DBRS Confirms Ratings to DOMOS 2011, Compartment A – Class A1 Notes, Class A2 Notes and Compartment B – Class A Notes

DBRS Ratings Limited (“DBRS”) has reviewed DOMOS 2011 (the “Issuer”) and confirms the following ratings:
• Compartment A, Class A1 Notes at AAA (sf)
• Compartment A, Class A2 Notes at AAA (sf)
• Compartment B, Class A Notes at AAA (sf)

DOMOS 2011 is a French securitisation of mortgages originated and serviced by BNP PARIBAS Personal Finance (“BNP PF”). The transaction is separated into two Compartments (A and B) under French securitisation law. Each Compartment is backed by a separate portfolio of French residential housing loans and has separate waterfalls. Loans in Compartment A were originated through retail branches and have a term to maturity greater than 20 years (as of the closing date). Loans in Compartment B were originated through retail branches or brokers with a term to maturity less than 20 years (as of the closing date). The transaction originally closed in October 2012 with BNP Paribas Securities Services SA also serving as holder of the Treasury Account.

Confirmation of the ratings for each class of Notes is based upon the following analytical consideration:

• Portfolio performance, in terms of defaults and level of delinquencies, as of the September 2013 Payment Date.
• Updated Portfolio Default Rate, Loss Given Default and Expected Loss for the remaining collateral pool.
• Current available credit enhancement to each class of Notes to cover the Expected Losses at the ‘AAA’ (sf) rating level.

The current 90+ delinquency ratio as a percentage of the performing balance of the portfolio has been low since the close of the transaction. Current values for each Compartment are 0.86% (Compartment A) and 0.84% (Compartment B).
Cumulative defaults (loans having more than 10 outstanding and unpaid instalments) as a percentage of the original balance are currently 0.75% (Compartment A) and 0.09% (Compartment B); relatively low given the seasoning of the portfolio.
Credit enhancement to the rated Notes is provided by subordination of a Class B Note and a Cash Reserve Fund for each Compartment. Current credit enhancements as a percentage of the performing balance of the portfolio for the Compartment A, Class A1 and A2 is 37.03%, while credit enhancement for Compartment B, Class A Notes is 32.33%. The Cash Reserve Fund required amount for each Compartment is calculated based on the initial balance of the notes and can only be reduced during an accelerated redemption period. Each Cash Reserve Fund is available to cover losses and interest shortfalls to the respective Class A Notes. The required amount for the Compartment A represents 9.50% of the initial balance of the Class A1, Class A2 and Class B Notes. The required amount for Compartment B represents 8.00% of the Class A and Class B Notes. The relevant values at the last monthly payment date (February 2014) was EUR 88.825 million (Compartment A) and EUR 88 million (Compartment B).

BNP Paribas Securities Services SA is the Treasury Account Bank for the transaction. The DBRS private ratings of BNP Paribas Securities Services SA is above the Minimum Institution Rating given the rating assigned to the Class A Notes, as described in the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in Euro unless otherwise noted.

The principal methodology applicable is the Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/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” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include investor reports provided by BNP Paribas Personal Finance and data from the European Data Warehouse. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 23 January 2013, when DBRS confirmed the rating of ‘AAA’ (sf) to each class of Notes.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):
• DBRS expected a lifetime base case Probability of Default (PD) and Loss Given Default (LGD) for the pool based on a review of the current receivables. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
• The base case PD and LGD of the current pool of mortgages for the Issuer are 12.20% and 26.88%, respectively for the Compartment A and 11.03% and 31.09%, respectively for the Compartment B. The corresponding levels at the ‘AAA’ (sf) rating level are 40.59% and 54.50% for the Compartment A and 38.15% and 56.21% for the Compartment B.
• The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating of Compartment A - Class A1 Notes would be expected to remain at ‘AAA’ (sf), assuming no change in the PD. If the PD increases by 50%, the rating for the Class A1 Notes would be expected to remain to ‘AAA’ (sf), assuming no change in the LGD. Furthermore, if both PD and LGD increase by 50%, the rating would be expected to decrease to ‘AA (low)’ (sf).

Compartment A - Class A1 and Class A2 Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of ‘AAA’ (sf)
• 50% increase in LGD, expected rating of ‘AAA’ (sf)
• 25% increase in PD, expected rating of ‘AAA’ (sf)
• 50% increase in PD, expected rating of ‘AAA’ (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of ‘AAA’ (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of ‘AA (high)’ (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of ‘AA (high)’ (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of ‘AA (low)’ (sf)

Compartment B - Class A Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of ‘AAA’ (sf)
• 50% increase in LGD, expected rating of ‘AA (high)’ (sf)
• 25% increase in PD, expected rating of ‘AAA’ (sf)
• 50% increase in PD, expected rating of ‘AA (high)’ (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of ‘AA (high)’ (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of ‘AA (low)’ (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of ‘AA (low)’ (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of ‘A’ (sf)

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

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

Initial Lead Analyst: Keith Gorman
Initial Rating Date: 20 January 2012
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: 23 January 2013

Lead Surveillance Analyst: Dylan Cissou
Rating Committee Chair: Quincy Tang

DBRS Ratings Limited
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London
EC3R 7AA
United Kingdom

Registered in England and Wales: No. 7139960

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

• Legal Criteria for European Structured Finance Transactions
• Master European Structured Finance Surveillance Methodology
• Operational Risk Assessment for European Structured Finance Servicers
• Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
• Unified Interest Rate Model for European Securitisations