DBRS Confirms Red & Black Consumer France 2013

DBRS Ratings Limited (“DBRS”) has reviewed Notes issued by the Red & Black Consumer France 2013 (the “Issuer”) and confirmed the ratings of the Class A Notes at AAA (sf).

The confirmation of the ratings for the Class A Notes is based upon the following analytical considerations, as described more fully below:

• Portfolio performance, in terms of level of delinquencies and defaults, as of 20 August 2014 payment date.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
• Current available credit enhancement to the Class A Notes to cover expected losses assumed in line with a AAA (sf) rating level.

Red & Black Consumer France 2013 is a securitisation of a pool of unsecured loans receivables related to personal and student loans originated in France by Sogéfinancement, a French subsidiary of Société Générale and Franfinance. The transaction closed in October 2013 and has a three year revolving period scheduled to end in October 2016 which can be extended for a further 3 years.

As of the 20 August 2014 payment date, the below 90 days delinquency ratio was 3.05% and the 90+ ratio was 0.36%. The cumulative gross default ratio was at 0.53% of the aggregated collateral balance.

Credit enhancement to the Class A Notes stems from the subordination of the Class B Notes. As the transaction is still in the revolving period, credit enhancement to the Class A Notes remains equal to 30.00%.

The transaction benefits also from a Cash Reserve Fund available to cover any shortfall in senior waterfall items and/or Class A interest payments. Ultimately, the residual balance of the reserve may be used to redeem the Notes.

The Cash Reserve Fund has been set at EUR 28.5 million and will be allowed to amortise down to 0.75% of the outstanding notes balance once the revolving period will end.

Société Générale, S.A. holds the Treasury Account for the transaction. The DBRS private rating of Société Générale, S.A. complies with the threshold for the Account Bank given the rating assigned to the Class A Notes, as described in the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in EUR unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies.

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include monthly investor reports provided by EuroTitrisation (the “FCT Management Company”). DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 08 October 2013, when DBRS assigned the ratings to AAA (sf) of the Class A Notes.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):

• DBRS expected a Base Case Probability of Default (PD) and Loss Given Default (LGD) for the pool based on a review of the transaction performance. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
• The Base Case PD and LGD of the current pool of receivables are 6.84% and 73.53%, respectively.
• The Risk Sensitivity overview below illustrates the ratings expected for the Class A Notes if the PD and LGD increase by a certain percentage over the Base Case assumption. For example, if the LGD increase by 50% the rating for the Class A Notes would be expected to decrease at AA (sf), all else being equal. If the PD increases by 50% the rating for the Class A Notes would be expected to decrease to AA (sf), all else being equal. If both the LGD and PD increase by 50%, the rating of the Class A Notes would be expected to decrease to A (sf), all else being equal.

Class A Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of AA (high) (sf)
• 50% increase in LGD, expected rating of AA (sf)
• 25% increase in PD, expected rating of AA (high) (sf)
• 50% increase in PD, expected rating of AA (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of AA (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of A (sf)

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“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 regulations only.

Initial Lead Analyst: Bruno Franco
Initial Rating Date: 08 October 2013
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Dylan Cissou
Rating Committee Chair: Diana Turner

DBRS Ratings Limited
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The rating methodologies and criteria 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.
• Unified Interest Rate Model for European Securitisations.
• Rating European Consumer and Commercial Asset-Backed Securitisations.