Press Release

Morningstar DBRS Confirms Credit Rating on Purple Master Credit Cards, Note Series 2023-1

Consumer Loans & Credit Cards

February 23, 2024

DBRS Ratings GmbH (Morningstar DBRS) confirmed its AAA (sf) credit rating on the Class A2023-1 Notes (the Notes) issued by Purple Master Credit Cards (the Issuer).

Morningstar DBRS does not rate the Class C2023-1 Notes also issued in this transaction.

The credit rating on the Class A2023-1 Notes addresses the timely payment of scheduled interest and the ultimate repayment of principal by the legal final maturity date in July 2036.

The credit rating confirmation follows an annual review of the transaction and is based on the following analytical considerations:
-- The portfolio performance, in terms of delinquencies, yield, payment rates, and charge-offs, as of the December 2023 payment date;
-- The ability of programme- and series-specific structures to withstand stressed cash flow assumptions;
-- No revolving termination event; and
-- The current levels of credit enhancement available to the Notes to cover the expected losses at the AAA (sf) credit rating level.

The transaction is a securitisation of fixed rate, unsecured receivables generated from revolving credit agreements granted to individuals domiciled in France and serviced by BCPE Financement (the originator). The transaction includes a revolving period, which is scheduled to end in February 2025. The revolving period may end earlier than scheduled if certain events occur, such as a breach of the performance triggers.

PORTFOLIO PERFORMANCE
As of the December 2023 payment date, loans that were one to two months and two to three months delinquent represented 0.5% and 0.4% of the portfolio balance, respectively, while loans more than three months delinquent represented 0.3%. The annualised portfolio yield is currently 14.3%, and the monthly principal payment rate (MPPR) is currently 6.5%. The annualised charge-off rate currently stands at 0.9%.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
The monthly principal payment rate of the portfolio had been largely stable at above 5% over the reported period until April 2020, with the rate dropping to a record low of 4.3% because of the initial COVID-19 impact. Morningstar DBRS notes that the MPPR appears to have since stabilised and remains close to the historical levels. Based on the historical trends and recent performance, Morningstar DBRS elected to maintain the expected MPPR at 4.5%.

Similarly, the portfolio yield excluding recoveries has been largely stable over the reported period, with marginal declines seen over the past few years and a low of 10.4% experienced in March 2022. Morningstar DBRS, nonetheless, maintained the expected yield at 11.5%, recognising the usury rate increases to materialise in the medium term in response to European Central Bank interest rate hikes.

The reported historical charge-off rates have been declining since 2013 with an annualised charge-off rate of 0.86% in December 2023. In spite of the historically declining trends, Morningstar DBRS maintained the expected charge-off rate at 4.5% after considering the macroeconomic environment, which includes current inflationary pressure, higher interest rates, and potential performance volatility.

The cumulative recovery rates have been stable over the reported period, largely attributable to the prescriptive legislative process and long recovery period without the statute of limitations. After considering the historical recovery performance, benchmarking against comparable portfolios and that France has a relatively favourable recovery experience, Morningstar DBRS elected to maintain the expected recovery rate of 37.5%.

CREDIT ENHANCEMENT
Credit enhancement is provided by the subordination of the Class S Notes. As of the December 2023 payment date, credit enhancement available to the Class A Notes was 24.6%.

The transaction benefits from an amortising reserve fund available to cover senior expenses and Class A Notes interest. This reserve, which BPCE funded to EUR 6.875 million at closing, has a target level of 1.25% of the aggregate outstanding principal balance of the Class A Notes and is subject to a floor of EUR 2.75 million. It has been at its required balance since closing.

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

Natixis also acts as the swap counterparty for the transaction. Morningstar DBRS’ private rating on Natixis is consistent with the First Rating Threshold as described in Morningstar DBRS’ “Derivative Criteria for European Structured Finance Transactions” methodology.

Morningstar DBRS’ credit ratings on the Class A Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents.

Morningstar DBRS’ credit ratings do not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations.

Morningstar DBRS’ long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of defaults to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

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 Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the “Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings” at https://dbrs.morningstar.com/research/427030/morningstar-dbrs-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings

Morningstar DBRS analysed the transaction structure in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is the “Master European Structured Finance Surveillance Methodology” (11 December 2023), https://dbrs.morningstar.com/research/425148/master-european-structured-finance-surveillance-methodology.

Other methodologies referenced in this transaction are listed at the end of this press release.
Morningstar DBRS 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 credit rating action.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit 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://dbrs.morningstar.com/research/421590/global-methodology-for-rating-sovereign-governments.

The sources of data and information used for these credit ratings include investor reports provided by EuroTitrisation.

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

At the time of the initial Class A2020-1 Notes credit rating, Morningstar was supplied with third-party assessments. However, this did not impact the rating analysis.

Morningstar DBRS considers the data and information available to it for the purposes of providing these credit ratings to be of satisfactory quality.

Morningstar DBRS does not audit or independently verify the data or information it receives in connection with the credit rating process.

The last credit rating action on this transaction took place on 27 February 2023, when Morningstar DBRS finalised its AAA (sf) credit rating on the Series A2023-1 at.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available at https://dbrs.morningstar.com/.

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit rating, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit rating:

-- Expected Yield Rate: 11.5%
-- Expected MPPR: 4.5%
-- Expected Charge-Off Rate: 4.5%

Scenario 1: A 25% decrease in the expected yield rate
Scenario 2: A 25% decrease in the expected MPPR
Scenario 3: A 25% increase in the expected charge-off rate
Scenario 4: A 15% decrease in the expected yield rate, 15% decrease in the expected MPPR and 15% increase in the expected charge-off rate.
Morningstar DBRS concludes that the expected ratings of the Class A2023-1 Notes under the four stress scenarios are AA (high) (sf), AA (high) (sf), AA (high) (sf), and AA (sf).

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

These credit ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Kevin Chiang, Senior Vice President
Rating Committee Chair: David Lautier, Senior Vice President
Initial Rating Date: 6 February 2023

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Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
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The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

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

For more information on this credit or on this industry, visit https://dbrs.morningstar.com/ or contact us at [email protected].

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.

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