DBRS Ratings Limited (DBRS) assigned a rating of A (sf) to the Senior Note (together with the unrated Junior Note, the Notes) issued by Amaura 2018 B.V. (the Issuer). The Issuer is a private company with limited liability organised under Dutch law.
Subject to pre-funding, the Notes are collateralised by the receivables of unsecured credit cards, revolving credit facilities and fixed-rate instalment loans originated by Qander Consumer Finance B.V. (Qander or the Seller) in the Netherlands. The receivables are serviced by Qander. Vesting Finance Servicing B.V. was appointed as the backup servicer at closing.
The Senior Note benefits from subordination of the Junior Note, where the size is derived from dynamic advance rates dependent on the mix of each asset type that determine a specific borrowing base. The borrowing base is subject to specific conditions that look to protect the transaction from a deterioration in performance. Interest payable on the Senior Note is equal to a margin over one-month Euribor and the maximum drawing under the Senior Note is EUR 74,000,000.
The pre-funded account was funded at closing and will be replenished through drawings on the Senior Note and amounts that may be made available from the redemption priority of payments on each payment date, subject to a target level. These amounts credited to the pre-funded account may be used to purchase further advance receivables and new loan receivables during the revolving period that is scheduled to end in August 2020. Furthermore, drawings on the Senior Note may also be used to purchase new receivables that had not been previously acquired using pre-funded amounts during the preceding month.
A cash reserve account was funded upfront, has a target balance equal to 1.0% of the outstanding portfolio balance and is replenished through the interest priority of payments. During the amortisation period the target balance of the reserve remains fixed and, subject to the revenue priority of payments, is ultimately available to repay principal when the collateral balance is equal to zero.
The Issuer’s bank accounts are held by ABN AMRO Bank N.V, which has also been appointed as the swap counterparty. DBRS publicly rates ABN AMRO Bank’s long-term senior unsecured debt at A (high) with a Stable trend, which meets DBRS’s criteria to act as account bank and swap counterparty. The transaction documents contain downgrade provisions consistent with DBRS criteria with respect to the account bank and swap counterparty.
The rating addresses the timely payment of interest and ultimate repayment of principal by the legal final maturity date. It’s based on a DBRS review of the following analytical considerations:
-- Transaction capital structure and form and sufficiency of available credit enhancement.
-- Relevant credit enhancement in the form of dynamic subordination (advance rate) and a cash reserve.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested.
-- Qander’s capabilities with respect to originations, underwriting and servicing as well as the availability of a named backup servicer at closing.
-- The consistency of the transaction’s legal structure with DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology and presence of legal opinions addressing the assignment of the assets to the Issuer.
The transaction cash flow structure was analysed using DBRS’s proprietary cash flows and Intex DealMaker.
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.
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 on: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.
The sources of information used for this rating include performance and portfolio data relating to the receivables sourced by Qander through ABN AMRO Bank N.V. The data and information used for this rating include:
-- Dynamic receivables balance, payment, delinquency, charge-off, origination yield and recovery data for each product type from Q1 2008 to Q2 2018.
-- Static default and recovery data for each product type from Q1 2008 to Q2 2018.
-- Loan-level data characteristics and portfolio projections.
DBRS does 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 that the information available to it for the purposes of providing this rating was of satisfactory quality.
DBRS does not audit or independently verify the data or information it receives in connection with the rating process.
This rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.
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:
Revolving Credit Facilities
-- Expected charge-off rate: 5.5%, a 25% and 50% increase
-- Expected principal payment rate: 1.7%, a 25% and 50% decrease
-- Expected yield rate: 4.9% - held constant
-- Expected recovery rate: 28.4% - held constant
-- Expected charge-off rate: 5.5%, a 25% and 50% increase
-- Expected principal payment rate: 7.5%, a 25% and 50% decrease
-- Expected yield rate: 12.0% - held constant
-- Expected recovery rate: 28.5% - held constant
Fixed-Rate Instalment Loans
-- Expected default of 8.2%: a 25% and 50% increase
-- Expected loss given default (LGD): 80.7%, a 25% increase (subject to a cap of 100%)
For Revolving Credit Facilities and Credit Cards (separately for each product type)
Scenario 1: A 25% increase in the expected charge off rate.
Scenario 2: A 50% increase in the expected charge off rate.
Scenario 3: A 25% decrease in the expected principal payment rate.
Scenario 4: A 25% increase in the expected charge off rate and 25% decrease in the expected principal payment rate.
Scenario 5: A 50% increase in the expected charge off rate and 25% decrease in the expected principal payment rate.
Scenario 6: A 50% decrease in the expected principal payment rate.
Scenario 7: A 25% increase in the expected charge off rate and 50% decrease in the expected principal payment rate.
Scenario 8: A 50% increase in the expected charge off rate and 50% decrease in the expected principal payment rate.
For Fixed-Rate Instalment Loans
Scenario 1: A 25% increase in the expected default rate.
Scenario 2: A 50% increase in the expected default rate.
Scenario 3: A 25% increase in the expected LGD.
Scenario 4: A 25% increase in the expected default and 25% increase in the expected LGD.
Scenario 5: A 50% increase in the expected default and 25% increase in the expected LGD.
DBRS concludes that the expected ratings for the Senior Note under the stress scenarios for each product type (assuming a 100% concentration in each case) are:
-- Revolving Credit Facilities: BBB (high) (sf) / BBB (sf) / BBB (high) (sf) / BBB (sf) / BB (high) (sf) / BBB (low) (sf) / BB (high) (sf) / BB (sf)
-- Credit Cards: A (sf) / A (sf) / A (sf) / A (sf) / BBB (high) (sf) / A (low) (sf) / BBB (sf) / BBB (low) (sf)
-- Fixed-Rate Instalment Loans: BBB (high) (sf) / BBB (sf) / A (low) (sf) / BBB (sf) / BBB (sf) / BBB (low)
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: Alex Garrod, Senior Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 23 November 2018
DBRS Ratings Limited
20 Fenchurch Street, 31st Floor
Registered in England and Wales: No. 7139960
The rating methodologies and criteria 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
-- Derivative 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
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 email@example.com.