DBRS Morningstar Confirms and Discontinues Rating of Amaura 2018 B.V.

DBRS Ratings Limited (DBRS Morningstar) confirmed and subsequently discontinued its rating of A (sf) on the Senior Note issued by Amaura 2018 B.V. (the Issuer).

The rating was discontinued by DBRS Morningstar at the explicit request of the Senior Noteholder.

The confirmation prior to the discontinuation followed an annual review of the transaction and was based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults, and losses, as of December 2019.
-- Probability of default (PD), loss given default (LGD), Monthly Principal Payment Rate (MPPR), Yield Rate, and expected loss assumptions on the receivables.
-- Available credit enhancement to the Senior Note to cover the expected losses at the A (sf) rating level.
-- No revolving termination events have occurred.

The Issuer is a securitisation consisting of receivables of unsecured credit cards, revolving credit facilities, and fixed-rate instalment loans originated by Qander Consumer Finance B.V. (Qander) in the Netherlands. The transaction is currently in its revolving period, which is scheduled to terminate in August 2020, provided no Early Amortisation Events occur.

PORTFOLIO PERFORMANCE
The current portfolio consists of 100% fixed-rate instalment loans. As of December 2019, loans more than three months in arrears represented 0.1% of the outstanding portfolio balance. Cumulative defaults were 0.3%.

PORTFOLIO ASSUMPTIONS
DBRS Morningstar maintained its base case assumptions for each product type as follows:

Revolving Credit Facilities
-- Expected charge-off rate: 5.5%
-- Expected MPPR: 1.7%
-- Expected yield rate: 4.9%
-- Expected recovery rate: 28.4%

Credit Cards
-- Expected charge-off rate: 5.5%
-- Expected MPPR: 7.5%
-- Expected yield rate: 12.0%
-- Expected recovery rate: 28.5%

Fixed-rate instalment loans
-- Expected PD: 8.2%
-- Expected LGD: 80.7%

CREDIT ENHANCEMENT
Credit enhancement to the Senior Note is calculated on a dynamic basis using specific advance rates for each product type. As of the December 2019 payment date, credit enhancement to the Senior Note was 17.5%, stable since closing because the portfolio composition has remained unchanged. Credit enhancement is based on subordination of the Junior Note.

ABN AMRO Bank N.V. (ABN AMRO) acts as the account bank for the transaction. Based on the account bank reference rating of ABN AMRO at AA (low), which is one notch below the DBRS Morningstar Long-Term Critical Obligations Rating of AA, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS Morningstar considers the risk arising from the exposure to the account bank to be consistent with the rating assigned to the Senior Note, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.

ABN AMRO acts as the swap counterparty for the transaction. DBRS Morningstar's Long-Term Critical Obligations Rating of ABN AMRO at AA is above the First Rating Threshold as described in DBRS Morningstar's "Derivative Criteria for European Structured Finance Transactions" methodology.

DBRS Morningstar analysed the transaction structure using Intex DealMaker and its proprietary cash flow engine.

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.

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 investor reports and information provided by Qander and ABN AMRO.

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 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 purpose 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 is the first rating action on this transaction since the initial rating date on 23 November 2018, when DBRS Morningstar assigned a rating of A (sf) to the Senior Note.

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

Information regarding DBRS Morningstar 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 Morningstar considered the following stress scenarios as compared with the parameters used to determine the rating (the “Base Case”):

Revolving Credit Facilities
-- Expected charge-off rate: 5.5%, a 25% and 50% increase
-- Expected principal payment rate: 1.7%, a 25% and 50% decrease
-- Expected yield rate: 4.9% - held constant
-- Expected recovery rate: 28.4% - held constant

Credit Cards
-- Expected charge-off rate: 5.5%, a 25% and 50% increase
-- Expected principal payment rate: 7.5%, a 25% and 50% decrease
-- Expected yield rate: 12.0% - held constant
-- Expected recovery rate: 28.5% - held constant

Fixed-Rate Instalment Loans
-- Expected default of 8.2%: a 25% and 50% increase
-- Expected loss given default (LGD): 80.7%, a 25% increase (subject to a cap of 100%)

For Revolving Credit Facilities and Credit Cards (separately for each product type)
Scenario 1: A 25% increase in the expected charge off rate.
Scenario 2: A 50% increase in the expected charge off rate.
Scenario 3: A 25% decrease in the expected principal payment rate.
Scenario 4: A 25% increase in the expected charge off rate and 25% decrease in the expected principal payment rate.
Scenario 5: A 50% increase in the expected charge off rate and 25% decrease in the expected principal payment rate.
Scenario 6: A 50% decrease in the expected principal payment rate.
Scenario 7: A 25% increase in the expected charge off rate and 50% decrease in the expected principal payment rate.
Scenario 8: A 50% increase in the expected charge off rate and 50% decrease in the expected principal payment rate.

For Fixed-Rate Instalment Loans
Scenario 1: A 25% increase in the expected default rate.
Scenario 2: A 50% increase in the expected default rate.
Scenario 3: A 25% increase in the expected LGD.
Scenario 4: A 25% increase in the expected default and 25% increase in the expected LGD.
Scenario 5: A 50% increase in the expected default and 25% increase in the expected LGD.
Scenario 6: A 50% increase in the expected LGD.
Scenario 7: A 25% increase in the expected default and 50% increase in the expected LGD.
Scenario 8: A 50% increase in the expected default and 50% increase in the expected LGD.

DBRS Morningstar concludes that the expected ratings for the Senior Note under the stress scenarios for each product type (assuming a 100% concentration in each case) are:

-- Revolving Credit Facilities: BBB (high) (sf) / BBB (high) (sf) / BBB (high) (sf) / BBB (sf) / BBB (low) (sf) / BBB (low) (sf) / BB (high) (sf) / BB (sf)
-- Credit Cards: A (sf) / A (sf) / A (sf) / A (sf) / BBB (high) (sf) / BBB (high) (sf) / BBB (sf) / BBB (low) (sf)
-- Fixed-Rate Instalment Loans: BBB (high) (sf) / BBB (sf) / A (low) (sf) / BBB (sf) / BBB (sf) / A (low) (sf)/ BBB (sf)/ BBB (low) (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 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: 23 November 2018

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Registered and incorporated under the laws of England and Wales: Company 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
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Interest Rate Stresses for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Originators

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].