DBRS Confirms Ratings Assigned to B-Cards SA

DBRS Ratings Limited (DBRS) confirmed its ratings on the bonds issued by B-Cards SA, SIC institutionnelle de droit belge Compartment B-Cards-I (the Issuer) as follows:

-- Senior Notes confirmed at AA (low) (sf)
-- Mezzanine Notes confirmed at BBB (sf)

The rating actions 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 September 2017;
-- No early amortisation event has occurred; and
-- Current available credit enhancement to the Senior and Mezzanine Notes to cover the expected losses at the AA (low) (sf) and BBB (sf) rating levels, respectively.

The Issuer is a securitisation of Belgian and Luxembourg unsecured revolving credit facilities (with and without a credit card) and instalment loans originated and serviced by Buy Way Personal Finance SA/NV.

PERFORMANCE
As of September 2017, the monthly principal payment rate (MPPR) was 10.62%, the portfolio cash yield rate was 10.31% and the charge-off rate was 2.21%. The MPPR and charge-off rates have been relatively stable over the life of the transaction. However, the cash yield rate has exhibited a downward trend, driven by the increased proportion of instalment loans in the portfolio.

Delinquency rates have been stable over the year, with two-to-three-month arrears at 0.65% and the 90+ bucket at 0.49%.

REVOLVING PERIOD
The transaction structure allows for additional portfolios to be purchased during a revolving period, which is due to mature in September 2018.

There are concentration limits and early amortisation triggers in place to mitigate potential portfolio performance deterioration during the revolving periods, allowing for amortisation to begin earlier than scheduled. To date, no early amortisation event has occurred.

CREDIT ENHANCEMENT
Credit enhancement to the Senior Notes is at 17.83% and is provided by subordination of the Mezzanine Notes and the Subordinated Loan. Credit enhancement to the Mezzanine Notes is 7.26% and is provided solely by the Subordinated Loan.

The transaction benefits from a Reserve Account, currently at the target level of EUR 7,917,165.81. The Reserve Account provides liquidity support to the Senior and Mezzanine Notes and also covers principal losses on the final payment date.

BNP Paribas Fortis SA/NV holds the Transaction Account for the transaction. The DBRS private rating of BNP Paribas Fortis SA/NV 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 euros unless otherwise noted.

The principal methodology applicable to the ratings 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. 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 conducted following amendments to the Receivables Purchase Agreement, Administration and Funding Agreement and Master Framework Agreement in June 2017. The other transaction legal documents have remained unchanged since the most recent rating action and a review was not 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 the DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” at http://www.dbrs.com/industries/bucket/id/10036/name/commentaries.

The sources of data and information used for this rating include monthly investor reports provided by Citco Belgium SA/NV (the Administrator).

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

At the time of the initial rating, DBRS was 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 14 October 2016, when DBRS finalised its provisional ratings on the Senior and Mezzanine Notes due December 2035 at AA (low) (sf) and BBB (sf), respectively, following an amendment to the transaction, and discontinued its ratings on the existing Senior Notes and Mezzanine Notes.

Information regarding DBRS ratings, including definitions, policies and methodologies is available at 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”):
-- Charge-Off Rate Used: Charge-Off Rate of 4.4%, a 25% and 50% increase on the Base Case.
-- Payment Rate Used: Base-case Payment Rate of 7.5%, a 25% and 50% decrease on the Base Case.
-- Yield Rate Used: Yield Rate of 10.8%, a 25% and 50% decrease on the Base Case.
-- Purchase Rate Used: No purchases were assumed, a 0% Purchase Rate.

DBRS concludes that for the Senior Notes:
-- While 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 the Senior Notes maintaining their rating of AA (low) (sf).
-- While 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 Senior Notes maintaining their rating of AA (low) (sf).
-- While 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 the Senior Notes maintaining their rating of AA (low) (sf).
-- While 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 Senior Notes to A (sf).
-- While 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 the Senior Notes maintaining their rating of AA (low) (sf).
-- While 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 Senior Notes to A (high) (sf).
DBRS concludes that for the Mezzanine Notes:
--While 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 Mezzanine Notes to BBB (low) (sf).
--While 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 Mezzanine Notes to BB (low)(sf).
--While 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 Mezzanine Notes to below B (sf).
--While 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 Mezzanine Notes to below B (sf).
--While 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 Mezzanine Notes to BBB (low) (sf).
--While 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 in the Mezzanine Notes to B (high) (sf).
For further information on DBRS historic 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 and US regulations only.

Lead Analyst: Andrew Lynch, Assistant Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 27 January 2015

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960

The rating methodologies and criteria 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
-- 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.