Ratings Raised On Dutch ABS Transaction Ochiba 2015’s Class B And C Notes


OVERVIEW
  • We have reviewed Ochiba 2015's performance by conducting our analysis of the transaction's underlying assets and structural features.
  • Following our review, we have raised our ratings on the class B and C notes.
  • Ochiba 2015 is an ABS transaction of Dutch consumer loans that closed in April 2015.
  
LONDON (S&P Global Rating) Jan. 11, 2019--S&P Global Ratings today raised its 
credit ratings on Ochiba 2015 B.V. class B and C notes (see list below). 

Today's upgrades follow our review of the transaction's performance and the 
application of our current criteria, and reflect our assessment of the payment 
structure according to the transaction documents (see "Related Criteria"). 

The transaction closed in April 2015 and was originally revolving for 18 
months, which was then extended by a further 12 months, after which it began 
amortizing (see "New Issue: Ochiba 2015 B.V.," published on April 30, 2015). 
The pool balance has declined to €551.63 million as of the October 2018 
payment date from €1.05 billion at closing, bringing the current pool factor 
(the outstanding collateral balance as a proportion of the original collateral 
balance) to approximately 52.5%. The reserve remains funded at the target 
level of €11.3 million. The class A notes' balance has been fully paid down 
due to the fully sequential repayment of principal, which has resulted in 
increased credit enhancement for the class B and C notes, to 84% and 61%, 
respectively, from 45% and 33% at closing.

We have analyzed credit risk under our European consumer finance criteria, 
using the transaction's historical gross loss data (see "European Consumer 
Finance Criteria," published on March 10, 2000). In our view, Ochiba 2015 has 
shown stable asset performance, with cumulative gross losses performing 
approximately in line with our assumptions at closing. As a result, we have 
slightly adjusted our base-case gross loss assumption and base-case recovery 
rate to 12.6% and 27.6%, respectively, from 13.7% and 26.2% at closing. These 
relatively small positive adjustments reflect the fact that due to the pool 
being in its amortization phase, the pool composition is better than our 
worst-case assumption during the revolving period. Notably, the pool now only 
contains one interest-only loan. Furthermore, recovery data for the 
transaction are limited as the seller is currently purchasing defaulted loans 
for 100% of the defaulted amount. Therefore, we rely on the historical 
recovery data received at closing, which along with high level haircuts, allow 
us to maintain the recovery rate assumptions we used at closing.

Our operational and legal risk analysis is unchanged since closing. We 
consider that the transaction documents adequately mitigate the transaction's 
exposure to counterparty risk through the transaction bank account provider 
(Credit Agricole Corporate and Investment Bank) up to a 'AAA' rating. The 
transaction is also exposed to Credit Agricole Consumer Finance as commingling 
guarantor. Additionally, our structured finance ratings above the sovereign 
criteria do not constrain our ratings on the notes (see "Ratings Above The 
Sovereign - Structured Finance: Methodology And Assumptions," published on 
Aug. 8, 2016). 

Our credit and cash flow analysis indicates that the class B and C notes can 
attain higher ratings than those currently assigned. We have therefore raised 
to 'AAA (sf)' from 'AA (sf)' our rating on the class B notes, and to 'AA+ 
(sf)' from 'A (sf)' our rating on the class C notes. 

Ochiba 2015 is an asset-backed securities (ABS) transaction of Dutch consumer 
loans that closed in April 2015. 
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