DBRS Confirms Rating on Purple Master Credit Cards

DBRS Ratings Limited (DBRS) confirmed its AAA (sf) rating on the Series 2016-1, Class A Notes (Class A Notes) issued by Purple Master Credit Cards (the Issuer).

The rating action follows an annual review of the transaction and is based on the following analytical considerations, as described more fully below:

-- The portfolio performance, regarding the low levels of delinquencies and charge-offs, as of the September 2017 payment date;
-- No Revolving Termination Events or Accelerated Amortisation Events have occurred;
-- The current levels of credit enhancement (CE) available to the Class A Notes to cover expected losses.

The rating on the Class A Notes addresses the timely payment of interest and the ultimate payment of principal payable on or before the Legal Final Maturity Date in October 2028.

The Issuer is a securitisation of revolving credit card receivables originated by Natixis Financement SA to French retail customers. The transaction initially had an 18-month revolving period; however, this was extended by a further 24 months in an amendment executed in September 2016 (the Amendment) and now matures in September 2018. The Amendment also paid down the Series 2015-1, Class A and Class C Notes and lowered the minimum subordination for the newly issued Series 2016-1, Class A Notes by reducing the size of the Series 2016-1, Class C Notes in comparison to the 2015 series.

PORTFOLIO PERFORMANCE
The percentage of loans between 30-60 days and 60-90 days were 0.8% and 0.6%, respectively. The annualised portfolio yield is currently 14.6%, and the Monthly Principal Payment Rate (MPPR) is currently 6.0% and averaged 7.7% since closing. The annualised charge-off rate has averaged 1.0% since closing and currently stands at 2.0%.

CREDIT ENHANCEMENT
CE for the Class A Notes (17.6%) is provided by the subordination of the Class C Notes, the Class S Notes and Residual Units.

The transaction structure includes a reserve fund, available to cover senior expenses and missed interest payments on the Class A Notes. The reserve fund is currently at the initial and target level of EUR 6.6 million.

A swap structure is in place to hedge the interest rate mismatch between the Class A Notes, indexed to 1-month Euribor, and the fixed interest rate payments from the collateral portfolio. Natixis S.A., London Branch is the Counterparty of the Swap Agreement; the DBRS private rating of Natixis S.A., London Branch complies with the First Rating Threshold defined in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology.

Natixis S.A. is the Account Bank for this transaction. The DBRS private of Natixis 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 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 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 monthly investor 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 not 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.

The last rating action on this transaction took place on 25 October 2016, when DBRS finalised the provisional rating on the Series 2016-1, Class A Notes and discontinued the rating on the Series 2015-1, Class A Notes due to repayment in full.

Information regarding DBRS ratings, including definitions, policies and methodologies, is 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: Base Case of 5.25%, stressed with a 25% and 50% increase
-- MPPR: Base Case of 5%, stressed with a 25% and 50% decrease
-- Yield Rate: Base Case of 12%, stressed with a 25% and 50% decrease

Series 2016-1, Class A Notes risk sensitivity:

Whilst holding the MPPR constant:
-- 25% increase in Charge-Off Rate and 25% decrease in Yield Rate, expected rating of AA (high) (sf)
-- 50% increase in Charge-Off Rate and 50% decrease in Yield Rate, expected rating of A (high) (sf)

Whilst holding the Yield Rate constant:
-- 25% decrease in MPPR and 25% increase in Charge-Off Rate, expected rating of AA (sf)
-- 50% decrease in MPPR and 50% increase in Charge-Off Rate, expected rating of A (low) (sf)

Whilst holding the Charge-Off Rate constant:
-- 25% decrease in Yield Rate and 25% decrease in MPPR, expected rating of AA (high) (sf)
-- 50% decrease in Yield Rate and 50% decrease in MPPR, expected rating of A (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: Joana Seara da Costa, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 17 March 2015

DBRS Ratings Limited
20 Fenchurch Street, 31st Floor, London EC3M 3BY 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.

-- Master European Structured Finance Surveillance Methodology
-- Legal Criteria for European Structured Finance Transactions
-- 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
-- Derivative Criteria for European Structured Finance Transactions

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.