DBRS Confirms Ratings on Ochiba 2015 B.V.

DBRS Ratings Limited (DBRS) has today taken the following rating actions on the bonds issued by Ochiba 2015 B.V. (the Issuer):

-- Class A1 Notes confirmed at AAA (sf)
-- Class A2 Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AA (sf)
-- Class C Notes confirmed at A (sf)

The rating actions on the Class A1 Notes, Class A2 Notes (Class A Notes), Class B Notes and Class C 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 March 2016.
-- Updated default, recovery and loss assumptions on the remaining receivables.
-- Current available credit enhancement to the Class A Notes, Class B Notes and Class C Notes to cover the expected losses at the AAA (sf), AA (sf) and A (sf) rating levels, respectively.

The Issuer is a securitisation of Dutch consumer loan receivables originated by Crédit Agricole Consumer Finance Netherlands B.V. (CACF NL), closed in April 2015

As of March 2016, the monthly principal payment rate was 2.54% of the performing principal balance at the beginning of the reporting period, the cash yield rate was 6.87% and the annualised charge-off rate was 0.13% of the performing principal balance at the end of reporting period. All three metrics have remained steady since the DBRS Initial Rating.

Delinquency rates as a percentage of performing principal balance, have exhibited a stable trend over the year, with two-to-three month arrears at 0.37% and 0.15% over three months in arrears.

Credit enhancement to the Class A Notes is at 57.00% and is provided by subordination of the Class B Notes, Class C Notes, Class D Notes and the Cash Reserve. Credit enhancement to the Class B Notes is at 45.00% and is provided by subordination of Class C Notes, Class D Notes and Cash Reserve. Credit Enhancement to the Class C Notes is provided solely by the subordination of the Class D Notes and Cash Reserve.

The transaction benefits from a Cash Reserve, currently at the target level of EUR 21 million. The Cash Reserve provides liquidity support as well as covering principal losses on the final payment date.

Crédit Agricole Corporate & Investment Bank S.A. holds the Transaction Account for the transaction. The DBRS private rating of Crédit Agricole Corporate & Investment Bank S.A. complies with the Minimum Institution Rating, given the rating assigned to the Class A 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.

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

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

An asset and a cash flow analysis were both conducted. However, due to the inclusion of a revolving period in the transaction, and no change in assumptions, the initial analysis based on worst-case replenishment criteria set forth in the transaction legal documents was assumed.

Other methodologies 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.

The sources of information used for this rating include investor and servicing reports provided by Intertrust Administrative Services B.V. and Crédit Agricole Consumer Finance Netherland B.V.

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 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.

This is the first rating action since the Initial Rating Date. The lead responsibilities for this transaction have been transferred to Antonio Di Marco.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on 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 (the Base Case):

-- Net Charge-Off Rate Used: 2.50%, a 25% and 50% increase on the base case.
-- Principal Payment Rate Used: Base Case Payment Rate of 1.30%, a 25% and 50% decrease on the base case.
-- Yield Margin Rate Used: Yield Margin Rate of 6.50%, a 25% and 50% decrease on the base case.

DBRS concludes that for the Class A1 and Class A2 Notes:
-- Whilst holding the Payment Rate constant, a hypothetical increase of the base case Net Charge-Off Rate by 25% and a hypothetical decrease of the base case Yield Margin Rate by 25%, ceteris paribus, would maintain the rating of the Class A1 and Class A2 notes at AAA (sf).
-- Whilst holding the Payment Rate constant, a hypothetical increase of the base case Net Charge-Off Rate by 50% and a hypothetical decrease of the Yield Margin Rate by 50%, ceteris paribus, would maintain the rating of the Class A1 and Class A2 notes at AAA (sf).
-- Whilst holding the Yield Margin Rate constant, a hypothetical increase of the base case Net Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would maintain the rating of the Class A1 and Class A2 notes at AAA (sf).
-- Whilst holding the Yield Margin Rate constant, a hypothetical increase of the base case Net Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would maintain the rating of the Class A1 and Class A2 notes at AAA (sf).
-- Whilst holding the Net Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 25% and a hypothetical decrease of the Yield Margin Rate by 25%, ceteris paribus, would maintain the rating of the Class A1 and Class A2 notes at AAA (sf).
-- Whilst holding the Net Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 50% and a hypothetical decrease of the Yield Margin Rate by 50%, ceteris paribus, would maintain the rating of the Class A1 and Class A2 notes at AAA (sf).

DBRS concludes that for the Class B Notes:
-- Whilst holding the Payment Rate constant, a hypothetical increase of the base case Net Charge-Off Rate by 25% and a hypothetical decrease of the base case Payment Rate by 25%, ceteris paribus, would maintain the rating of the Class B notes at AA (sf).
-- Whilst holding the Payment Rate constant, a hypothetical increase of the base case Net Charge-Off Rate by 50% and a hypothetical decrease of the Yield Margin Rate by 50%, ceteris paribus, would maintain the rating of the Class B notes at AA (sf).
-- Whilst holding the Yield Margin Rate constant, a hypothetical increase of the base case Net Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would maintain the rating of the Class B notes at AA (sf).
-- Whilst holding the Yield Margin Rate constant, a hypothetical increase of the base case Net Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would maintain the rating of the Class B notes at AA (sf).
-- Whilst holding the Net Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 25% and a hypothetical decrease of the Yield Margin Rate by 25%, ceteris paribus, would maintain the rating of the Class B notes at AA (sf).
-- Whilst holding the Net Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 50% and a hypothetical decrease of the Yield Margin Rate by 50%, ceteris paribus, would maintain the rating of the Class B notes at AA (sf).

DBRS concludes that for the Class C Notes:
-- Whilst holding the Payment Rate constant, a hypothetical increase of the base case Net Charge-Off Rate by 25% and a hypothetical decrease of the base case Yield Margin Rate by 25%, ceteris paribus, would maintain the rating of the Class C notes at A (sf).
-- Whilst holding the Payment Rate constant, a hypothetical increase of the base case Net Charge-Off Rate by 50% and a hypothetical decrease of the Yield Margin Rate by 50%, ceteris paribus, would lead to a downgrade of the Class C notes to BBB (high) (sf).
-- Whilst holding the Yield Margin Rate constant, a hypothetical increase of the base case Net Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would maintain the rating of the Class C notes at A (sf).
-- Whilst holding the Yield Margin Rate constant, a hypothetical increase of the base case Net Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would lead to a downgrade of the rating of the Class C notes to BBB (high) (sf).
-- Whilst holding the Net Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 25% and a hypothetical decrease of the Yield Margin Rate by 25%, ceteris paribus, would maintain the rating of the Class C notes at A (sf).
-- Whilst holding the Net Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 50% and a hypothetical decrease of the Yield Margin Rate by 50%, ceteris paribus, would lead to a downgrade of the rating of the Class C notes to BBB (high) (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: Alessio Pignataro
Initial Rating Date: 30 April 2015
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Antonio Di Marco
Rating Committee Chair: Chuck Weilamann

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 Originators
-- Operational Risk Assessment for European Structured Finance Servicers
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Unified Interest Rate Model for European Securitisations

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.