Morningstar DBRS Confirms Credit Ratings on BL Consumer Issuance Platform II S.à r.l., acting in respect of its Compartment BL Consumer Credit 2024

DBRS Ratings GmbH (Morningstar DBRS) confirmed the credit ratings on the notes issued by BL Consumer Issuance Platform II S.à r.l., acting in respect of its Compartment BL Consumer Credit 2024 (the Issuer) as follows:

-- Class A Notes at AAA (sf)
-- Class B Notes at AA (low) (sf)
-- Class C Notes at A (low) (sf)
-- Class D Notes at BBB (sf)
-- Class E Notes at BB (sf)
-- Class F Notes at B (high) (sf)
-- Class G Notes at CCC (sf)
-- Class X1 Notes at CCC (sf)
-- Class X2 Notes at CCC (sf)

The credit ratings of the Class A and Class B Notes address the timely payment of scheduled interest and the ultimate repayment of principal by the legal final maturity date. The credit ratings of the Class C, Class D, Class E, Class F and Class G Notes address the ultimate payment of scheduled interest while subordinated, then timely payment of scheduled interest as most senior class of notes outstanding, and the ultimate repayment of principal by the legal final maturity date. The credit ratings of the Class X1 and Class X2 Notes address the ultimate payment of interest and the ultimate repayment of principal by the legal final maturity date.

The Issuer is a securitisation of revolving loans with some fixed-rate instalment loans granted to individual residents in Belgium and Luxembourg and serviced by Buy Way Personal Finance (Buy Way).

CREDIT RATING RATIONALE
The credit rating confirmations follow an annual review of the transaction and are based on the following analytical considerations:
-- The portfolio performance, in terms of payment date in terms of delinquencies, yield, payment rates, charge-offs and cumulative default rate, as of the January 2025 payment date
-- The non-occurrence of a revolving termination event
-- The current level of credit enhancement available and ability of Issuer- and transaction-specific structural features to cover expected losses at their respective rating levels
-- The consistency of the transaction's structure with "Legal and Derivative Criteria for European Structured Finance Transactions" methodology

PORTFOLIO PERFORMANCE AND ASSUMPTIONS
As of the January 2025 payment date, one-to-two months and two-to-three months in arrears ratios were 0.48% and 0.25%, respectively, while more than three months in arrears ratio was 0.10%. The annualised portfolio yield, monthly principal payment rate (MPPR) and annualised charge-off rate for the revolving loans portfolio were at 14.4%, 9.2% and 5.0% respectively.

On the other hand, the cumulative default rate for instalment loans was at 2.4% as of January 2025 payment date.

The Issuer's MPPR for the revolving loans portfolio has been stable between around 9% and 10% since closing. Morningstar DBRS also notes that the zeroing legislation applicable to Belgian revolving loans prescribes a minimum payment under which the due balance of a revolving loan must reach zero after up to 96 months. Based on the historical trend, Morningstar DBRS elected to maintain the expected MPPR at 8.0%.

The portfolio yield for the revolving loans portfolio, influenced by the Belgian usury rate, as Buy Way has historically set the Belgian revolving loan interest rate at the legal maximum for both new and existing accounts, has also been stable at around 14.5% since closing. Morningstar DBRS maintained the expected yield at 12.0%, as the usury rates are likely to decline in the near or medium term.

Morningstar DBRS also notes that annualised charge-off rates for the revolving loans portfolio has increased from closing, and the current level of 5.0% as of January 2025 payment date is above our expected level. However, due to lack of sufficient historical data from the Issuer to confirm a consistent trend of charge-off exceeding our expected level, we elected to maintain the expected charge-off rate for the revolving loans at 4.4%.

The cumulative default rate for instalment loans have steadily increased since closing but remains below our assumed level. Morningstar DBRS maintained the cumulative default rate for instalment loans at 7.0%.

After considering the historical recovery performance and benchmarking against comparable with French consumer loan portfolios, Morningstar DBRS elected to maintain the expected recovery for the overall portfolio at 40.0%.

CREDIT ENHANCEMENT
As of the January 2025 payment date, credit enhancement based on subordination levels, for the Class A, Class B, Class C, Class D, Class E and Class F Notes was at 21.0%, 13.0%, 9.0%, 6.0%, 4.0% and 2.0%, respectively, unchanged from closing.

The transaction includes a reserve with a target amount of 1.3% of the outstanding balance of the Class A, Class B and Class C Notes that is available to cover any shortfalls in senior expenses, senior hedging payments (only applicable during the amortisation period if the Notes are not fully redeemed on the first optional redemption date) and interest payments on the Class A, Class B and Class C Notes (subject to the most senior class status and/or the PDL condition). There is also a spread account (with zero balance at closing) to trap excess spread if it falls below 4%.

COUNTERPARTIES
Citibank Europe plc, Luxembourg Branch is the Issuer account bank for the transaction. Based on the Morningstar DBRS Long-Term Issuer Rating of the Citibank Europe plc at AA (low) and the downgrade provisions outlined in the transaction documents consistent with "Legal and Derivative Criteria for European Structured Finance Transactions" methodology, Morningstar DBRS considers the risk arising from the exposure to Citibank Europe plc to be consistent with the credit ratings assigned.

Citibank Europe plc is also the interest rate hedge counterparty for the transaction. Morningstar DBRS' Long-Term Issuer Rating of the Citibank Europe plc at AA (low) is consistent with the first rating threshold as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology. The downgrade provisions in the swap documentation are consistent with Morningstar DBRS' criteria.

Morningstar DBRS' credit ratings on the Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transaction's press release at issuance.

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, AND 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 Factors in Credit Ratings at https://dbrs.morningstar.com/research/437781.

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 Rating European Consumer and Commercial Asset-Backed Securitisations (18 September 2024), https://dbrs.morningstar.com/research/439583.

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 Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" methodology at https://dbrs.morningstar.com/research/436000.

The sources of data and information used for this credit rating are the investor report provided by TMF Structured Finance Services B.V. and further information provided by Buy Way.

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

At the time of the initial credit rating, Morningstar DBRS was supplied with third-party assessments. However, this did not affect the credit 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 25 March 2024, when Morningstar DBRS finalised its provisional credit ratings on the Class A, Class B, Class C, Class D, Class E, Class F, Class X1 and Class X2 Notes at AAA (sf), AA (low) (sf), A (low) (sf), BBB (sf), BB (sf), B (high) (sf), CCC (sf) and CCC (sf), respectively, and assigned a credit rating of CCC (sf) to the Class G Notes.

The lead analyst responsibilities for this transaction have been transferred to Roberto Perez.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on dbrs.morningstar.com.

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

For the revolving loans:
-- Expected Yield: 12.0%
-- Expected MPPR: 8.0%
-- Expected Charge-Off Rate: 4.4%

Scenario 1: a 25% decrease in the Expected Yield
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, 15% decrease in the Expected MPPR and 15% increase in the Expected Charge-Off Rate.

For the instalment loans:
-- Expected Default of 7%

Scenario 5: a 25% increase in the expected default.
Scenario 6: a 50% increase in the expected default.

For all loans:
-- Expected Recovery of 40% (Loss Given Default of 60%)

Scenario 7: a 25% increase in the Loss Given Default.

Morningstar DBRS concludes that the expected credit ratings under the seven stress scenarios are:
--Class A Notes: AAA (sf), AA (high) (sf), AAA (sf), AA (high) (sf), AAA (sf), AA (high) (sf), AA (high) (sf)
--Class B Notes: AA (low) (sf), A (high) (sf), AA (low) (sf), A (high) (sf), AA (low) (sf), A (high) (sf), A (sf)
--Class C Notes: BBB (high) (sf), BBB (high) (sf), A (low) (sf), BBB (high) (sf), A (low) (sf), BBB (high) (sf), BBB (high) (sf)
--Class D Notes: BBB (low) (sf), BBB (low) (sf), BBB (sf), BBB (low) (sf), BBB (low) (sf), BBB (low) (sf), BB (high) (sf)
--Class E Notes: BB (low) (sf), BB (sf), BB (sf), BB (low) (sf), BB (sf), BB (sf), BB (sf)
--Class F Notes: below B (low) (sf), B (high) (sf), B (high) (sf), B (low) (sf), B (high) (sf), B (high) (sf), B (low) (sf)

No sensitivity was conducted on the Class X1, Class X2 or Class G Notes.

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: Roberto Perez, Assistant Vice President
Rating Committee Chair: Paolo Conti, Associate Managing Director
Initial Rating Date: 14 February 2024

DBRS Ratings GmbH, Sucursal en España
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Tel. +34 (91) 903 6500

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

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

-- Rating European Consumer and Commercial Asset-Backed Securitisations (18 September 2024), https://dbrs.morningstar.com/research/439583
-- Master European Structured Finance Surveillance Methodology (4 February 2025), https://dbrs.morningstar.com/research/447080
-- Rating European Structured Finance Transactions Methodology (19 November 2024),
https://dbrs.morningstar.com/research/443199
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024), https://dbrs.morningstar.com/research/439913
-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024),
https://dbrs.morningstar.com/research/443196
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024),
https://dbrs.morningstar.com/research/439571
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024),
https://dbrs.morningstar.com/research/437781

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/439604.

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.