DBRS Ratings Limited (DBRS) took the following rating actions on the notes issued by BL Consumer Issuance Platform S.A., acting in respect of its compartment BL Cards 2018 (the Issuer):
-- Class A Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AA (high) (sf)
-- Class C Notes confirmed at A (high) (sf)
-- Class D Notes confirmed at BBB (sf)
-- Class E Notes confirmed at BB (sf)
-- Class F Notes upgraded to BB (sf) from B (sf)
The ratings address the timely repayment of interest and ultimate payment of principal on or before the legal final maturity date.
The rating actions follow an annual review of the transaction and are based on the following analytical considerations:
-- Portfolio performance, in terms of charge-off rates, principal payment rates, yield rates and delinquencies;
-- The ability to withstand stressed cash flow assumptions;
-- No revolving termination events have occurred;
-- Current available credit enhancement to the Rated Notes to cover the expected losses at their respective rating levels.
The upgrade of the Class F Notes also reflects the partial amortisation of the Class F Notes through excess spread to 44.0% of its original balance.
The Issuer is a securitisation of revolving credit receivables, originated and serviced by Buy Way Personal Finance SA in Belgium and Luxembourg. The transaction has a pass-through, two-step special-purchase-vehicle structure, differentiated between purchaser and Issuer level. The transaction is currently in its three-year revolving period, scheduled to end in March 2021, providing no early amortisation events occur.
PORTFOLIO PERFORMANCE AND ASSUMPTIONS
As of January 2019, the monthly principal payment rate (MPPR) was 10.5%, the annualised charge-off rate was 0.2% and the annualised yield rate was 11.2%. While the MPPR and charge-off rates have exhibited stable trends since closing, the yield has periodically been trending below the initial base case assumption. DBRS has maintained its base case MPPR and charge-off rates at 7.6% and 4.4%, respectively, and has reduced its base case yield assumption to 10.9% from 11.2%.
Delinquencies have remained relatively low since the DBRS initial rating. As of January 2019, loans that were two- to three-months in arrears represented 0.3% of the outstanding portfolio balance and loans that were 90+ days in arrears represented 0.1% of the outstanding balance, both up from 0.0% at closing.
CREDIT ENHANCEMENT AND RESERVES
Credit enhancement consists of subordination of the junior notes. Subordination to the Class A, Class B, Class C, Class D and Class E Notes is currently 25.1%, 19.6%, 13.7%, 5.7% and 3.4%, respectively, down from 25.7%, 20.3%, 14.4%, 6.5% and 4.3% at the DBRS initial rating. The decrease reflects the partial amortisation of the Class F Notes through excess spread. Subordination to the Class F Notes is currently 2.7%, stable since the DBRS initial rating.
The transaction benefits from a Reserve Fund that covers Issuer senior expenses, swap payments and interest shortfall on the Class A, Class B and Class C Notes, subject to certain triggers. The Reserve Fund is currently at its target level of EUR 2.2 million. The transaction also has a Senior Expense Reserve Fund that covers purchaser senior expenses and servicing fees; it is currently at its target level of EUR 1.1 million.
Citibank Europe plc, Brussels branch acts as the Purchaser Account Bank and Citibank Europe plc, Luxembourg branch acts as the Issuer Account Bank for the transaction. Based on the account bank reference rating of the parent company, Citibank Europe plc, at AA (low), the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS considers the risk arising from the exposure to the account banks 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.
BNP Paribas SA acts as the swap counterparty for the transaction. DBRS's Long-Term Critical Obligations Rating of BNP Paribas SA at AA (high) is above the First Rating Threshold as described in DBRS's "Derivative Criteria for European Structured Finance Transactions" methodology.
All figures are in euros unless otherwise noted.
The principal methodology applicable to the ratings 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.
An asset and a cash flow 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 “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/333487/rating-sovereign-governments.pdf.
The sources of data and information used for these ratings include investor reports provided by Citibank N.A./London Branch.
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 these ratings 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 26 March 2018, when DBRS finalised its provisional ratings on the Class A, Class B, Class C, Class D, Class E and Class F Notes of AAA (sf), AA (high) (sf), A (high) (sf), BBB (sf), BB (sf) and B (sf), respectively.
The lead analyst responsibilities for this transaction have been transferred to Clare Wootton.
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”):
-- Base Case Charge-Off Rate: 4.4%
-- Base Case MPPR: 7.6%
-- Base Case Yield Rate: 10.9%
Scenario 1: A 25% decrease in the expected Principal Payment Rate.
Scenario 2: A 25% increase in the expected Charge-Off Rate.
Scenario 3: A 25% decrease in the expected Yield Rate.
Scenario 4: A 15% increase in the expected Charge-Off Rate, 15% decrease in the expected Principal Payment Rate and 15% decrease in the expected Yield Rate.
DBRS concludes that the expected ratings on the Rated Notes under the four stress scenarios are:
Class A Notes: AAA (sf), AAA (sf), AAA (sf), AAA (sf)
Class B Notes: AA (sf), AA (sf), AA (high) (sf), AA (high) (sf)
Class C Notes: A (sf), A (sf), A (high) (sf), A (high) (sf)
Class D Notes: BBB (sf), BB (high) (sf), BBB (low) (sf), BBB (sf)
Class E Notes: BB (sf), BB (low) (sf), BB (sf), BB (sf)
Class F Notes: BB (sf), B (high) (sf), B (high) (sf), BB (sf)
For further information on DBRS historical default rates published by the European Securities and Markets Authority (“ESMA”) in a central repository, see:
Ratings assigned by DBRS Ratings Limited are subject to EU and US regulations only.
Lead Analyst: Clare Wootton, Senior Financial Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 5 March 2018
DBRS Ratings Limited
20 Fenchurch Street
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 Transactions
-- Master European Structured Finance Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- 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 firstname.lastname@example.org.