Press Release

DBRS Rates DOMOS 2011

RMBS
January 20, 2012

DBRS, Inc (“DBRS”) has today assigned the following ratings to classes of notes issued by DOMOS 2011:
• €620,300,000 Compartment A, Class A-1 rated at AAA (sf)
• €95,000,000 Compartment A, Class A-2 rated at AAA (sf)
• €899,800,000 Compartment B, Class A rated at AAA (sf)

DOMOS 2011 is a French compartmentalised securitisation fund jointly established by France Titrisation (the Management Company) and BNP PARIBAS (the Custodian). The fund is comprised of two Compartments (“A” and “B”), each with a separate group of notes issued to fund the purchase two separate portfolios of French residential housing loans originated and serviced by BNP Paribas Personal Finance.

The ratings are based upon DBRS review of the following analytical considerations for each Compartment:
•Transaction capital structure and form and sufficiency of available credit enhancement.
•Relevant credit enhancement is in the form of excess spread, subordinate notes and cash reserve fund.
•The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to terms in which they have invested.
•The transaction parties’ capabilities with respect to originations, underwriting, servicing, and financial strength.
•The credit quality of the collateral and ability of the servicer to perform collection activities on the collateral.
•A review of the legal structure and opinions.

DBRS credit analysis is performed on a loan-level basis and includes a probability of default and loss given default assessment, an originator- and servicer-specific historical performance review, a French housing market and property price trend evaluation, and finally a cash flow simulation based on various stresses to prepayments, timing of defaults and recoveries and interest rates.

Note:
All figures are in Euros unless otherwise noted.

The applicable methodologies are Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda, Legal Criteria for European Structured Finance Transactions, Operational Risk Assessment for European RMBS Servicers, Swap Criteria for European Structured Finance Transactions and Unified Interest Rate Model for European Securitisations.

The sources of information used for this rating include loan level data for the loan portfolios from BNP PARIBAS; data regarding historical performance and repossession data from BNP PARIBAS; and, economic and French home price data from National Institute for Statistics and Economic Studies (INSEE). DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is the first DBRS rating on these financial instruments.

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link or by contacting us at info@dbrs.com.

This credit has been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU.

For additional information on this rating, please refer to the linking document.

Ratings

DOMOS 2011-A
  • Date Issued:Jan 20, 2012
  • Rating Action:New Rating
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:UK
  • Date Issued:Jan 20, 2012
  • Rating Action:New Rating
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:UK
DOMOS 2011-B
  • Date Issued:Jan 20, 2012
  • Rating Action:New Rating
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:UK
  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

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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