DBRS Upgrades Ratings on FCT Ginkgo Compartment Debt Conso 2015-1

DBRS Ratings Limited (DBRS) upgraded the following bonds issued by FCT Ginkgo Compartment Debt Conso 2015-1 (the Issuer):
-- Class A Asset-Backed Fixed-Rate Notes upgraded to AA (low) (sf) from A (sf)
-- Class B Asset-Backed Fixed-Rate Notes upgraded to A (sf) from BBB (sf)

The ratings address the timely payment of interest and ultimate repayment of principal on or before the legal final maturity date.

The rating actions follow an annual review of the transaction and are based on the following analytical considerations:

--Portfolio performance, in terms of delinquencies, defaults and losses.
--Probability of default (PD), loss given default (LGD) and expected loss assumptions on the remaining receivables.
--Current available credit enhancement to the notes to cover the expected losses assumed in line with their respective rating levels.

The Issuer is a securitisation of French debt consolidation loans originated and serviced by Crédit Agricole Consumer Finance (CACF). The transaction was originally structured with a revolving period scheduled to end in July 2018. One of the portfolio tests in place to mitigate potential portfolio deterioration – a minimum weighted-average interest rate of 6.75% – was breached on the February 2018 payment date (the weighted-average interest rate fell to 6.73%), constituting a Revolving Period Termination Event. As a result, the Class A Notes are currently amortising.

PORTFOLIO PERFORMANCE
As of March 2018, two- to three-month arrears represented 1.3% of the outstanding portfolio balance, up from 1.0% in March 2017. As of March 2018, the 90+ delinquency ratio was 0.8%, up from 0.6% in March 2017. As of March 2018, the cumulative percentage of non-performing loans was 3.8%.

PORTFOLIO ASSUMPTIONS
DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and has maintained its base case PD and LGD assumptions at 10.7% and 90.0% respectively.

CREDIT ENHANCEMENT
As of the April 2018 payment date, credit enhancement to the Class A Asset-Backed Fixed-Rate Notes was 29.6%, up from 22.0% at the DBRS initial rating. Credit enhancement to the Class B Asset-Backed Fixed-Rate Notes was 21.5%, up from 16.0% at the DBRS initial rating. Credit enhancement is provided by subordination of junior notes.

The transaction benefits from a non-amortising Reserve Fund, currently at the target level of EUR 6.5 million. The Reserve Fund is split into the Class A Reserve Ledger, available to cover senior fees and Class A interest, and the Class B Reserve Ledger, available to cover senior fees, Class A and B interest and Class A principal via the Principal Deficiency Ledger.

CACF acts as the account bank for the transaction. The DBRS private rating of CACF is consistent with the Minimum Institution Rating, given the rating assigned to the Class A Asset-Backed Fixed-Rate 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 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.

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 investor reports provided by EuroTitrisation and loan-level data provided by 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 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 26 May 2017, when DBRS confirmed its ratings on the Class A Asset-Backed Fixed-Rate Notes and Class B Asset-Backed Fixed-Rate 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 with the parameters used to determine the rating (the “Base Case”):

-- DBRS expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The base case PD and LGD of the current pool of loans for the Issuer are 10.7% and 90.0%, respectively.
-- The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating of the Class A Asset-Backed Fixed-Rate Notes would be expected to fall to BBB (high) (sf), assuming no change in the PD. If the PD increases by 50%, the rating of the Class A Asset-Backed Fixed-Rate Notes would be expected to fall to BBB (high) (sf), assuming no change in the PD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Asset-Backed Fixed-Rate Notes would be expected to fall to BB (sf).

Class A Asset-Backed Fixed-Rate Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (sf)
-- 50% increase in LGD, expected rating of BBB (high)(sf)
-- 25% increase in PD, expected rating of A (sf)
-- 50% increase in PD, expected rating of BBB (high)(sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (high)(sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (low)(sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (low)(sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (sf)

Class B Asset-Backed Fixed-Rate Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of BBB (high)(sf)
-- 50% increase in LGD, expected rating of BBB (low)(sf)
-- 25% increase in PD, expected rating of BBB (high)(sf)
-- 50% increase in PD, expected rating of BBB (low)(sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (low)(sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BB (low)(sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BB (low)(sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (low)(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: 8 July 2015

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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

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.