DBRS Confirms Ratings Assigned to B-Cards SA

DBRS Ratings Limited (DBRS) has today taken the following rating actions on the bonds issued by B-Cards SA, SIC institutionnelle de droit belge Compartment B-Cards-I (the Issuer):

-- Senior Notes confirmed at AA (low) (sf)
-- Mezzanine Notes confirmed at BBB (sf)

The rating actions on the Class A and Class B Notes are based on the following analytical considerations as described more fully below:

-- Portfolio performance, in terms of charge-off, payment and cash yield rates as of January 2016
-- Current available credit enhancement to the Senior and Mezzanine Notes to cover the expected losses at the AA (low) (sf) and BBB (sf) rating levels, respectively.

The Issuer is a securitisation of Belgian and Luxembourg unsecured revolving credit facilities (with and without a credit card) and instalment loans originated by Buy Way Personal Finance SA/NV.

As of January 2016, the monthly principal payment rate was 9.75%, the cash yield rate was 11.94% and the charge-off rate was 2.76%. All three metrics have remained approximately stable since the DBRS Initial Rating.

Delinquency rates have exhibited a moderate downward trend over the year, with two-to-three month arrears at 0.69% and 0.49% over three months in arrears.

Credit enhancement to the Senior Notes is at 21.10% and is provided by subordination of the Mezzanine Notes and the Subordinated Loan. Credit enhancement to the Mezzanine Notes is at 9.95% and is provided solely by the Subordinated Loan.

The transaction benefits from a Reserve Account, currently at the target level of EUR 8,150,276. The Reserve Account provides liquidity support to the Senior and Mezzanine Notes, as well as covering principal losses on the final payment date.

BNP Paribas Fortis SA/NV holds the Transaction Account for the transaction. The DBRS private rating of BNP Paribas Fortis SA/NV complies with the Minimum Institution Rating, given the rating assigned to the Senior Notes, as described in DBRS’s Legal Criteria for European Structured Finance Transactions methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology, which can be found on www.dbrs.com at http://www.dbrs.com/about/methodologies. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

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

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’s legal documents was not conducted as the documents have remained unchanged since the most recent rating action.

The sources of information used for these ratings include monthly investor reports provided by Citco Belgium SA/NV (the Administrator).

DBRS does not rely upon third-party due diligence in order to conduct its analysis. DBRS was not 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 these ratings 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 3 March 2015, when DBRS confirmed the rating of AA (low) (sf) on the Senior Notes and confirmed the rating on the Mezzanine Notes at BBB (sf), following DBRS’s review of an Amendment Agreement dated 27 February 2015. The lead responsibilities for this transaction have been transferred to Andrew Lynch.

Information regarding DBRS ratings, including definitions, policies and methodologies is available at www.dbrs.com.

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (each a specific base case):

-- Charge-Off Rate Used: Charge-Off Rate of 4.75%, a 25.00% and 50.00% increase on the base case.
-- Payment Rate Used: Base-case Payment Rate of 7%, a 25% and 50% decrease on the base case.
-- Yield Rate Used: Yield Rate of 11%, a 25% and 50% decrease on the base case.
-- Purchase Rate Used: No purchases were assumed, a 0% Purchase Rate.

DBRS concludes that for the Senior Notes:
-- While 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 lead to the Senior Notes maintaining their rating of AA (low) (sf).
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a downgrade of the Senior Notes to BBB (high) (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would lead to a downgrade of the Senior Notes to A (high) (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would lead to a downgrade of the Senior Notes to BBB (low) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 25% and a hypothetical decrease of the Yield Rate by 25%, ceteris paribus, would lead to a downgrade of the Senior Notes to A (low) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a downgrade of the Senior Notes to BB (high) (sf).

DBRS concludes that for the Mezzanine Notes:
--While 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 lead to a downgrade of the Mezzanine Notes to BB (low) (sf).
--While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a downgrade of the Mezzanine Notes to C (sf).
--While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would lead to a downgrade of the Mezzanine Notes to BB (high) (sf).
--While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would lead to a downgrade of the Mezzanine Notes to B (high) (sf).
--While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 25% and a hypothetical decrease of the Yield Rate by 25%, ceteris paribus, would lead to a downgrade of the Mezzanine Notes to BB (low) (sf).
--While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a downgrade in the Mezzanine Notes to C (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration 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: Alexander Garrod
Initial Rating Date: 27 January 2015
Initial Rating Committee Chair: Chuck Weilamann

Lead Surveillance Analyst: Andrew Lynch
Rating Committee Chair: Diana Turner

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960.

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 (February 2016)
-- Master European Structured Finance Surveillance Methodology (December 2015)
-- Operational Risk Assessment for European Structured Finance Servicers (December 2015)
-- Rating European Consumer and Commercial Asset-Backed Securitisations (October 2015)

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