DBRS Finalises Provisional Rating on Class A2016-1 and Discontinues Rating on Class A2015-1 of Purple Master Credit Cards

DBRS Ratings Limited (DBRS) has today finalised the provisional rating of AAA (sf) on the Class A2016-1 Notes (Series 2016-1 Class A Notes, collectively with unrated Class C2016-1 Notes, the Notes Series 2016-1) issued by Purple Master Credit Cards (The Issuer), and discontinued the rating on the Class A2015-1 (Series 2015-1 Class A Notes).

The proceeds of the Notes Series 2016-1 and Class S Notes were used for the redemption of the Note Series 2015-1 which have a scheduled amortisation starting date of 25 October 2016. The Series 2015-1 Class A Notes were rated AAA (sf), prior to the discontinuation-repaid rating action.

The Notes Series 2016-1 are backed by revolving credit receivables originated by Natixis Financement, the Originator, in France.

DBRS’s rating is based on the following considerations:
-- The sufficiency of available credit enhancement in the form of subordination, deferred purchase price, a liquidity reserve and excess spread.
--The ability of the transaction’s structure and triggers to withstand stressed cash flow assumptions and repay the Series 2016-1 Class A Notes according to the terms of the transaction documents.
--The Originator’s capabilities with respect to originations, underwriting, cash management, data processing and servicing.
-- The legal structure and presence of legal opinions addressing the assignment of the assets and the consistency with DBRS “Legal Criteria for European Structured Finance Transactions”.

The transaction was modelled in DBRS’s proprietary Excel-based cashflow model.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is: Rating 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 performance data relating to the receivables provided by the Originator through the Arranger, Natixis S.A. DBRS received updated monthly dynamic performance data relating to yield rates, payment rates, charge-off rates from January 2006 to June 2016. Data was provided in the form of time series analysis and for the recovery in vintage curves. Furthermore, stratification tables were provided for the securitised pool.

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 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.

The last rating action on the Series 2015-1 Class A Notes took place on 21 April 2016 when DBRS confirmed the rating.

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):

-- Charge-off Rate: Base Case of 5.25%, stressed with a 25% and 50% increase on the base case charge-off rate
-- Monthly Principal Payment Rate: Base Case of 5%, stressed with a 25% and 50% decrease on the base case payment rate
-- Yield Rate: Base Case of 12%, stressed with a 25% and 50% decrease on the base case yield rate

DBRS concludes that for the Series 2016-1 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 result in a downgrade of the rating 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 base case Yield Rate by 50%, ceteris paribus, would result in a downgrade of the rating to AA (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 base case Yield Rate by 25%, ceteris paribus, would result in a downgrade of the rating to AA (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 base case Yield Rate by 50%, ceteris paribus, would result in a downgrade of the rating to A (low)(sf).
-- Whilst holding the Yield Rate constant, a hypothetical decrease of the base case Payment Rate by 25% and a hypothetical increase of the base case Charge-Off Rate by 25%, ceteris paribus, would result in a downgrade of the rating to AA (low) (sf).
-- Whilst holding the Yield Rate constant, a hypothetical decrease of the base case Payment Rate by 50% and a hypothetical increase of the base case Charge-Off Rate by 50%, ceteris paribus, would result in a downgrade of the rating to BBB (high) (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, Senior Vice President, Global Structured Finance
Initial Rating Date: 20 September 2016
Initial Rating Committee Chair: Chuck Weilamann, Managing Director, Head of US ABS, Global Structured Finance

Lead Surveillance Analyst: Joana Seara da Costa

DBRS Ratings Limited
20 Fenchurch Street, 31st Floor, London EC3M 3BY 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

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

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