DBRS Confirms NORIA 2009 Compartment NORIA 2009-A

DBRS Ratings Limited (“DBRS”) has reviewed the Compartment “NORIA 2009-A” Notes issued by the FCT NORIA 2009 (the “Issuer”) and confirmed the ratings of the Class A Notes at AAA (sf).

The confirmation of the ratings for the Class A Notes is based upon the following analytical consideration, as described more fully below:

• Portfolio performance, in terms of level of delinquencies and defaults, as of 24 June 2014 payment date.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
• Current available credit enhancement to the Class A Notes to cover expected losses assumed in line with a AAA (sf) rating level.

Compartment NORIA 2009-A is a securitisation of a pool of unsecured loans receivables related to personal and equipment sales loans originated in France by BNP Paribas Personal Finance, a French subsidiary of BNP Paribas. The transaction closed in October 2009 and was further amended in July 2013. The transaction has a two years revolving period scheduled to end in May 2015 payment date.

As of the 24 June 2014 payment date, the below 90 days delinquency ratio was 4.95% and the 90+ ratio was 0.69%. The cumulative gross default ratio was at 0.72% of the aggregated collateral balance with a recovery rate of 27.75% up to date.

Credit enhancement to the Class A Notes stems from the subordination of the Class B Notes and a Cash Reserve Fund. As the transaction is still in revolving period, Credit enhancement to the Class A Notes remains equal to 23.10%.

The required amount of the Cash Reserve Fund has been set at 2% of the original balance of the notes. The reserve will not be allowed to amortise unless an Accelerated Amortisation Event occurs. In this case, the reserve will be allowed to amortise down to 1.5% of the outstanding notes balance. As of June 2014 payment date, the reserve is at its target level and stands at EUR 33.3 million.

BNP Paribas Securities Services SA holds the Treasury Account for the transaction. The DBRS private rating of BNP Paribas Securities Services SA complies with the threshold for the Account Bank 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 EUR unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology. 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 monthly investor reports provided by BNP Paribas Personal Finance (the “Servicer”). 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 25 July 2013, when DBRS assigned the ratings to AAA (sf) of the Class A 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 Base Case Probability of Default (PD) and Loss Given Default (LGD) for the pool based on a review of the transaction performance. 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 receivables are 5.58% and 77.93%, respectively.
• The Risk Sensitivity overview below illustrates the ratings expected for the Class A Notes if the PD and LGD increase by a certain percentage over the Base Case assumption. For example, if the LGD increase by 50% the rating for the Class A Notes would be expected to decrease at AA (sf), all else being equal. If the PD increases by 50% the rating for the Class A Notes would be expected to decrease to AA (sf), all else being equal. If both the LGD and PD increase by 50%, the rating of the Class A Notes would be expected to decrease to A (low) (sf), all else being equal.

Class A Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of AA (high) (sf)
• 50% increase in LGD, expected rating of AA (sf)
• 25% increase in PD, expected rating of AA (high) (sf)
• 50% increase in PD, expected rating of AA (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of AA (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of A (low) (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: Bruno Franco
Initial Rating Date: 25 July 2013
Initial Rating Committee Chair: Chuck Weilamann

Lead Surveillance Analyst: Dylan Cissou
Rating Committee Chair: Chuck Weilamann

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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.
• Unified Interest Rate Model for European Securitisations.
• Rating European Consumer and Commercial Asset-Backed Securitisations.
• Derivative Criteria for European Structured Finance Transactions.