MASTER CREDIT CARDS PASS COMPARTMENT FRANCE (Series )

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1 Presale: MASTER CREDIT CARDS PASS COMPARTMENT FRANCE (Series ) Primary Credit Analyst: Nicolo Francavilla, Milan ; Secondary Contact: Nikolaos Anapliotis, London (44) ; Table Of Contents Million Asset-Backed Fixed- And Floating-Rate Notes Series Transaction Summary Rating Rationale Strengths, Concerns, And Mitigating Factors Transaction Structure Originator Priority Of Payments Collateral Description Credit Analysis Cash Flow Analysis Scenario Analysis MAY 3,

2 Table Of Contents (cont.) Transaction Analysis Key Performance Indicators Related Criteria And Research MAY 3,

3 Presale: MASTER CREDIT CARDS PASS COMPARTMENT FRANCE (Series ) Million Asset-Backed Fixed- And Floating-Rate Notes Series This presale report is based on information as of May 3, The ratings shown are preliminary. This report does not constitute a recommendation to buy, hold, or sell securities. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. Preliminary Ratings As Of May 3, 2016 Class Preliminary rating* Preliminary amount (mil. ) Available credit enhancement (%) Interest (%) A AAA (sf) One-month EURIBOR plus a margin Legal final maturity May 2028 B NR Fixed-rate May 2028 S NR 8.7** N/A Fixed-rate May 2028 *Our rating is preliminary as of May 3, 2016, and subject to change at any time. We expect to assign final credit ratings on the closing date, subject to a satisfactory review of the transaction documents, including legal opinions and swap documents at closing. Our ratings in this transaction address timely interest and ultimate principal. Subordination of the class B notes (and the class S notes during the accelerated period only). The credit enhancement for the class A notes issued by the Compartment (including A notes is 27.40%). Subject to a step-up after the notes' call date equal to twice the initial margin, if the class A notes have not been redeemed. **The class S notes' interest is the lower of either the weighted-average interest rate of all of the outstanding class A notes, or 4%. The class S notes are shared by series and for a total minimum amount of million. EURIBOR--Euro Interbank Offered Rate. NR--Not rated. N/A--Not applicable. Transaction Participants Arranger Originator, seller, and servicer Management company Custodian Issuer bank account provider Servicer collection bank account Specially dedicated account and servicer collections bank account provider Paying agent and cash manager Interest rate swap counterparties (notes series ) Natixis S.A. Carrefour Banque EuroTitrisation BNP Paribas Securities Services BNP Paribas Securities Services BNP Paribas BNP Paribas BNP Paribas Securities Services Natixis S.A. and Crédit Agricole Corporate and Investment Bank Supporting Ratings Institution/role BNP Paribas Securities Services as issuer bank account provider and servicer collection bank account provider Carrefour Banque as setoff and commingling reserve funding provider BNP Paribas as specially dedicated account and servicer collection account Natixis S.A. as swap counterparty Crédit Agricole Corporate and Investment Bank as swap counterparty Ratings A/Stable/A-1 BBB+/Stable/A-2 A/Stable/A-1 A/Stable/A-1 A/Stable/A-1 MAY 3,

4 Transaction Key Features* Expected closing date May 2016 Note payment frequency Collateral Country of origination Maximum program amount Concentration (by current outstanding principal balance) Total current outstanding principal balance (mil. ) Average current outstanding principal balance ( ) Monthly Drawings from private individuals under a revolving credit agreement that Carrefour Banque originated in France France 1 billion Île-de-France (28.38%), Provence-Alpes-Côte d'azur (13.31%), Rhône-Alpes (11.50%), and others (46.82%) Weighted-average credit limit ( ) 4,548 Weighted-average seasoning (months) 135 Weighted-average nominal interest rate (%) Credit enhancement for the class A notes (percentage of asset volume; %) Cash reserve fund Commingling reserve fund Setoff reserve fund *As of the portfolio cut-off date on March 31, ,428 Subordination of the class B and the class S notes during the accelerated period, a cash reserve fund 1.5%, and excess spread (if any). 1.5% of the class A notes' outstanding balance. The FCT will partly release the reserve, with a floor of 0.5% of the class A notes' initial principal amount. Fully cash funded at closing. It is sized to account for the loss of one month of non-direct-debit payments, and dynamically adjusted during the transaction's life. Funded upon a seller rating trigger breach. Transaction Summary S&P Global Ratings has assigned its preliminary 'AAA (sf)' credit rating to MASTER CREDIT CARDS PASS COMPARTMENT FRANCEseries 's class A notes. At closing, the issuer will also issue unrated class B notes and class S notes. The issuer is a bankruptcy remote French securitization fund (a "Fonds Commun de Titrisation"; FCT). Series will be the fourth issuance from the FCT, since the issuance of series in November The securitized portfolio comprises drawings from private individuals under a revolving credit agreement that Carrefour Banque originated in France. Carrefour Banque is the captive consumer finance arm of the French retailer Carrefour S.A., Europe's largest retailer. Carrefour (60%) and BNP Paribas Personal Finance (40%) jointly own Carrefour Banque. This is Carrefour Banque's fourth credit card receivables securitization and its sixth consumer securitization. The French credit card market is less developed, in our view, than the U.K. market, and has seen relatively few securitizations. The issuer will use the proceeds of the series notes to repay the existing series To hedge its interest rate exposure to the floating-rate class A notes, the FCT will enter into interest rate swap agreements. The class B and S notes will pay fixed-rate interest. MAY 3,

5 During the accelerated amortization period, the class S notes will be fully subordinated in order to credit enhance all of the FCT's previously issued class A notes, followed by all of its class B notes. Credit enhancement for the notes comes from tranche subordination, a fully funded reserve fund, and from available excess spread. Rating Rationale Originator The originator, Carrefour Banque, has been underwriting consumer loans since It has established underwriting and servicing procedures. Our preliminary rating on the class A notes reflects our assessment of the company's origination policies and our evaluation of its ability to fulfill its role as servicer. Economic outlook Against the backdrop of relatively weak economic growth and still elevated unemployment rates by pre-crisis historical standards, we expect a somewhat weaker outlook for French asset-backed securities (ABS) collateral performance (see "Europe Is Still Holding On, Amid Negative Rates And Brexit Risk," published on April 6, 2016). In our view, unemployment is one of the key drivers of performance in portfolios of consumer assets and we adjust our credit assumptions to reflect this outlook. Credit analysis We analyzed the portfolio's historical payment and charge-off rates, as well as its yield. We set our base-case scenarios in line with our European consumer finance criteria, taking into account macroeconomic conditions and industry trends (see "European Consumer Finance Criteria," published on March 10, 2000). The portfolio's payment rate is lower than comparable U.K. assets. This would expose the transaction to losses over a longer period than similar U.K. transactions. However, under the French regulatory environment the amortization profile of revolving credits is subject to stringent rules, which allow the full repayment of the loan over a maximum period of 60 months. We have modelled an amortization period occurring over this 60-month period. French consumer assets tend to pay a lower yield, partly due to the legal cap ("taux d'usure") imposed on the rate that a lender can charge on these products. This cap may reduce the amount of excess spread available to cure losses. In addition, fees related to credit card usage (such as ATM or interchange fees) are not part of the securitization. Our cash flow assumptions reflect these portfolio characteristics. Cash flow analysis We based our cash flow and credit analysis on our European consumer finance criteria. Our analysis shows that the transaction's credit enhancement is commensurate with our preliminary 'AAA (sf)' rating on the class A notes. Once the transaction is in its accelerated period, the class S notes' subordination provides additional credit enhancement. The reserve fund provides liquidity for the rated notes. Counterparty risk Our preliminary rating on the class A notes also reflects that the documented replacement mechanisms adequately mitigate the transaction's exposure to counterparty risk. We analyzed counterparty risk by applying our current counterparty criteria (see "Counterparty Risk Framework Methodology And Assumptions," published on June 25, 2013). MAY 3,

6 Legal risk The issuer is a bankruptcy remote FCT, a special-purpose entity dedicated to securitization. We have reviewed the transaction documents and have received a legal opinion, and we have concluded that they are in line with our European legal criteria (see "Europe Asset Isolation And Special-Purpose Entity Criteria--Structured Finance," published on Sept. 13, 2013). Rating stability We have analyzed the effect of a moderate stress on the credit variables, and their ultimate effect on our preliminary rating on the class A notes (see "Scenario Analysis: Charge-Off And Payment Rate Movement May Determine Downgrades In European Credit Card Sector," published on May 12, 2009). We ran two scenarios, the results of which are in line with our credit stability criteria (see "Methodology: Credit Stability Criteria," published on May 3, 2010). Strengths, Concerns, And Mitigating Factors Strengths The preliminary portfolio is granular, comprising 521,924 consumer credit revolving agreements, with an average current receivable amount of 1,428 as of March 31, The portfolio is geographically diversified across France, with no significant concentration in any one area. At closing, all of the receivables will be current and will not have defaulted, at each purchase date. The transaction benefits from a cash reserve, which the seller will increase at closing to represent 1.5% of the class A notes' outstanding balance. Carrefour Banque is an experienced player in the revolving loan market. Concerns and mitigating factors The program revolving period could change the pool's characteristics, potentially undermining the pool's overall credit quality. The addition of new assets is subject to the transaction documents' eligibility criteria and turnover limit. Furthermore, there are performance triggers that could end the program revolving period. The portfolio tends to have a lower payment rate than U.K. assets, which would expose the transaction to losses over a longer period than similar U.K. transactions would. However, under the French regulatory environment the amortization profile of revolving credits is subject to stringent rules, which allow the full repayment of the loan over a defined maximum period. Consumer assets in France tend to pay a lower yield, partly due to the presence of a legal cap ("taux d'usure") imposed on the rate that a lender can charge on these products. This cap may reduce the amount of excess spread available to cure losses. In addition, fees related to credit card usage (such as ATM or interchange fees), are not part of the securitization. Our cash flow assumptions reflect these characteristics of the portfolio. In our view, defaults in transactions backed by revolving loans to individuals are partly determined by the economy. The French economy has deteriorated significantly and employment forecasts have worsened, both of which are key determinants of consumer loan performance. We considered these expectations in our base-case assumptions. There is servicer commingling risk for non-direct-debit payments, which a dynamically adjusted commingling reserve mitigates. The dedicated bank account arrangement mitigates servicer commingling risk related to the direct debit payments. There is currently no back-up servicer. The transaction's cash reserve fund limits the risk of cash flow disruption during the time that it would take for the issuer to find a replacement. Additionally, we modeled stressed servicer fees that we consider sufficient to attract a replacement servicer. MAY 3,

7 Transaction Structure The securitized pool consists of a portfolio of revolving loan receivables that the issuer will purchase at par value from Carrefour Banque. Every month, the issuer will purchase further receivables through: The reinvestment of collections; The issuance of further seller notes, or new notes series; or A deferred purchase price mechanism. During a program revolving period, the seller will be entitled to sell, assign, and transfer eligible receivables to the FCT. During this period, the pool characteristics could change. Certain portfolio criteria and amortization triggers within the transaction documents aim to ensure that the portfolio composition and performance remain within defined limits prior to amortization. In addition to the program revolving period, each series of notes will have a revolving period, during which the class A and B noteholders will receive interest payment in accordance with the interest priority of payments. The FCT will continue to maintain a minimum pool size (ensuring the outstanding performing balance of the receivables is at least 106% of the outstanding amount of class A and B notes) during the program revolving period and the normal amortization period. If this fails to be the case, the transaction's amortization will accelerate. During the program revolving period, the FCT may, from time to time, issue further note series, subject to certain conditions (including new rating assignments). The notes of each series and the seller's notes will be collateralized by the same portfolio of receivables, irrespective of their issue and maturity dates. During the program's revolving period and the amortization period, principal cash flow allocations will be determined by a fixed ratio, based on the notes' relative weighting in the program. The fixed allocation of principal collections during amortization will accelerate the principal repayment to the noteholders. This will reduce the period during which the noteholders are exposed to defaults, compared to a pro rata allocation. In terms of its structure, the transaction has separate interest and principal waterfalls, with a default-provisioning and a principal-borrowing mechanism. The FCT can use excess spread to cure incoming defaults on an ongoing basis. Once in the accelerated period, the issuer will repay all senior class A notes of each series pari passu and pro rata, using a combined priority of payment schedule. MAY 3,

8 Originator The securitized pool contains revolving loans, the majority of which are linked to the use of credit cards. The cards are either private cards for 5.54% of the portfolio as of March 31, 2016 (used in Carrefour stores only), or bank cards (Visa and Mastercards used in Carrefour stores and elsewhere). Each card follows the same origination and underwriting process. The underwriting process relies on the calculation of a credit score, a review of the Banque de France file for unpaid debt or checks (FICP and FCC files), and a review of the indebtedness ratio. The collection policy is handled automatically in the first delinquency phase, after which it involves personal correspondence. If the receivable remains unpaid, it is accelerated and either worked out, sold on, or indemnified by an insurer. A separate department manages the receivables subject to a Banque de France restructuring plan. We consider that the quality of the originator's policies and procedures are sufficient to support the preliminary rating that we have assigned to the notes. MAY 3,

9 Credit enhancement Credit enhancement for the senior class A notes comes from the junior class B notes' subordination, subordination of the unrated class S seller notes in an accelerated period (which rank equally with all series of class A notes during the revolving period and under normal amortization), the cash reserve, and any available excess spread. Transaction periods The transaction involves three phases: A revolving period, which will terminate if there is a revolving termination event, an accelerated amortization event, or a FCT liquidation event. The issuer can issue further seller's notes or series of notes to purchase additional receivables monthly, or to reimburse existing note series following the FCT's exercise of a call option During this phase, the minimum program size will be maintained; A normal amortization phase, during which all series of notes start amortizing and the minimum program size is maintained. In this phase, the class A and S notes amortize pro rata (if the PDL is not in debit), while the class B notes are fully subordinated. During this phase, the FCT cannot issue new series of notes; and An accelerated amortization phase, triggered if certain events occur (including the inability to maintain the minimum program size). In this phase, all of the outstanding class A notes are accelerated, and the class B and class S notes are fully subordinated to the repayment of class A notes. During this phase, the FCT cannot issue new notes and it will repay all senior class A notes of each series pari passu and pro rata, using a combined priority of payment schedule. End of revolving period events An accelerated amortization event; The principal deficiency ledger (PDL) debit balance is not cleared for the second consecutive monthly payment date; The delinquency ratio exceeds 9.0% in three consecutive months; The gross loss ratio exceeds 1.1% in three consecutive months; The reserve fund is less than the required amount; and A purchase shortfall occurs. Accelerated amortization events Any of the following events would lead to a combined payment waterfall: FCT liquidation event; Failure to pay interest due on any class A notes of any series (with a five-day grace period); The outstanding principal balance of performing receivables is below the minimum portfolio amount; The PDL debit balance is not cleared for the third consecutive monthly payment date; An interest rate swap counterparty failure to replace or to post collateral upon rating trigger; A seller event of default occurs; A servicer termination event occurs; or Carrefour Banque's failure to subscribe the class S notes. Priority Of Payments During the program revolving and amortizing periods, there will continue to be a separate interest and principal waterfall. The issuer can use principal to pay the three most senior items in the interest waterfall, which are debited MAY 3,

10 from the PDL. The FCT uses it to purchase additional receivables or to amortize existing notes. During the normal amortization phase, the FCT will pay the class A and S notes' principal pro rata (if the PDL is not in debit), while the class B notes will be fully subordinated. Table 1 Interest Waterfall During The Program Revolving Amortization And The Normal Amortization Period 1 FCT expenses. 2 Any hedging net amounts (excluding subordinated termination payments). 3 Interest on the class A and S notes, ranking equally. 4 Reserve fund replenishment up to its required documented level. 5 Cure the PDL, if any. 6 Any hedging subordinated termination payments. 7 The class B notes' interest. 8 Release excess amount, if any, to residual units. Table 2 Principal Waterfall During The Program Revolving Amortization And The Normal Amortization Period 1 Pay the first three items of the interest waterfall. 2 During the program revolving period, pay the receivables' effective purchase price to the seller (through the deferred purchase mechanism, if applicable). 3 During the program revolving period, transfer the unapplied revolving amount (i.e., the remaining cash) to the revolving account. 4 During the amortization period, pay the receivables' effective purchase price to the seller for the purchase of additional drawings ("additional transfers" only), through the deferred purchase mechanism, if applicable. 5 Pay the amortization amount of the class B notes of any given series once the class A notes of the same series have fully redeemed. 6 Release excess amount, if any, to residual units. The PDL mechanism captures: Gross defaults (accelerated loans); Loans restructured by Banque de France/overindebtedness commission; Non-restructured and non-accelerated loans where eight or more installments remain unpaid (late delinquent receivables); and The principal amounts to pay senior expenses, or interest on the class A notes. During the accelerated redemption mode, there is a single waterfall for interest and principal collections, and notes pay down sequentially (see table 3). Table 3 Combined Waterfall During The Accelerated Amortization Period 1 FCT expenses. 2 Any hedging net amounts (excluding subordinated termination payments). 3 Class A notes' interest. 4 Reserve fund replenishment up to its required level. 5 Full payment of the class A notes' outstanding principal amount. 6 The effective purchase price of additional receivables (in the context of additional transfers only) through the deferred purchase mechanism. MAY 3,

11 Table 3 Combined Waterfall During The Accelerated Amortization Period (cont.) 7 Any hedging subordinated termination payments. 8 The class B notes' interest. 9 The class B notes' principal. 10 The class S notes' principal. 11 Release excess amount, if any, to residual units. Cash reserve fund At closing, the structure will benefit from a cash reserve fund, representing 1.5% of the class A notes' outstanding principal amount. The reserve will be partly released with a floor of 0.5% of the class A notes' initial principal. Cash collection arrangements and commingling reserve On each installment due date, principal and interest due on the loans are collected from borrowers by direct debit into a French specially dedicated account. This account was opened with BNP Paribas (A/Stable/A-1) in the servicer's name, for the compartment's exclusive benefit. French law provides that amounts credited to this account will not be available to the servicer's creditors, even upon servicer insolvency. In case of prepayments and recoveries, the repayments will be paid by checks and credited to an account in the name of BNP Paribas. Therefore, there is a risk that these prepayments/recoveries could get lost if the servicer becomes insolvent. Commingling reserve To address this risk, a commingling reserve provides some cash to the structure to mitigate potential credit loss as a result of part of the borrower's payments being made by non-direct debits (recoveries, prepayments, and check payments). The commingling reserve's required documented amount will be available from closing and throughout the transaction's life. It will be held in the issuer commingling reserve account. To mitigate this risk, a commingling reserve has been set up and calibrated to pay a month's worth of non-direct-debit payments. Setoff reserve Carrefour Banque is not only a lender, but also offers savings accounts to its customers. A reserve--funded if the seller is downgraded below 'BBB' with a 'A-2' short-term rating, or 'BBB+' otherwise--mitigates setoff risk. The calculation agent dynamically adjusts this documented required setoff reserve amount during the transaction's life. Interest rate swap agreement To hedge the interest rate mismatch between the portfolio paying fixed interest rates and the senior class A notes paying a floating interest rate, the FCT will enter into an interest rate swap agreement with two different swap providers at closing. The issuer will pay a fixed rate and will receive one-month Euro Interbank Offered Rate (EURIBOR). The notional for this swap agreement will be equal to the lower of the outstanding class A notes' balance and the performing portfolio balance (multiplied by a ratio equal to the sum of the class A and B notes divided by MAY 3,

12 the sum of all of the outstanding class A and B notes). We have considered this feature in our analysis. Collateral Description Pool characteristics Table 4 Key Characteristics Of The Eligible Collateral Portfolio Number of accounts 521,924 Portfolio balance ( ) 745,256,079 Average balance ( ) 1,428 Weighted-average credit limit ( ) 4548 Weighted-average seasoning (months) 135 Weighted-average nominal interest rate (%) Breakdown of the credit limit 61.81% less than 5,000; 30.55% between 5,000 and 10,000; and 7.65% more than 10,000 Seasoning distribution 19.99% between zero years and four years; 32.35% between four years and 10 years; and 47.66% more than 10 years Instrument type distribution Main eligibility criteria 94.46% bank cards and 5.54% private cards Under the transaction documents, receivables and client accounts that the FCT purchases will have continue to satisfy the transaction's eligibility criteria below. Each receivable: Is governed by French law; Has been granted to private individuals in France, excluding the seller's employees; Constitutes the relevant borrower's legal obligations, Was originated by the seller; Is payable by direct debit (prélèvement automatique) on the initial transfer date; and Is euro-denominated and payable only in euro. Each client account: Has already resulted in the payment of at least one installment; Is unique in the seller's information systems; Has not been referred by a commission responsible for reviewing consumer debt (as far as the seller is aware); Has not been subject to a renegotiation or fraud; and Is not nonperforming, doubtful, disputed, in arrears, or in default. Credit Analysis In our credit analysis, we analyzed various stress scenarios and their effects on the transaction's cash flow under our European consumer finance criteria. The variables include the payment rate, charge-offs, and portfolio yield MAY 3,

13 Charge-off rate We have received 11 years of default data, including receivables with overdue payments of seven months, receivables that have been restructured (by Banque de France), and those that have been accelerated. Chart 2 Our base-case charge-off rate assumption is 9%. Payment rate We formed our base-case assumption using the payment rates' analysis from historical data (see chart 3). MAY 3,

14 Chart 3 The portfolio tends to exhibit a lower payment rate than U.K. assets, which would expose the transaction to losses over a longer period than similar U.K. transactions would. This can be explained by the high level of revolver (cardholders who take advantage of the revolving option by carrying over their card balances from one month to the next) in the pool and the relatively lower use of credit cards in France than in the U.K. However, under the French regulatory framework the repayment of revolving credits is subject to a maximum defined period. Our base-case payment rate assumption is 6.10%. Since closing, we revised our analysis of the payment rate base-case and stressed 'AAA' assumptions to take into account the legal restrictions on minimum contractual payment rates, following the recent implementation of the Lagarde Law. Yield The receivables consist of debt from borrowers' credit cards (without taking recoveries into account). The fees related to the credit card usage such as ATM fees or interchange fees are not part of the securitization. MAY 3,

15 Chart 4 Our base-case yield assumption is 14.50%. Cash Flow Analysis Table 5 Performance Indicators Base case scenario (%) Charge-off rate 9.00 Payment rate 6.10 Yield Table 6 Performance Indicators Stressed 'AAA' assumptions (%) Charge-off rate Payment rate 4.10 Yield MAY 3,

16 Scenario Analysis Methodology For rating credit card transactions, we have developed a scenario analysis and sensitivity-testing model framework, which attempts to demonstrate the likely impact of scenario stresses on the ratings we assign in a transaction. Essentially, we monitor credit card transactions monthly for charge-offs, payment rates, and yield. As a part of our scenario analysis and sensitivity-testing approach, we re-rated the transaction, assuming that the three key variables (charge-offs, payment rate, and yield) have deteriorated (see "Scenario Analysis: Charge-Off And Payment Rate Movement May Determine Downgrades In European Credit Card Sector," published on May 12, 2009). For the purpose of this analysis, we have included the following stress scenario in table 7 to demonstrate the rating transition of a class of notes. Table 7 Scenario Stresses Scenario 1 (relative stress to base case) Scenario 2 (relative stress to base case) Charge-off (%) Payment rate (%) (10.0) (20.0) Yield (%) (10.0) (20.0) It is worth noting that our base-case assumptions for each transaction are intended to be "best estimates" of future performance (non-stressed) for the asset portfolio. Our approach in determining these base-cases would consider historically observed performance and an expectation of potential changes in these variables during the life of the transaction. The sensitivity of rated bonds in each transaction will differ depending on these factors and on structural features of the transaction, including reliance on excess spread, payment waterfalls, and levels of credit enhancement. In the case of this transaction, we have set two separate yield base cases depending on the occurrence of an originator insolvency, and these are our "best estimates" under this binary scenario. After changing the base-case for sensitivity analysis, (see table 8), we applied our standard rating methodology that we use to rate the transaction. At the same time, we did not change our interest-rate curve. The output of the analysis shows the likely rating transition of the rated notes given the applied stresses, and the value and timing of any forecasted principal and interest shortfalls. Transaction Analysis When applying scenario stresses in the manner described above, the result of the modeling is intended to be a simulation of what could happen to the ratings on the notes for the given transaction. For the purposes of analysis of this transaction, we applied the scenarios described above in our cash flow modeling. Tables 8 and 9 show the implied base-case stresses and scenario stress results. MAY 3,

17 Table 8 Rating Variable Base-case Scenario 1 stress case Scenario 2 stress case Payment rate (%) Charge-off rate (%) Yield (%) We observe that, under this scenario, the preliminary rating on the notes could transition to the stress test ratings shown in table 9. Under our scenario 1, we would lower our rating on the class A senior notes to 'AA- (sf)' from 'AAA (sf)'. Under scenario 2, the corresponding transition would be to a 'A' rating level for the senior class A notes. Table 9 Scenario Stress Analysis Results Class Preliminary rating Scenario 1 stress test rating Scenario 2 stress test rating Senior notes AAA (sf) AA- A For our credit stability criteria analysis, due to the short-term nature of the assets, we compare scenario 1 ratings transitions with the one-year ratings transition limits in accordance with our credit stability criteria. The transitions of all of the notes are in line with those limits and, as such, do not create a cap on the maximum achievable rating on any of the notes. Key Performance Indicators We will regularly assess the following as part of our ongoing surveillance of this transaction: The performance of the underlying portfolio, including monthly payment rate, defaults and delinquencies and yield; The supporting ratings in the transaction; and The servicer's operations and its ability to maintain minimum servicing standards. Related Criteria And Research Related criteria Methodology And Assumptions For Ratings Above The Sovereign--Single-Jurisdiction Structured Finance, May 29, 2015 Criteria For Global Structured Finance Transactions Subject To A Change In Payment Priorities Or Sale Of Collateral Upon A Nonmonetary EOD, March 2, 2015 Global Framework For Assessing Operational Risk In Structured Finance Transactions, Oct. 9, 2014 Global Framework For Cash Flow Analysis Of Structured Finance Securities, Oct. 9, 2014 Europe Asset Isolation And Special-Purpose Entity Criteria--Structured Finance, Sept. 13, 2013 Counterparty Risk Framework Methodology and Assumptions, June 25, 2013 Global Derivative Agreement Criteria, June 24, 2013 Guarantee Criteria--Structured Finance, May 7, MAY 3,

18 Criteria Methodology Applied To Fees, Expenses, And Indemnifications, July 12, 2012 Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012 Methodology: Credit Stability Criteria, May 3, 2010 Understanding Standard & Poor's Rating Definitions, June 3, 2009 European Consumer Finance Criteria, March 10, 2000 Related research Europe Is Still Holding On, Amid Negative Rates And Brexit Risk, April 6, EMEA ABS Scenario And Sensitivity Analysis, Aug. 6, 2015 European Structured Finance Scenario And Sensitivity Analysis 2014: The Effects Of The Top Five Macroeconomic Factors, July 8, 2014 Global Structured Finance Scenario And Sensitivity Analysis: Understanding The Effects Of Macroeconomic Factors On Credit Quality, July 2, 2014 Scenario Analysis: Charge-Off And Payment Rate Movement May Determine Downgrades In European Credit Card Sector, May 12, 2009 Additional Contact: Structured Finance Europe; MAY 3,

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