Press Release

DBRS Morningstar Confirms Ratings on BL Consumer Issuance Platform II S.à r.l., acting in respect of its Compartment BL Consumer Credit 2021

Consumer Loans & Credit Cards

March 25, 2022

DBRS Ratings GmbH (DBRS Morningstar) confirmed the ratings on the notes issued by BL Consumer Issuance Platform II S.à r.l., acting in respect of its Compartment BL Consumer Credit 2021 (the Issuer) as follows:

-- Class A Notes at AAA (sf)
-- Class B Notes at AA (sf)
-- Class C Notes at A (high) (sf)
-- Class D Notes at BBB (sf)
-- Class E Notes at BB (sf)
-- Class F Notes at B (low) (sf)
-- Class X Notes at CCC (sf)

The ratings on the Class A and Class B notes address the timely payment of interest and ultimate repayment of principal on or before the legal final maturity date. The ratings on the Class C, Class D, Class E, Class F, and Class X notes address the ultimate payment of interest and principal on or before the legal final maturity date, and the timely payment of interest while the senior-most class outstanding.

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 2022 payment date;
-- Current available credit enhancement to the notes to cover the expected losses at their respective rating levels;
-- Current economic environment and an assessment of sustainable performance, as a result of the Coronavirus Disease (COVID-19) pandemic; and
-- No revolving termination events have occurred.

The transaction is a securitisation of revolving credit receivables and fixed-rated instalment loans, originated and serviced by Buy Way Personal Finance SA (Buy Way) in Belgium and Luxembourg.

The collateral portfolio consists of four main product types: revolving credit cards, revolving loans without credit cards, Special Drawings, and fixed-rate instalment loans. The transaction is currently in its three-year revolving period, scheduled to end on the March 2025 payment date, provided no early amortisation events occur. The legal final maturity date is on the September 2038 payment date.

PORTFOLIO PERFORMANCE
As of the February 2022 payment date, the monthly principal payment rate (MPPR) on the revolving portion of the portfolio was 8.0%, averaging 8.6% since closing. The annualised gross charge-off rate on the revolving portion of the portfolio was 3.3%, averaging 2.2% since closing.

As of the February 2022 payment date, cumulative defaults for instalment loans was low at 1.5% of the total instalment loans purchased since closing.

As of the February 2022 payment date, the annualised yield rate on the overall portfolio was 9.7%, averaging 9.6% since closing.

As of the February 2022 payment date, receivables that were two to three months in arrears and receivables more than three months in arrears represented 0.1% of the outstanding receivables balance in both cases.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
DBRS Morningstar maintained its base case MPPR, charge-off rate, yield rate and recovery rate assumptions on the revolving portion of the portfolio at 6.5%, 4.4%, 11.6%, and 25%, respectively.

DBRS Morningstar maintained its base case default rate and recovery rate assumptions on the instalment portion of the portfolio at 7.0%, and 25%, respectively.

CREDIT ENHANCEMENT
The credit enhancement (CE) to each class of notes consists of subordination of more junior classes of notes and has been stable since closing due to the transaction revolving period. CE to each class of notes is as follows:
-- CE to the Class A Notes at 28.0%,
-- CE to the Class B Notes at 21.0%,
-- CE to the Class C Notes at 15.0%,
-- CE to the Class D Notes at 7.5%,
-- CE to the Class E Notes at 4.5%,
-- CE to the Class F Notes at 2.3%,
-- CE to the Class X Notes at 0.0.%.

The transaction benefits from a General Reserve that covers senior expenses, swap payments, and interest shortfall on the Class A, Class B, and Class C Notes, subject to certain trigger events. The General Reserve is permitted to amortise, with the target level set at 1.2% of outstanding balances of the Class A, Class B, and Class C notes, subject to a floor of EUR 1.3 million. The General Reserve is currently at its target level of EUR 3.1 million.

Citibank Europe plc, Luxembourg Branch (Citibank Luxembourg) acts as the Issuer Account Bank for the transaction. Based on DBRS Morningstar’s private rating on the parent company of the account bank, 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 bank 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.

Natixis S.A. (Natixis) acts as the swap counterparty for the transaction. DBRS Morningstar's private rating of Natixis is above the First Rating Threshold as described in DBRS Morningstar's "Derivative Criteria for European Structured Finance Transactions" methodology.

DBRS Morningstar analysed the transaction structure in Intex DealMaker.

The Coronavirus Disease (COVID-19) and the resulting isolation measures have caused an immediate economic contraction, leading in some cases to increases in unemployment rates and income reductions for many borrowers. DBRS Morningstar anticipates that delinquencies may continue to increase in the coming months for many credit card transactions. The ratings are based on additional analysis to expected performance as a result of the global efforts to contain the spread of the coronavirus.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. These scenarios were last updated on 24 March 2022. DBRS Morningstar analysis considered impacts consistent with the baseline scenario in the below referenced report. For details, see the following commentaries: https://www.dbrsmorningstar.com/research/394150/baseline-macroeconomic-scenarios-for-rated-sovereigns-march-2022-update and https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

On 16 March 2022, DBRS Morningstar updated its 8 May 2020 commentary outlining the impact of the coronavirus crisis on performance of DBRS Morningstar-rated credit card ABS transactions in Europe. For more details, please see: https://www.dbrsmorningstar.com/research/393754/bent-but-not-broken-european-credit-card-abs-performance-two-years-into-covid-19 and https://www.dbrsmorningstar.com/research/360734/european-abs-transactions-risk-exposure-to-coronavirus-covid-19-effect.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is: “Master European Structured Finance Surveillance Methodology” (8 February 2022).

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.

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 consider potential portfolio migration based on portfolio 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.

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 Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrsmorningstar.com/research/381451/global-methodology-for-rating-sovereign-governments.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The sources of data and information used for these ratings include investor reports provided by TMF Structured Finance Services B.V.

DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial ratings, DBRS Morningstar was not 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 25 March 2021, when DBRS Morningstar finalised its provisional ratings on the rated notes.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available on www.dbrsmorningstar.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 ratings:

For the revolving receivables:
-- Base case yield rate of 11.6%
-- Base case MPPR of 6.5%
-- Base case charge-off rate of 4.4%

Scenario 1: a 25% decrease in the base case yield rate
Scenario 2: a 25% decrease in the base case MPPR
Scenario 3: a 25% increase in the base case charge-off rate
Scenario 4: a 15% decrease in the base case yield rate, 15% decrease in the base case MPPR and 15% increase in the base case charge-off rate.

For the instalment loans:
-- Base case default rate of 7.0%

Scenario 5: A 25% increase in the base case default rate.
Scenario 6: A 50% increase in the base case default rate.

For all loans:
-- Base case recovery rate of 25%

Scenario 7: A 25% decrease in the base case recovery rate.

DBRS Morningstar concludes that the expected ratings under the seven stress scenarios are:
--Class A Notes: AA (high) (sf), AA (high) (sf), AA (high) (sf), AA (high) (sf), AA (high) (sf), AA (sf), AA (high) (sf)
--Class B Notes: AA (sf), AA (sf), AA (sf), AA (low) (sf), AA (low) (sf), A (high) (sf), AA (sf)
--Class C Notes: A (sf), A (sf), A (sf), A (low) (sf), A (sf), BBB (high) (sf), A (sf)
--Class D Notes: BBB (low) (sf), BBB (sf), BBB (low) (sf), BBB (low) (sf), BBB (low) (sf), BB (high) (sf), BB (high) (sf)
--Class E Notes: BB (low) (sf), BB (sf), BB (sf), BB (low) (sf), BB (low) (sf), B (high) (sf), B (sf)
--Class F Notes: below B (low) (sf), B (low) (sf), B (low) (sf), B (low) (sf), B (low) (sf), below B (low) (sf), below B (low) (sf)

As the rating of the Class X Notes is CCC (sf), sensitivity analysis is not applicable.

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. DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage: https://www.fca.org.uk/firms/credit-rating-agencies.

These ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Shalva Beshia, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 16 February 2021

DBRS Ratings GmbH
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60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrsmorningstar.com/about/methodologies.

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 info@dbrsmorningstar.com.

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.

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