DBRS Finalises Provisional Rating of AAA (sf) to Class A2018-1 and Discontinues the Class A2016-1 Rating on Purple Master Credit Cards

DBRS Ratings Limited (DBRS) finalised its provisional rating of AAA (sf) to the Class A2018-1 Notes (Class A Notes; collectively with the unrated Class C2018-1 Notes, the Notes) issued by Purple Master Credit Cards (the Issuer). Concurrently, it discontinued its rating on the Class A2016-1 Notes as it was repaid in full.

The rating of the Class A Notes addresses the timely payment of interest and ultimate repayment of principal by the final maturity date.

The proceeds of the Notes were used to fully redeem the Notes Series 2016-1 that were issued on 25 October 2016.

The rating is based on the considerations listed below:
-- The transaction capital structure including the form and sufficiency of available credit enhancement.
-- Credit enhancement levels are sufficient to support DBRS’s expected charge-off, payment and yield rates under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay the Notes according to the terms under which the Notes have been issued.
-- Natixis Financement’s (the Seller) capabilities with respect to originations, underwriting and its financial strength.
-- DBRS conducted an operational risk review of the Seller and deems it to be an acceptable servicer.
-- The transaction parties’ financial strength with regard to their respective roles.
-- The credit quality and diversification of the collateral and historical and projected performance of the Seller’s portfolio.
-- The sovereign rating of the Republic of France, currently rated AAA by DBRS.
-- The consistency of the transaction’s legal structure with DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology, the presence of legal opinions that address the true sale of the assets to the Issuer and non-consolidation of the Issuer with the Seller.

The transaction cash flow structure was analysed in DBRS’s proprietary excel-based tool.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is “Rating European Consumer and Commercial Asset-Backed Securitisations”.

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.

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 the rating includes data sourced from Natixis Financement and provided through the transaction Arranger, Natixis S.A. The data includes the following:
-- Dynamic historical data in respect of receivables balances, payment rates, yield rates and loss rates from January 2006 to July 2018;
-- Static recovery data from June 2006 to July 2018; and
--Updated stratification tables from 31 July 2018.

DBRS did 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 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 rating of the Class A2018-1 Notes concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

The last rating action on the Class A2016-1 Notes took place on 24 October 2017, when DBRS confirmed the rating at AAA (sf). The lead analyst responsibilities for this transaction has been transferred to Kevin Chiang.

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:
-- Expected Charge-Off Rate: 4.75%
-- Expected Principal Payment Rate: 5.0%
-- Expected Yield Rate: 11.5%

Scenario 1: a 25% increase on the Expected Charge-Off Rate.
Scenario 2: a 25% decrease on the Expected Principal Payment Rate.
Scenario 3: a 25% decrease on the Expected Yield Rate.
Scenario 4: a 15% increase on the Expected Charge-Off Rate, 15% decrease on the Expected Principal Payment Rate and 15% decrease on the Expected Yield Rate.

DBRS concludes that the expected ratings of the Class A Notes under the four stress scenarios are:
-- AA (high) (sf), AA (high) (sf), AA (high) (sf), AA (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 Chiang, Senior Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date for Class A2018-1: 14 September 2018
Initial Rating Date for Class A2016-1: 20 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.

--Rating European Consumer and Commercial Asset-Backed Securitisations
--Legal Criteria for European Structured Finance Transactions
--Operational Risk Assessment for European Structured Finance Servicers
--Operational Risk Assessment for European Structured Finance Originators
--Interest Rate Stresses for European Structured Finance Transactions
--Derivative Criteria for European Structured Finance Transactions
--Master European Structured Finance Surveillance Methodology

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.