Press Release

DBRS Assigns Provisional Rating of AAA (sf) to Master Credit Cards PASS Compartment France Class A2019-1

Consumer Loans & Credit Cards
October 01, 2019

DBRS Ratings Limited (DBRS) assigned a provisional rating of AAA (sf) to the Class A2019-1 Notes (Class A Notes) of Series 2019-1 to be issued by Master Credit Cards PASS Compartment France (the issuer).

The Class B2019-1 Notes are not rated by DBRS. The rating addresses the timely payment of interest and ultimate payment of principal by the final maturity date.

The rating will be finalised upon receipt of an execution version of the governing transaction documents. To the extent that the documents and information provided to DBRS as of this date differ from the executed version of the governing transaction documents, DBRS may assign a different final rating to the Class A Notes.

The rating is based on the analytical 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 Class A Notes according to the terms of transaction documents.
-- The operational risk review of the Carrefour Banque (the seller), which is deemed by DBRS 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 with a Stable trend by DBRS.
-- The expected consistency of the transaction’s legal structure with DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology and the presence of legal opinions that are expected to address the true sale of the assets to the issuer.

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

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 at:

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 “Global Methodology for the Rating Sovereign Governments” methodology at:

The sources of data and information used for the rating includes data sourced from Carrefour Banque and provided through the transaction arrangers, Crédit Agricole Corporate and Investment Bank and Natixis S.A.:
-- Dynamic historical data in respect of receivables balances, payment rates, yield rates, delinquency rates and default rates from January 2005 to June 2019;
-- Static recovery data of accelerated contracts from January 2003 to June 2019;
-- Static recovery data of over-indebtedness from January 2007 to June 2019; and
-- Stratification tables as at 31 August 2019 were also provided for the securitised pool.

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 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, is available on

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: 6.5%
-- Expected Monthly Principal Payment Rate: 4.5%
-- Expected Yield Rate: 13%

Scenario 1: A 25% increase on the expected charge-off rate
Scenario 2: A 25% decrease on the expected monthly 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 monthly 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), AAA (sf), 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:

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: 1 October 2019

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The rating methodologies used in the analysis of this transaction can be found at:

--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

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at:

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