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

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

The rating addresses the timely payment of interest and ultimate payment of principal on or before the legal final maturity date.

The confirmation follows an annual review of the transaction and is based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies and defaults.
-- Probability of default (PD), loss given default (LGD) and expected losses on the remaining receivables.
-- The 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. The Class A Notes started amortising in November 2017, following the end of the revolving period.

PORTFOLIO PERFORMANCE AND ASSUMPTIONS
As of the end of July 2018, lease receivables more than 90 days delinquent represented 0.1% of the outstanding portfolio balance and the cumulative default rate represented 0.5% of the original portfolio balance including the additional replenishment amounts. Both arrears and defaults remained low and within DBRS’s expectations. The current cumulative recovery rate amounts to 19.7%. DBRS maintained its base case default rate and recovery assumptions at 4.3% and 13.0%, respectively.

CREDIT ENHANCEMENT
The CE available to the Class A Notes has increased to 22.8%, compared with 16.3% at closing. The source of CE for the Class A consists of the subordination of the Class B Notes.

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 shortfalls on the Class A Notes. The liquidity reserve is currently at its target amount of EUR 3.7 million.

N.V. Bank Nederlands Gemeenten (BNG) is the account bank provider in the transaction. Based on the account bank reference rating of BNG, which is privately rated by DBRS, and the mitigants outlined in the transaction documents, DBRS considers the risk arising from the exposure to the account bank to be consistent with the rating assigned to the Class A Notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Crédit Agricole Corporate & Investment Bank (CA-CIB) is the swap counterparty in the transaction. The DBRS private rating of CA-CIB is consistent 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 the “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.

A review of the transaction’s 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 “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.

The sources of data and information used for this rating include the investor reports provided by Intertrust Administrative Services B.V., the Issuer Administrator.

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.

The last rating action on this transaction took place on 18 September 2017, when DBRS confirmed its AAA (sf) rating on the Class A Notes.

The lead analyst 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 with 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 4.3% and 87.0%, 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 remain 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 fall to AA (high) (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 fall to AA (high) (sf).

Class A Notes 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 AAA (sf)
-- 50% increase in PD, expected rating of AA (high) (sf)
-- 25% increase in PD and LGD increases to 90%, expected rating of AAA (sf)
-- 50% increase in PD and LGD increases to 90%, expected rating of AA (high) (sf)
-- 25% increase in PD and LGD increases to 100%, expected rating of AAA (sf)
-- 50% increase in PD and LGD increases to 100%, expected rating of AA (high) (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: Andrew Lynch, 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
-- Master European Structured Finance Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Servicers
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Interest Rate Stresses for European Structured Finance Transactions
-- 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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.