DBRS Ratings Limited (DBRS Morningstar) confirmed the ratings on the notes issued by BL Consumer Issuance Platform S.A., acting in respect of its compartment BL Cards 2018 (the Issuer) as follows:
-- Class A Notes at AAA (sf)
-- Class B Notes at AA (high) (sf)
-- Class C Notes at A (high) (sf)
-- Class D Notes at BBB (sf)
-- Class E Notes at BB (sf)
The ratings address the timely payment of interest and ultimate payment of principal on or before the legal final maturity date of 26 March 2034.
The confirmations 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 as of the February 2020 payment date;
-- The ability to withstand stressed cash flow assumptions;
-- No revolving termination events have occurred;
-- Current available credit enhancement to the notes to cover the expected losses at their respective rating levels.
The transaction 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, ASSUMPTIONS AND KEY DRIVERS
As of the February 2020 payment date, two- to three-month arrears and 90+ arrears represented 0.2% and 0.1% of the outstanding portfolio balance, respectively, both stable since a year ago. As of the February 2020 payment date, the cumulative default ratio was 0.1%. In addition, the portfolio composition in terms of product type and geographical residence complies with the portfolio criteria. A breach of portfolio criteria limits for two consecutive months triggers the amortisation period.
As of the February 2020 payment date, the monthly principal payment rate (MPPR) was 11.4%, the annualised charge-off rate was 0.1% and the annualised yield rate was 12.2%. The MPPR and charge-off rates have exhibited stable trends since closing. The yield has been trending upwards since a year ago, while the proportion of Special Drawings products, which carry a low or zero interest rate, has been stable at 7.0% of the portfolio outstanding balance during the same time.
The DBRS Morningstar base case MPPR, charge-off, and yield rates are 7.6%, 4.4%, and 10.9%, respectively, which have been maintained since a year ago.
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 24.5%, 19.0%, 13.1%, 5.0% and 2.8%, respectively, down from 25.1%, 19.6%, 13.7%, 5.7% and 3.4% since a year ago. The decrease reflects the full amortisation of the Class F Notes through excess spread.
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 1.0 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 Morningstar 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 Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.
BNP Paribas SA acts as the swap counterparty for the transaction. DBRS Morningstar's Long-Term Critical Obligations Rating of BNP Paribas SA at AA (high) is above the First Rating Threshold as described in DBRS Morningstar's "Derivative Criteria for European Structured Finance Transactions" methodology.
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.
DBRS Morningstar analysed the transaction structure in a proprietary cash flow tool.
For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.
For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.
All figures are in euros unless otherwise noted.
The principal methodology applicable to the ratings is the “Master European Structured Finance Surveillance Methodology” (13 December 2019). 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 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 at: http://www.dbrsmorningstar.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” at: : https://www.dbrsmorningstar.com/research/350410/global-methodology-for-rating-sovereign-governments.
The sources of data and information used for these ratings include investor reports provided by Citibank N.A., London Branch and loan-level data provided by the European DataWarehouse GmbH.
DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.
At the time of the initial rating, 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.
The last rating action on this transaction took place on 15 November 2019, when DBRS Morningstar discontinued the rating on the Class F Notes, following their full redemption.
The lead analyst responsibilities for this transaction have been transferred to Natalia Coman.
Information regarding DBRS Morningstar ratings, including definitions, policies and methodologies is available at www.dbrsmorningstar.com.
To assess the impact of changing the transaction parameters on the rating, DBRS Morningstar 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 Morningstar concludes that the expected ratings on the notes under the four stress scenarios are:
Class A Notes: AAA (sf), AAA (sf), AAA (sf), AA (high) (sf)
Class B Notes: AA (sf), AA (sf), AA (high) (sf), AA (sf)
Class C Notes: A (sf), A (sf), A (high) (sf), A (low) (sf)
Class D Notes: BBB (low) (sf), BBB (sf), BBB (low) (sf), BB (high) (sf)
Class E Notes: BB (sf), BB (sf), BB (sf), BB (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:
Ratings assigned by DBRS Ratings Limited are subject to EU and US regulations only.
Lead Analyst: Natalia Coman, Senior Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 5 March 2018
DBRS Ratings Limited
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The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrsmorningstar.com/about/methodologies
-- Master European Structured Finance Surveillance Methodology (13 December 2019)
-- Rating European Consumer and Commercial Asset-Backed Securitisations (13 January 2020)
-- Rating European Structured Finance Transactions Methodology (28 February 2020)
-- Interest Rate Stresses for European Structured Finance Transactions (10 October 2019)
-- Legal Criteria for European Structured Finance Transactions (11 September 2019)
-- Derivative Criteria for European Structured Finance Transactions (26 September 2019)
-- Operational Risk Assessment for European Structured Finance Originators (28 February 2020)
-- Operational Risk Assessment for European Structured Finance Servicers (28 February 2020)
A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrsmorningstar.com/research/278375
For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at firstname.lastname@example.org.
This press release was amended on 7 April 2020 to include the telephone number of the DBRS Morningstar London office in the disclosure section.