DBRS Confirms Rating on Class A Notes of Matsuba 2016 B.V.

DBRS Ratings Limited (DBRS) confirmed its AAA (sf) rating on the Class A Notes issued by Matsuba 2016 B.V. (the Issuer).

The rating action on the Class A Notes is based on the following analytical considerations, as described more fully below:

-- Portfolio performance, in terms of delinquencies and defaults, as of 31 July 2017.
-- Portfolio default (PD) rate, loss given default (LGD) and expected loss assumptions for the remaining collateral pool.
-- No Early Amortisation Event has occurred.
-- The capabilities of the Originators/Servicers with respect to originations, underwriting, servicing and financial strength of the ultimate parent, Crédit Agricole S.A.
-- Current Credit enhancement (CE) available to the Class A Notes to cover the expected losses at the AAA (sf) rating level.

Matsuba 2016 closed in October 2016. It is a securitisation of amortising general-purpose consumer loans granted to individual borrowers residing in the Netherlands. The originators and servicers of the loans are various directly or indirectly owned subsidiaries of Crédit Agricole Consumer Finance Nederland B.V. (CACF NL). CACF NL is a wholly owned subsidiary of Crédit Agricole Consumer Finance S.A., which itself is a wholly owned subsidiary of Crédit Agricole S.A.

PORTFOLIO PERFORMANCE AND ASSUMPTIONS
The transaction is currently in the revolving period and the collateral portfolio is performing within DBRS’s expectations. As of 31 July 2017, loans more than 90 days delinquent as a percentage of the outstanding non-defaulted collateral balance were 0.05%. The cumulative loan default as a percentage of the initially securitised loans plus subsequent additional purchases since the transaction’s closing was 0.50%. DBRS has maintained its base case default rate and recovery assumptions at 4.3% and 13%, respectively.

CREDIT ENHANCEMENT AND REVOLVING PERIOD
The CE available to the Class A Notes has remained the same as at the transaction’s closing at 16.26%. The CE is provided through the subordinated Notes notes and is expected to increase when the transaction starts to deleverage from the scheduled end of the revolving period on 20 October 2017. During the revolving period the Issuer has the option to purchase new receivables subject to certain conditions and limitations. The revolving period will prematurely end upon the occurrence of an Early Amortisation Event.

There is a liquidity reserve in place, funded with the proceeds of the Class C Notes at closing, which provides liquidity support to the transaction and can be used to cover senior expenses, swap payments and interest on the Class A Notes. It is currently funded at its initial and target amount of EUR 4.85 million.

N.V. Bank Nederlandse Gemeenten acts as Account Bank to the transaction. The Account Bank’s private rating complies with the Minimum Institution Rating criteria, given the rating assigned to the most senior notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Crédit Agricole Corporate & Investment Bank acts as Swap Counterparty to the transaction. The Swap Counterparty’s DBRS private rating complies with the first rating threshold, given the rating assigned to the Class A Notes, as described in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is: “Master European Structured Finance Surveillance Methodology”.
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. Due to the inclusion of a revolving period in the transaction, the analysis continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action.

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

These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies

For a more detailed discussion of the 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 data and information used for this rating include the investor reports provided by the Issuer Administrator Intertrust Administrative Services B.V. (Intertrust).

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

At the time of the initial rating, DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the data and information available to it for the purposes of providing this rating to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

This is the first rating action since the Provisional Rating was finalised on 20 October 2016.

The lead analyst responsibilities for this transaction have been transferred to Kevin Ma.

Information regarding DBRS ratings, including definitions, policies and methodologies, is 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”):

-- DBRS expected a base case PD and LGD for the remaining collateral pool based on a review of the current assets and the transaction’s eligibility criteria. 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 assumptions for the revolving pool are 4.34% and 87%, respectively.
-- The Risk Sensitivity overview below illustrates the ratings expected if the PD increases by a certain percentage and LGD increases by a certain absolute value over the base case assumption. For example, if the LGD increases to 100%, the rating on the Class A Notes would be expected to be at AAA (sf), assuming no change in the PD. If the PD increases by 50%, the rating on the Class A Notes would be expected to be at AA (sf), assuming no change in the LGD. Furthermore, if the LGD increases to 100% and the PD increases by 50%, the rating on the Class A Notes would be expected to be at AA (low) (sf).

Class A Notes Risk Sensitivity:
-- LGD increases to 90%, expected rating of AAA (sf).
-- LGD increase to 100%, expected rating of AAA (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 LGD increases to 90%, expected rating of AA (high) (sf).
-- 50% increase in PD and LGD increases to 90%, expected rating of AA (sf).
-- 25% increase in PD and LGD increases to 100%, expected rating of AA (high) (sf).
-- 50% increase in PD and LGD increases to 100%, expected rating of AA (low) (sf).

For further information on DBRS historical default rates published by the European Securities and Markets Authority (“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 and US regulations only.

Lead Analyst: Kevin Ma, Assistant Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 28 September 2016

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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
-- Derivative Criteria for European Structured Finance Transactions
-- Unified Interest Rate Model for European Securitizations
-- 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

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