DBRS Confirms Ratings on Ochiba 2015 B.V.

DBRS Ratings Limited (DBRS) has today confirmed its ratings on the following bonds issued by Ochiba 2015 B.V. (the Issuer):

-- Class A1 Notes confirmed at AAA (sf)
-- Class A2 Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AA (sf)
-- Class C Notes confirmed at A (sf)

Today’s rating actions follow an annual review of the transaction and are based on the following analytical considerations, as described more fully below:
-- Portfolio performance, in terms of charge-off, payment and cash yield rates as of the March 2017 payment date.
-- Given the transaction is still in its revolving period, which ends on the November 2017 payment date, no early amortisation events have occurred.
-- Current available credit enhancement to the Class A1 and Class A2 Notes (collectively, the Class A Notes), Class B Notes and Class C Notes (all together the Rated Notes) to cover the expected losses at the AAA (sf), AA (sf) and A (sf) rating levels, respectively.

The Issuer is a securitisation of Dutch consumer loan receivables originated by Crédit Agricole Consumer Finance Nederlands B.V. (CACF NL).

An amendment on the transaction was signed on 23 December 2016. Following that executed amendment, (1) the 18-month revolving period ending on the November 2016 payment date was extended until the November 2017 payment date and (2) the definition of Available Redemption Funds was changed in order to allow the amortisation of the Class A Notes during the revolving period.

PORTFOLIO PERFORMANCE
As of March 2017, the monthly principal payment rate was 2.72%, the cash yield rate was 6.82% and the annualised charge-off rate was 1.86%. All three performance indices have remained approximately stable since the DBRS Initial Rating.

Delinquency rates have exhibited a stable trend over the year; two- to three-month arrears are at 0.49%, and arrears more than three months are at 0.19%.

The base case Charge-Off Rate, Principal Payment Rate and Yield Margin Rate have been maintained at 2.50%, 1.30% and 6.50%, respectively.

CREDIT ENHANCEMENT
Credit enhancement (CE) available to the Rated Notes has increased since December 2016 because of the principal amortisation on Class A1 Notes. The CE to the Class A Notes is at 68.06% and is provided by subordination of the Class B Notes, Class C Notes, Class D Notes and the Cash Reserve. The CE to the Class B Notes is at 53.67% and is provided by subordination of the Class C Notes, Class D Notes and Cash Reserve. The CE to the Class C Notes is at 39.28% and is provided solely by the subordination of the Class D Notes and Cash Reserve.

The transaction benefits from a Cash Reserve, which is currently at the target level of EUR 17.9 million. The Cash Reserve provides liquidity support to the Rated Notes as well as covering principal losses on the final payment date.

Crédit Agricole Corporate & Investment Bank S.A. holds the Transaction Account for the transaction. The DBRS private rating of Crédit Agricole Corporate & Investment Bank S.A. complies with the Minimum Institution Rating, given the rating assigned to the Senior Notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euro unless otherwise noted.

The principal methodology applicable to the rating is the 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. Due to the inclusion of a revolving period in the transaction, the analysis continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents.

A review of the transaction legal documents was not conducted as the legal 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.

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 data and information used for this rating include investor and servicing reports provided by Intertrust Administrative Services B.V. and Crédit Agricole Consumer Finance Netherland B.V.

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

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

DBRS considers the data and information available to it for the purposes of providing this rating to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on this transaction took place on 29 April 2016, when DBRS confirmed the rating on the Class A, Class B and Class C Notes.

Information regarding DBRS ratings, including definitions, policies and methodologies, is 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):

-- Net Charge-Off Rate Used: 2.50%, a 25% and 50% increase on the Base Case.
-- Principal Payment Rate Used: Base Case Payment Rate of 1.30%, a 25% and 50% decrease on the Base Case.
-- Yield Margin Rate Used: Yield Margin Rate of 6.50%, a 25% and 50% decrease on the Base Case.

DBRS concludes that for the Class A1 and Class A2 Notes:
-- While holding the Payment Rate constant, a hypothetical increase of the Base Case Net Charge-Off Rate by 25% and a hypothetical decrease of the Base Case Yield Margin Rate by 25%, ceteris paribus, would maintain the rating of the Class A1 and Class A2 Notes at AAA (sf).
-- While holding the Payment Rate constant, a hypothetical increase of the Base Case Net Charge-Off Rate by 50% and a hypothetical decrease of the Yield Margin Rate by 50%, ceteris paribus, would maintain the rating of the Class A1 and Class A2 Notes at AAA (sf).
-- While holding the Yield Margin Rate constant, a hypothetical increase of the Base Case Net Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would maintain the rating of the Class A1 and Class A2 Notes at AAA (sf).
-- While holding the Yield Margin Rate constant, a hypothetical increase of the Base Case Net Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would maintain the rating of the Class A1 and Class A2 Notes at AAA (sf).
-- While holding the Net Charge-Off Rate constant, a hypothetical decrease of the Base Case Payment Rate by 25% and a hypothetical decrease of the Yield Margin Rate by 25%, ceteris paribus, would maintain the rating of the Class A1 and Class A2 Notes at AAA (sf).
-- While holding the Net Charge-Off Rate constant, a hypothetical decrease of the Base Case Payment Rate by 50% and a hypothetical decrease of the Yield Margin Rate by 50%, ceteris paribus, would maintain the rating of the Class A1 and Class A2 Notes at AAA (sf).

DBRS concludes that for the Class B Notes:
-- While holding the Payment Rate constant, a hypothetical increase of the Base Case Net Charge-Off Rate by 25% and a hypothetical decrease of the base case Payment Rate by 25%, ceteris paribus, would maintain the rating of the Class B Notes at AA (sf).
-- While holding the Payment Rate constant, a hypothetical increase of the Base Case Net Charge-Off Rate by 50% and a hypothetical decrease of the Yield Margin Rate by 50%, ceteris paribus, would maintain the rating of the Class B Notes at AA (sf).
-- While holding the Yield Margin Rate constant, a hypothetical increase of the Base Case Net Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would maintain the rating of the Class B Notes at AA (sf).
-- While holding the Yield Margin Rate constant, a hypothetical increase of the Base Case Net Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would maintain the rating of the Class B Notes at AA (sf).
-- While holding the Net Charge-Off Rate constant, a hypothetical decrease of the Base Case Payment Rate by 25% and a hypothetical decrease of the Yield Margin Rate by 25%, ceteris paribus, would maintain the rating of the Class B Notes at AA (sf).
-- While holding the Net Charge-Off Rate constant, a hypothetical decrease of the Base Case Payment Rate by 50% and a hypothetical decrease of the Yield Margin Rate by 50%, ceteris paribus, would maintain the rating of the Class B Notes at AA (sf).

DBRS concludes that for the Class C Notes:
-- While holding the Payment Rate constant, a hypothetical increase of the Base Case Net Charge-Off Rate by 25% and a hypothetical decrease of the base case Yield Margin Rate by 25%, ceteris paribus, would maintain the rating of the Class C Notes at A (sf).
-- While holding the Payment Rate constant, a hypothetical increase of the Base Case Net Charge-Off Rate by 50% and a hypothetical decrease of the Yield Margin Rate by 50%, ceteris paribus, would lead to a downgrade of the Class C Notes to BBB (high) (sf).
-- While holding the Yield Margin Rate constant, a hypothetical increase of the Base Case Net Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would maintain the rating of the Class C Notes at A (sf).
-- While holding the Yield Margin Rate constant, a hypothetical increase of the Base Case Net 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 C Notes to BBB (high) (sf).
-- While holding the Net Charge-Off Rate constant, a hypothetical decrease of the Base Case Payment Rate by 25% and a hypothetical decrease of the Yield Margin Rate by 25%, ceteris paribus, would maintain the rating of the Class C Notes at A (sf).
-- While holding the Net Charge-Off Rate constant, a hypothetical decrease of the Base Case Payment Rate by 50% and a hypothetical decrease of the Yield Margin Rate by 50%, ceteris paribus, would lead to a downgrade of the rating of the Class C Notes 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.

Lead Analyst: Antonio Di Marco, Senior Financial Analyst
Rating Committee Chair: Vito Natale, Senior Vice President
Initial Rating Date: 14 April 2015

DBRS Ratings Limited
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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
-- Master European Structured Finance Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Originators
-- Operational Risk Assessment for European Structured Finance Servicers
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- 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.