DBRS Ratings Limited (DBRS Morningstar) assigned provisional ratings to the Class A, Class B, Class C, Class D, Class E and Class F Notes (the Rated Notes) to be issued by Magoi B.V. (the Issuer) as follows:
-- AAA (sf) to the Class A Notes
-- AA (sf) to the Class B Notes
-- A (high) (sf) to the Class C Notes
-- A (low) (sf) to the Class D Notes
-- BBB (sf) to the Class E Notes
-- B (sf) to the Class F Notes
The Class G notes are not rated by DBRS Morningstar.
The rating of the Class A Notes addresses timely payment of scheduled interest and ultimate repayment of principal by the legal final maturity date. The other ratings address the ultimate payment of scheduled interest while the class is subordinate and the timely payment of scheduled interest as the most senior class, and ultimate repayment of principal by the legal final maturity date.
The provisional ratings are based on information provided to DBRS Morningstar by the Issuer and its agents as of the date of this press release. The ratings can be finalised upon review of final information, data, legal opinions and the executed version of the governing transaction documents. To the extent that the information or the documents provided to DBRS Morningstar as of this date differ from the final information, DBRS Morningstar may assign a different final rating to the rated notes.
The Notes are backed by a portfolio of fixed-rate unsecured amortising personal loans granted to individuals domiciled in the Netherlands for general consumption and serviced by Findio B.V. and InterBank N.V. (the originators) which are owned by Crédit Agricole Consumer Finance Nederland B.V. (CACF NL).
The transaction includes an eight-month revolving period. During this period, the Issuer may purchase additional receivables provided that the eligibility criteria and concentration limits set out in the transaction documents are satisfied. The revolving period may end earlier than scheduled if certain events occur such as the breach of performance triggers, event of default or servicer bankruptcy.
During the amortisation period, the transaction incorporates a mixed sequential/pro rata/potentially sequential amortisation mechanism. As all the Notes (except for the Class G Notes) pay a floating rate based on one-month Euribor, whereas the loans carry a fixed-interest rate, the interest rate mismatch risk is largely hedged through an interest rate swap provided by CACF NL as the swap counterparty and Crédit Agricole Corporate and Investment Bank as the stand-by swap counterparty.
The transaction includes a liquidity reserve that is available to the Issuer during the revolving period and the amortisation period in restricted scenarios where the interest and principal collections are not sufficient to cover the shortfalls in senior expenses, swap payments and interests on the Class A Notes and the Class B Notes. During the accelerated redemption period, the liquidity reserve amount is not available to the Issuer and is instead returned directly to the liquidity provider.
The ratings are based upon DBRS Morningstar’s review of the following analytical considerations:
-- The transaction capital structure, including form and sufficiency of available credit enhancement.
-- Credit enhancement levels are sufficient to support the projected expected net losses under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay the rated Notes according to the terms of the Notes.
-- The originator and servicer’s capabilities with respect to originations, underwriting, servicing and financial strength.
-- DBRS Morningstar’s operational risk review of CACF NL, which is deemed to be an acceptable servicer.
-- The transaction parties’ financial strength regarding their respective roles.
-- The credit quality, diversification of the collateral and historical and projected performance of the originators’ portfolio.
--DBRS Morningstar’s sovereign rating of the Kingdom of the Netherlands at AAA with a Stable trend.
-- The expected consistency of the transaction’s legal structure with DBRS Morningstar’s “Legal Criteria for European Structured Finance Transactions” methodology, 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 Intex DealMaker.
All figures are in euros unless otherwise noted.
The principal methodology applicable to the ratings is: “Rating European Consumer and Commercial Asset-Backed Securitisations.”
DBRS Morningstar 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 is based on the worst-case replenishment criteria set forth in the transaction legal documents.
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 “Global Methodology for Rating Sovereign Governments” methodology at: https://www.dbrs.com/research/350410/global-methodology-for-rating-sovereign-governments.
The sources of data and information used for these ratings include performance and portfolio data relating to the receivables provided by the originators directly or through CACF CL or the arranger, Crédit Agricole Corporate and Investment Bank.
DBRS Morningstar received the following information:
- Quarterly default vintage data from Q1 2006 to Q2 2019;
- Quarterly recovery vintage data from Q1 2006 to Q2 2019;
- Dynamic monthly prepayment data from January 2009 to June 2019; and
- Dynamic quarterly delinquency data from March 2006 to June 2019.
DBRS Morningstar also received stratification tables in relation to the loan pool as of 31 October 2019 and its related contractual amortisation profile.
DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.
DBRS Morningstar was supplied with third-party assessments. However, this did not impact the rating analysis.
DBRS Morningstar considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.
DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.
These ratings concern newly issued financial instruments. These are the first DBRS Morningstar ratings on these financial instruments.
Information regarding DBRS Morningstar ratings, including definitions, policies and methodologies, is available on www.dbrs.com.
To assess the impact of changing the transaction parameters on the ratings, DBRS Morningstar considered the following stress scenarios, as compared to the parameters used to determine the rating:
-- Expected Default Rate of 4%, a 25% and 50% increase on the expected default.
-- Expected Loss Given Default (LGD) of 77%, a 25% and 50% increase on the expected LGD.
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 LGD.
Scenario 4: A 25% increase in the expected default rate and a 25% increase in the LGD.
Scenario 5: A 50% increase in the expected default rate and a 25% increase in the LGD.
Scenario 6: A 50% increase in the LGD.
Scenario 7: A 25% increase in the expected default rate and a 50% increase in the LGD.
Scenario 8: A 50% increase in the expected default rate and a 50% increase in the LGD.
DBRS Morningstar concludes that the expected ratings under the eight stress scenarios are:
-- Class A Notes: AA (high) (sf), AA (sf), AAA (sf), AA (sf), A (high) (sf), AAA (sf), AA (sf), A (high) (sf)
-- Class B Notes: A (high) (sf), A (sf), AA (sf), A (high) (sf), A (low) (sf), AA (sf), A (high) (sf), A (low) (sf)
-- Class C Notes: A (low) (sf), BBB (high) (sf), A (sf), BBB (high) (sf), BBB (sf), A (sf), BBB (high) (sf) BBB (sf)
-- Class D Notes: BBB (high) (sf), BBB (low) (sf), BBB (high) (sf), BBB (sf), BB (high) (sf), BBB (high) (sf), BBB (sf), BB (high) (sf)
-- Class E Notes: BB (high) (sf), BB (sf), BBB (low) (sf), BB (sf), B (high) (sf), BBB (low) (sf) BB (low) (sf), B (high) (sf)
-- Class F Notes: B (low) (sf), Below B (low) (sf), B (sf), Below B (low) (sf), Below B (low) (sf), B (sf), Below B (low) (sf), Below B (low) (sf)
For further information on DBRS Morningstar 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: Jeffrey Cespon, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 28 November 2019
DBRS Ratings Limited
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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.
-- 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 Originators
-- Operational Risk Assessment for European Structured Finance Servicers
-- Interest Rate Stresses for European Structured Finance Transactions
A description of how DBRS Morningstar 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.