Press Release

DBRS Morningstar Finalises Provisional Rating of Master Credit Cards PASS Compartment France Class A2019-1

Consumer Loans & Credit Cards
October 25, 2019

DBRS Ratings Limited (DBRS Morningstar) finalised its provisional rating of AAA (sf) on the Class A2019-1 Notes (Class A Notes) of Note Series 2019-1 issued by Master Credit Cards PASS Compartment France.

DBRS Morningstar does not rate the Class B2019-1 Notes of Note Series 2019-1.

The rating addresses the timely payment of interest and ultimate payment of principal by the final maturity date.

The rating is based on the analytical considerations listed below:
-- The transaction capital structure including the form and sufficiency of available credit enhancement.
-- Credit enhancement levels are sufficient to support our expected charge-off, payment and yield rates under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay the Class A Notes according to the terms of the transaction documents.
-- The operational risk review of Carrefour Banque (the seller), which is deemed to be an acceptable servicer.
-- The transaction parties’ financial strength with regard to their respective roles.
-- The credit quality and diversification of the collateral and historical and projected performance of the seller’s portfolio.
-- The DBRS Morningstar sovereign rating of the Republic of France, currently AAA with a Stable trend.
-- The consistency of the transaction’s legal structure with DBRS Morningstar’s “Legal Criteria for European Structured Finance Transactions” methodology and the presence of legal opinions that address the true sale of the assets to the issuer.

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

All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is “Rating European Consumer and Commercial Asset-Backed Securitisations”.

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.

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found on at:

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:

The sources of data and information used for the rating includes data sourced from Carrefour Banque and provided through the transaction arrangers, Crédit Agricole Corporate and Investment Bank and Natixis S.A.:
-- Dynamic historical data in respect of receivables balances, payment rates, yield rates, delinquency rates and default rates from January 2005 to June 2019;
-- Static recovery data of accelerated contracts from January 2003 to June 2019;
-- Static recovery data of over-indebtedness from January 2007 to June 2019; and
-- Stratification tables as at 31 August 2019 were also provided for the securitised pool.

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

DBRS Morningstar was 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.

This rating concerns a newly issued financial instrument. This is the first DBRS Morningstar rating on this financial instrument.

This is the first rating action since the Initial Rating Date.

Information regarding DBRS Morningstar ratings, including definitions, policies and methodologies, is available on

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:

-- Expected Charge-Off Rate: 6.5%
-- Expected Monthly Principal Payment Rate: 4.5%
-- Expected Yield Rate: 13%

Scenario 1: A 25% increase on the expected charge-off rate.
Scenario 2: A 25% decrease on the expected monthly 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 monthly principal payment rate and 15% decrease on the expected yield rate.

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

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see:

Ratings assigned by DBRS Ratings Limited are subject to EU and US regulations only.

Lead Analyst: Kevin Chiang, Senior Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 1 October 2019

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The rating methodologies used in the analysis of this transaction can be found at:

--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:

For more information on this credit or on this industry, visit or contact us at [email protected].