DBRS Morningstar Confirms Rating on FCT Oneycord, Compartiment Oneycord 1

DBRS Ratings GmbH (DBRS Morningstar) confirmed its rating on the Obligation A bonds (the Class A Notes) issued by FCT Oneycord, Compartiment Oneycord 1 at A (high) (sf).

The confirmation follows an annual review of the transaction and is based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, charge-off rates, monthly principal payment rates (MPPR), and yield rates as of the May 2022 payment date.
-- Current available credit enhancement to the Class A Notes to cover the expected losses at the A (high) (sf) rating level.
-- No revolving termination events.

The transaction is a securitisation of credit card receivables and revolving credit lines, originated and serviced by Oney Bank S.A. (Oney Bank) in France. Oney Bank is a captive finance company owned by the French retail group Auchan (49.9%) and the banking group BPCE S.A. (BPCE; 50.1%). The transaction is in its revolving period, scheduled to end on the June 2023 payment date with an optional extension to the June 2027 payment date. The transaction closed in September 2009 and the last restructuring of the transaction occurred in May 2019.

PORTFOLIO PERFORMANCE
As of the May 2022 payment date, loans two to three months in arrears represented 1.0% of the outstanding portfolio balance, down from 1.7% in May 2021. Loans at least three months in arrears represented 1.9% of the outstanding portfolio balance, up from 1.7% in May 2021.

As of the May 2022 payment date, the MPPR was 9.2%, the annualised charge-off rate was 1.8%, and the annualised yield rate was 20.7%.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
DBRS Morningstar maintained its expected MPPR, charge-off rate, and yield rate assumptions at 7.6%, 9.8%, and 14.0%, respectively.

CREDIT ENHANCEMENT
The Class A Notes benefit from minimum credit enhancement of 22.3%, which consists of subordination of the Obligation B bonds and the Obligation Cedant, in addition to the reserve fund.

The reserve fund is funded to 3% of the minimum receivables balance and is currently at its target level of EUR 20.7 million. The reserve fund covers senior fees and interest on the Class A Notes. In addition, 1.5% is available to cover other items in the waterfall.

Natixis S.A. (Natixis) acts as the account bank for the transaction. Based on DBRS Morningstar’s private rating on Natixis, 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 Class A Notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.

DBRS Morningstar analysed the transaction structure in its proprietary cash flow engine.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at: https://www.dbrsmorningstar.com/research/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is the “Master European Structured Finance Surveillance Methodology” (19 May 2022).

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.com/about/methodologies.

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 considers potential portfolio migration based on the replenishment criteria set forth in the transaction legal documents.

A review of the amended transaction legal documents was conducted in the context of amendments to the transaction in December 2021, which included the novation of the Specially Dedicated Account Bank role to BPCE from Natixis. A review of the other transaction legal documents was not conducted as these have remained unchanged since the most recent rating action.

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 Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrsmorningstar.com/research/381451/global-methodology-for-rating-sovereign-governments.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The sources of data and information used for this rating include investor reports provided by Eurotitrisation.

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.

The last rating action on this transaction took place on 28 May 2021, when DBRS Morningstar confirmed its rating of the Class A Notes at A (high) (sf).

The lead analyst responsibilities for this transaction has been transferred to Daniel Rakhamimov.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available at www.dbrsmorningstar.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):

-- Base Case MPPR: 7.6%
-- Base Case Yield Rate: 14.0%
-- Base Case Charge-Off Rate: 9.8%

-- Scenario 1: 25% decrease in yield
-- Scenario 2: 25% decrease in MPPR
-- Scenario 3: 25% increase in charge-off
-- Scenario 4: 15% decrease in MPPR, 15% increase in charge-off, 15% decrease in yield

The expected ratings for the Class A Notes under these four stressed scenarios are: A (high) (sf), A (sf), A (sf), and A (low) (sf), respectively.

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. DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage: https://www.fca.org.uk/firms/credit-rating-agencies.

This rating is endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Daniel Rakhamimov, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 15 September 2015

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

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

-- Legal Criteria for European Structured Finance Transactions (29 July 2021),
https://www.dbrsmorningstar.com/research/382171/legal-criteria-for-european-structured-finance-transactions
-- Master European Structured Finance Surveillance Methodology (19 May 2022),
https://www.dbrsmorningstar.com/research/397033/master-european-structured-finance-surveillance-methodology
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (17 May 2022),
https://www.dbrsmorningstar.com/research/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.
-- Operational Risk Assessment for European Structured Finance Servicers (16 September 2021),
https://www.dbrsmorningstar.com/research/384513/operational-risk-assessment-for-european-structured-finance-servicers
-- Operational Risk Assessment for European Structured Finance Originators (16 September 2021),
https://www.dbrsmorningstar.com/research/384512/operational-risk-assessment-for-european-structured-finance-originators
-- Rating European Consumer and Commercial Asset-Backed Securitisations (29 October 2021),
https://www.dbrsmorningstar.com/research/387042/rating-european-consumer-and-commercial-asset-backed-securitisations
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2021),
https://www.dbrsmorningstar.com/research/384920/interest-rate-stresses-for-european-structured-finance-transactions
-- Rating European Structured Finance Transactions Methodology (19 May 2022),
https://www.dbrsmorningstar.com/research/397034/rating-european-structured-finance-transactions-methodology

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at https://www.dbrsmorningstar.com/research/278375.

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