DBRS Morningstar Confirms Rating of Purple Master Credit Cards

DBRS Ratings GmbH (DBRS Morningstar) confirmed its AAA (sf) rating on the Series 2018-1, Class A Notes (Class A Notes) issued by Purple Master Credit Cards (the Issuer).

The confirmation follows an annual review of the transaction and is based on the following analytical considerations:
-- The portfolio performance, regarding the low levels of delinquencies and charge-offs, as of the September 2019 payment date;
-- No Revolving Termination Events or Accelerated Amortisation Events have occurred; and
-- The current levels of credit enhancement available to the Class A Notes to cover expected losses at the AAA (sf) rating level.

The rating on the Class A Notes addresses the timely payment of interest and the ultimate payment of principal payable on or before the final legal maturity date in October 2030.

Purple Master Credit Cards is a securitisation of French revolving credit card receivables, originated by Natixis Financement SA. The transaction initially had an 18-month revolving period, which was extended by 24 months following an amendment in 2016 and extended again by further 24 months in October 2018. As a result, the transaction is expected to start amortising in September 2020. Following the September 2018 amendment, the Series 2016-1, Class A and Class C Notes paid down in full and lowered the minimum subordination available to the Series 2018-1, Class A Notes by reducing the size of the Series 2018-1, Class C Notes in comparison to the 2016 series.

PORTFOLIO PERFORMANCE
As of the September 2019 payment date, loans that were 30- to 60-days delinquent represented 0.8% of the outstanding collateral balance and 60- to 90-day delinquencies represented 0.4%, while delinquencies greater than 90 days represented 0.4%. The annualised portfolio yield is currently 12.9%, and the monthly principal payment rate is currently 6.3% and has averaged 7.5% since closing. The annualised charge-off rate has averaged 1.0% since closing and currently stands at 0.9%.

CREDIT ENHANCEMENT
Credit enhancement is provided by the subordination of the Class S Notes. As of the September 2019 payment date, credit enhancement to the Class A Notes was 16.4%, slightly down from 16.8% one year ago.

The transaction benefits from an amortising reserve fund available to cover senior expenses and Class A Notes interest. This reserve, which was funded to EUR 6.6 million at closing by the seller, has a target level of 1.2% of the aggregate outstanding principal balance of the Class A Notes and is subject to a floor of 0.5% of the initial balance of the Class A Notes. It has been at its required balance since closing.

Natixis S.A. acts as the account bank for the transaction. Based on DBRS Morningstar private rating of Natixis S.A., the downgrade provisions outlined in the transaction documents and structural mitigants, DBRS Morningstar considers the risk arising from the exposure to Natixis S.A. to be consistent with the ratings assigned to the Class A Notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.

Natixis S.A., London Branch (Natixis London) acts as the Swap Counterparty for the transaction. DBRS Morningstar’s private rating of Natixis London is consistent with the First Rating Threshold as described in DBRS Morningstar’s “Derivative Criteria for European Structured Finance Transactions” methodology.

The transaction cash flow structure was analysed in DBRS’s proprietary Excel-based tool.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is the “Master European Structured Finance Surveillance Methodology”.

DBRS Morningstar 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 “Global Methodology for Rating Sovereign Governments” at: https://www.dbrs.com/research/350410/global-methodology-for-rating-sovereign-governments.

The sources of data and information used for this rating include monthly investor reports provided by EuroTitrisation, the management company.

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

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

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

DBRS Morningstar 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 25 October 2019, when DBRS finalised the provisional rating of the Series 2018, Class A Notes at AAA (sf) and discontinued the rating of the Series 2016, Class A Notes as it was repaid in full.

The lead analyst responsibilities for this transaction have been transferred to Petter Wettestad.

Information regarding DBRS Morningstar 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 Morningstar considered the following stress scenarios, as compared to the parameters used to determine the rating (the Base Case):
-- Expected Charge-Off Rate: 4.75%
-- Expected Principal Payment Rate: 5.0%
-- Expected Yield Rate: 11.5%

Scenario 1: A 25% increase on the Expected Charge-Off Rate.
Scenario 2: A 25% decrease on the Expected Principal Payment Rate.
Scenario 3: A 25% decrease on the Expected Yield Rate.
Scenario 4: A 15% increase on the Expected Charge-Off Rate, 15% decrease on the Expected Principal Payment Rate and 15% decrease on the Expected Yield Rate.

DBRS concludes that the expected ratings of the Class A Notes under the four stress scenarios are:
-- AA (high) (sf), AA (sf), AA (high) (sf), AA (sf)

For further information on DBRS Morningstar 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 GmbH are subject to EU and US regulations only.

Lead Analyst: Petter Wettestad, Financial Analyst,
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date for Series 2018-1, Class A Notes: 14 September 2018

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.

--Master European Structured Finance Surveillance Methodology
--Rating European Consumer and Commercial Asset-Backed Securitisations
--Legal Criteria for European Structured Finance Transactions
--Operational Risk Assessment for European Structured Finance Servicers
--Operational Risk Assessment for European Structured Finance Originators
--Interest Rate Stresses for European Structured Finance Transactions
--Derivative Criteria for European Structured Finance Transactions

A description of how DBRS Morningstar 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 [email protected].