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