DBRS Discontinues AAA (sf) Rating and Assigns A (sf) Rating to Obligation A Issued by FCT Oneycord

DBRS Ratings Limited (DBRS) has today discontinued the AAA (sf) rating and assigned a new rating of A (sf) to the Obligation A bonds issued by FCT Oneycord, Compartiment Oneycord 1 (the Issuer) upon the execution of the following amendments requested by Banque Accord:

-- Reduction of subordination (including Obligation Cédant) for the Obligation A bonds to 22.3% from 35.6%,
-- Removal of the interest rate swaps and
-- Change of the custodian and specially dedicated account bank to Natixis S.A. from Banque Accord.

The Obligation A bonds are backed by receivables of credit cards and revolving credit lines originated by Banque Accord, the Originator, in France.

The rating is based on the considerations listed below:
-- The sufficiency of available credit enhancement in the form of subordination, liquidity reserve funds and excess spread.
-- The ability of the transaction’s structure and triggers to withstand stressed cash flow assumptions and repay the Obligation A bonds in full according to the terms of the transaction documents.
-- The Originator and its capabilities of performing activities with respect to originations, underwriting, cash management, data processing and servicing.
-- The legal structure and presence of legal opinions addressing the assignment of the assets to the Issuer and the consistency with the DBRS “Legal Criteria for European Structured Finance Transactions” methodology.

The transaction was modelled in Da Vinci, a DBRS proprietary cash flow model, and the Obligation A bonds returned all specified cash flows in a timely manner.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is “Rating European Consumer and Commercial Asset-Backed Securitisations.” DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.
This may be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies

Other methodologies referenced in this transaction are listed at the end of this press release.

The sources of information used for this rating include performance data relating to the receivables provided by the Originator through the arranger, Natixis, S.A. DBRS received monthly dynamic historical performance data and static performance by cohort on payment, yield, loss and recovery data relating to originations from December 2007.

DBRS does not rely upon third-party due diligence in order to conduct its analysis. DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.

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 14 September 2015, when the rating was confirmed at AAA (sf).

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):

-- Charge-Off Rate Used: Base Case of 15%, a 25% and 50% increase on the Base Case.
-- Principal Payment Rate Used: Base Case of 8%, a 25% and 50% decrease of the Base Case.
-- Yield Rate Used: Base Case of 28%, a 25% and 50% decrease on the Base Case.

DBRS concludes that for the Obligation A bonds:
-- Whilst holding the Payment Rate constant, a hypothetical increase of the Base Case Charge-Off Rate by 25% and a hypothetical decrease of the Base Case Yield Rate by 25%, ceteris paribus, would not result in a downgrade of the A (sf) rating.
-- Whilst holding the Payment Rate constant, a hypothetical increase of the Base Case Charge-Off Rate by 50% and a hypothetical decrease of the Base Case Yield Rate by 50%, ceteris paribus, would not result in a downgrade of the A (sf) rating.
-- Whilst holding the Charge-Off Rate constant, a hypothetical decrease of the Base Case Payment Rate by 25% and a hypothetical decrease of the Base Case Yield Rate by 25%, ceteris paribus, would not result in a downgrade of the A (sf) rating.
-- Whilst holding the Charge-Off Rate constant, a hypothetical decrease of the Base Case Payment Rate by 50% and a hypothetical decrease of the Base Case Yield Rate by 50%, ceteris paribus, would result in a downgrade of the rating to A (low) (sf).
-- Whilst holding the Yield Rate constant, a hypothetical decrease of the Base Case Payment Rate by 25% and a hypothetical increase of the Base Case Charge-Off Rate by 25%, ceteris paribus, would not result in a downgrade of the A (sf) rating.
-- Whilst holding the Yield Rate constant, a hypothetical decrease of the Base Case Payment Rate by 50% and a hypothetical increase of the Base Case Charge-Off Rate by 50%, ceteris paribus, would result in a downgrade of the rating to A (low) (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: Gareth Levington
Initial Rating Date: 19 April 2011
Initial Rating Committee Chair: Claire Mezzanotte

Lead Analyst: Kevin Chiang
Rating Committee Chair: Chuck Weilamann

Lead Surveillance Analyst: Andrew Lynch

DBRS Ratings Limited
1 Minster Court, 10th Floor Mincing Lane, London EC3R 7AA
United Kingdom
Registered in England and Wales: 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
-- Unified Interest Rate Model for European Securitisations
-- Rating European Consumer and Commercial Asset-Backed Securitisations

A description of how DBRS analysis structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375