DBRS Confirms Rating of FCT Oneycord, Compartiment Oneycord 1

DBRS Ratings Limited (DBRS) confirmed the rating of the Obligation A bonds issued by FCT Oneycord, Compartiment Oneycord 1 (the Issuer) at A (sf).

The rating addresses the timely payment of interest and ultimate payment of principal on or before the legal final maturity date.
The confirmation follows an annual review of the transaction and is based on the following considerations:
-- Portfolio performance, in terms of delinquencies, Charge-Off Rates, Principal Payment Rates and Portfolio Yield Rates as of September 2018.
-- Current available credit enhancement to the Obligation A bonds to cover the expected losses at the A (sf) rating level.
-- No revolving termination events have occurred.

The Obligation A bonds are backed by receivables of credit cards and revolving credit lines originated and serviced by Oney Bank (the Originator) in France. The transaction is still in its revolving period, scheduled to terminate in September 2019. During the revolving period, the Obligation A bonds will not amortise unless any early amortisation event is triggered. To date, no early amortisation events have occurred.

PORTFOLIO PERFORMANCE AND ASSUMPTIONS
As of the September 2018 payment date, the annualised Charge-Off Rate was 2.8%, below the base case assumption of 10.4%. The annualised Yield Rate was 20.3%, above the base case assumption of 14.2%. The Monthly Principal Payment Rate (MPPR) was 9.6%, above the base case assumption of 7.8%.

The monthly default rate as of September 2018 was 0.2%, below the amortisation trigger level of 1.05%. The monthly portfolio yield was 1.2%, above the amortisation trigger level of 0.90%.

CREDIT ENHANCEMENT
The Obligation A bonds are supported by subordination of the Obligation B bonds and the Obligation Cédant. As of the September 2018 payment date, credit enhancement to the Obligation A bonds was 26.1%.

The transaction benefits from an amortising reserve fund which provides liquidity support to the transaction. As of the September 2018 payment date, the reserve fund was at its target level of EUR 20.7 million (3.0% of the minimum pool balance).

Natixis S.A. acts as the Account Bank and Specially Dedicated Account Bank for the transaction. The DBRS private rating of Natixis S.A. is consistent with the Minimum Institution Rating, given the rating assigned to the Obligation A bonds, 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 rating 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 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 this rating include investor reports provided by Eurotitrisation.

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 purpose 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 9 October 2017, when DBRS confirmed the rating of the Obligation A bonds at A (sf).

The lead analyst responsibilities for this transaction have been transferred to Clare Wootton.

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 Base Case Portfolio Yield Rate, MPPR and Charge-Off Rate 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 Portfolio Yield Rate, MPPR and Charge-Off Rate of the current pool of receivables are 14.2%, 7.8% and 10.4%, 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. Furthermore, if both the PD and LGD increase by 50%, the rating of the Obligation A bonds would be expected to remain at A (sf).

Obligation A bonds Risk Sensitivity:
-- Whilst holding the MPPR 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 A (low) (sf).
-- Whilst holding the MPPR 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 BBB (low) (sf).
-- Whilst holding the Charge-Off Rate constant, a hypothetical decrease of the Base Case MPPR 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 BBB (sf).
-- Whilst holding the Charge-Off Rate constant, a hypothetical decrease of the Base Case MPPR 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 BB (low) (sf).
-- Whilst holding the Yield Rate constant, a hypothetical decrease of the Base Case MPPR 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 BBB (sf).
-- Whilst holding the Yield Rate constant, a hypothetical decrease of the Base Case MPPR 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 BB (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: Clare Wootton, Senior Financial Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 15 September 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
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Interest Rate Stresses for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Originators

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.