DBRS Takes Rating Actions on Ochiba 2015 B.V.

DBRS Ratings Limited (DBRS) took the following rating actions on the notes issued by Ochiba 2015 B.V. (the Issuer):
-- Class A2 Notes confirmed at AAA (sf)
-- Class B Notes upgraded to AAA (sf) from AA (sf)
-- Class C Notes upgraded to AAA (sf) from A (sf)

The rating actions follow an annual review of the transaction and are based on the following analytical considerations:
-- End of the revolving period, which occurred in November 2017.
-- Portfolio performance, in terms of charge-off, payment and cash yield rates as of the March 2018 payment date.
-- Current available credit enhancement (CE) to the notes to cover the expected losses at the AAA (sf) rating level.

Ochiba 2015 B.V. is a securitisation of Dutch consumer loan receivables originated by several financial institutions directly or indirectly owned by Crédit Agricole Consumer Finance Nederlands B.V. (CACF NL). The pool comprises revolving consumer loans (Consumptief Krediet) governed by Dutch law, under which a borrower is entitled to draw a further advance, subject to a pre-determined credit limit. The transaction closed in April 2015 and envisaged an initial 1.5-year revolving period that was extended for further 12 months, ending in November 2017.

PORTFOLIO PERFORMANCE
The portfolio is performing within DBRS’s initial expectations. As of the March 2018 payment date, the monthly principal payment rate (MPPR) was 2.6% of the performing principal balance at the beginning of the reporting period, the cash yield rate was 6.1% and the annualised charge-off rate was 1.2% of the performing principal balance at the end of reporting period. The MPPR and charge-off rates have been relatively stable over the life of the transaction. However, the cash yield rate has exhibited some peaks starting from May 2017, driven by the replacement of the internal administration system of CACF NL.

The 90+ delinquency ratio arrears stood at 0.3% of the collateral portfolio balance. The current gross cumulative default ratio was at 2.6% of the aggregate original portfolio balance.

CREDIT ENHANCEMENT
The CEs available to the rated notes have continued to increase as the transaction is deleveraging. The CEs consist of the overcollateralisation provided by the outstanding collateral portfolio. As of March 2018, CE to the Class A2 Notes was 87.0%, increasing from 56.9% at closing. CE to the Class B and Class C Notes was 68.5% and 50.0%, increasing from 44.8% and 32.8%, respectively.

The Reserve Fund is currently at its target level of EUR 13.9 million, equal to 2% of the outstanding balance of the Class A2 to Class D Notes. It covers expenses, senior fees and interest on the Class A2 Notes. Interest shortfalls on the Class B or C Notes can be cured from the Reserve Fund only if the respective Principal Deficiency Ledger does not have any amount debited.

Crédit Agricole Corporate and Investment Bank S.A. is the Account Bank for the transaction. The DBRS’s private rating of the Account Bank is consistent with the Minimum Institution Rating, given the rating assigned to the rated 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.

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 “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.

The sources of data and information used for these ratings include monthly investor reports provided by Crédit Agricole Consumer Finance, and loan-by-loan level data from the European DataWarehouse GmbH.

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 these ratings 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 19 March 2018, when DBRS discontinued its rating on the Class A1 Notes, following its full repayment. Prior to that, on 28 April 2017, DBRS confirmed its ratings on the Class A1, Class A2, Class B and Class C Notes at AAA (sf), AAA (sf), AA (sf), and A (sf), respectively.

The lead analyst responsibilities for this transaction have been transferred to Ilaria Maschietto.

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 ratings, DBRS considered the following stress scenarios, as compared to the parameters used to determine the ratings (the “Base Case”):

-- Net Charge-Off Rate Used: 2.1%, a 25% and 50% increase on the Base Case.
-- Principal Payment Rate Used: Base Case Payment Rate of 1.8%, a 25% and 50% decrease on the Base Case.
-- Yield Margin Rate Used: Yield Margin Rate of 6.5% plus EUR 1M, a 25% and 50% decrease on the Base Case.

DBRS concludes that for the 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 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 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 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 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 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 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 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 B 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 B 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 B 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 B 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 B Notes at AAA (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 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 lead to a downgrade of the Class C Notes to A (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 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 lead to a downgrade of the rating of the Class C Notes to AA (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 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 lead to a downgrade of the rating of the Class C Notes to A (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 and US regulations only.

Lead Analyst: Ilaria Maschietto, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 14 April 2015

DBRS Ratings Limited
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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.

-- 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
-- Interest Rate Stresses for European Structured Finance Transactions

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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.