DBRS Assigns Ratings to Fonds Commun de Titrisation Marsollier Mortgages Notes

DBRS Ratings Limited (DBRS) has today assigned ratings to the Class A, Class B, Class C, Class D and Class E notes issued under Fonds Commun de Titrisation Marsollier Mortgages (FCT Marsollier, issuer) as shown below:
• AAA (sf) rating to the Class A notes aggregating EUR41,150,944, paying a margin of 0.5% over 3 months Euribor;
• AA (sf) rating to the Class B notes aggregating EUR13,190,931, paying a margin of 0.5% over 3 months Euribor;
• A (sf) rating to the Class C notes aggregating EUR11,299,584, paying a margin of 0.5% over 3 months Euribor;
• BBB (sf) rating to the Class D notes aggregating EUR24,490,515, paying a margin of 0.5% over 3 months Euribor;
• BB (sf) rating to the Class E notes aggregating EUR15,082,278, paying a margin of 0.5% over 3 months Euribor;

The Class F and Class R notes, which are junior to the above class of notes, are not rated by DBRS.

FCT Marsollier is the first French RMBS issued by BearImmo (part of JPMorgan Dublin Bank plc). The loans in the FCT Marsollier mortgage portfolio have been provided to borrowers in the non-conforming segment of the French mortgage market. FCT Marsollier closed in April 2009 and has been restructured to exclude the existing basis swap and a liquidity facility supporting the payment of interest on the Class A, B and C notes. In order to fill the liquidity support-gap, a liquidity reserve fund of 4.5% of the collateralised notes has been added to the existing structure.

The rating is based upon review by DBRS of the following analytical considerations:

• The transaction’s capital structure and the form and sufficiency of available credit enhancement. Relevant credit enhancement is in the form of subordination and excess spread, if available. The Class A is the most senior class of notes in the structure supported by subordinated notes aggregating 71.34% of the collateralised notes. The support for Class B is 62.15%, for Class C is 54.28%, for Class D is 37.22% and for Class E is 26.71% as at the programme restructuring date. A fully funded and non-amortising liquidity reserve fund, 4.5% of the collateralised notes, supports the liquidity for senior fees and interest payments on the Class A, B and C notes; and also the interest payments on the Class D and E notes once the Class C notes has fully amortised. Additionally, the principal receipts from assets can also be used to meet senior fees and interest shortfalls on the Class A, Class B and Class C notes. The liquidity support features of the capital structure are key mitigants to the loss of revenue income to the issuer on account of high expected defaults on the FCT Marsollier mortgage portfolio.

• Under the restructuring, the structural feature of subordination of interest for Class C, Class D and Class E based on mortgage default triggers has been removed. DBRS has stressed the cash flows for all the rated class of notes for timely payment of interest.

• The basis risk exposure of the issuer is unhedged as the basis swap available since close of the transaction has been removed. DBRS has assessed the cash flows on an unhedged basis and applied interest rate stresses per its Unified Interest Rate Model (UIRM). The Issuer’s liability for the swap termination fees due to the restructuring is funded by further issuance of Class R notes (not rated by DBRS) as at the programme restructuring date.

• The principal deficiency ledger (PDL) mechanism under FCT Marsollier structure allows provisioning for defaults for 6 months plus in arrears as opposed to 36 months plus in arrears, which allows any excess spread to cure the debit balances much earlier. This structural feature is considered positive.

• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the transaction documents.

• The transaction parties’ capabilities with respect to originations, underwriting, servicing, and financial strength.

• The credit quality of the mortgages backing the notes and ability of the Servicer to perform collection activities on the mortgages.

• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

Note:
All figures are in EUR unless otherwise noted.

The principal methodologies applicable are:
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Legal Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European RMBS Servicers
• Unified Interest Rate Model Methodology for European Securitisations

These can be found on dbrs.com under Methodologies. For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”.

The sources of information used for this rating include data relating historical performance data of FCT Marsollier, performance history of publicly rated French RMBS deals. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is an existing financial instrument issued on 29 April 2009.

This is the first DBRS rating on this financial instrument.

For additional information on these ratings, please refer to the linking document.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Lead Analyst: Kali Sirugudi
Rating Committee Chair: Quincy Tang
Initial Rating Date: August 10, 2012