DBRS Confirms Rating on Obligation A Bonds Issued by FCT Oneycord, Compartiment Oneycord 1

DBRS Ratings Limited (DBRS) confirmed the rating on the Obligation A bonds issued by FCT Oneycord, Compartiment Oneycord 1 (the Issuer) at A (sf).

The confirmation of the rating on the Obligation A bonds follows an annual review of the transaction and is based on the following analytical considerations:
-- Portfolio performance in line with DBRS’s expectations, in terms of delinquencies, defaults, Principal Payment Rate and Portfolio Yield Rate, as of the August 2017 payment date.
-- No early amortisation events have occurred.
-- Current available credit enhancement to the Obligation A bonds commensurate with the A (sf) rating level.

The Obligation A bonds are backed by receivables of credit cards and revolving credit lines originated and serviced by Oney Bank (the Originator) in France. The transaction is still in the revolving period, scheduled to terminate in September 2019. During the revolving period, the Obligation A bonds will not amortise unless any event triggering amortisation occurs. To date, no early amortisation events have been activated.

PERFORMANCE
As of the August 2017 payment date, 90+ delinquencies were at 1.62%. The monthly default rate as of August 2017 was 0.20%, below the amortisation trigger level of 1.05%.

The monthly payment rate has been ranging between 10.94% and 9.23% since September 2015 and has averaged 9.55%.

The monthly portfolio yield is currently at 1.74%, above the amortisation trigger of 0.90%.

CREDIT ENHANCEMENT
The Obligation A bonds are supported by subordination of the Obligation B bonds and the Obligation Cédant. As of the August 2017 payment date, credit enhancement to the Obligation A bonds was 30.21%.

The transaction benefits from an amortising reserve fund which provides liquidity support to the transaction. As of the August 2017 payment date, the reserve fund was at its target level of EUR 20.70 million (3% of the minimum pool balance).

Natixis S.A. acts as the Account Bank and Specially Dedicated Account Bank for the transaction. The DBRS private rating of Natixis complies with the Minimum Institution Rating, given the rating assigned to the Obligation A bonds, 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 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 cashflow 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” at: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of data and information used for this rating include management reports provided by EuroTitrisation (the Management Company).

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 purpose 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.

The last rating action on this transaction took place on 4 November 2016 when DBRS confirmed the rating on the Obligation A bonds at A (sf).

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 with the parameters used to determine the rating (the “Base Case”):
-- DBRS expected a Base Case Portfolio Yield Rate, Principal Payment Rate and Charge-Off Rate 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 Portfolio Yield Rate, Principal Payment Rate and Charge-Off Rate of the current pool of receivables are 14.20%, 7.75% and 10.40%, respectively.
-- The Risk Sensitivity overview below illustrates the ratings expected for the Obligation A bonds if each variable (Portfolio Yield Rate, Principal Payment Rate and Charge-Off Rate) was stressed by a certain percentage over the Base Case assumption, while holding the other variables constant.

Obligation A bonds Risk Sensitivity:
-- 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 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: Andrew Lynch, Assistant Vice President
Rating Committee Chair: Vito Natale, Senior Vice President
Initial Rating Date: 15 September 2015
DBRS Ratings Limited
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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
-- Master European Structured Finance Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- 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.