DBRS Confirms the Ratings on FCT Marsollier Mortgages Notes

DBRS Ratings Limited (“DBRS”) has reviewed FCT Marsollier Mortgages Notes (the “Issuer”) and has confirmed the following ratings:
• Class A Notes at AAA (sf);
• Class B Notes at AA (sf);
• Class C Notes at ‘A’ (sf);
• Class D Notes at BBB (sf);
• Class E Notes at BB (sf).

Confirmation of the ratings for the Class A, B, C, D and E Notes is based upon the following analytical considerations, as described more fully below:

• Portfolio performance, in terms of delinquencies and defaults, as of the June 2014 payment date.
  -Updated portfolio default rate, loss given default and expected loss assumptions for the remaining collateral pool.
• Current available credit enhancement to the Class A, B, C, D and E Notes to cover the expected losses at the respective rating levels.

FCT Marsollier Mortgages is the first French RMBS issued by BearImmo (part of JPMorgan Dublin Bank plc). The portfolio is comprised of mortgage loans granted to borrowers in the non‐conforming segment of the French mortgage market. The pool is serviced by MCS & Associes SA.

The portfolio benefits from good seasoning (5.85 years) but is concentrated in the 2007 vintage.
The 90+ delinquency ratio has been stable over the last year and reached 1.36% on the June 2014 payment date. The cumulative default ratio increased to 16.48%, up from 10.72% in June 2013, but it is still within the initial expectations for DBRS.

Credit enhancement for the rated Notes primarily consists of subordination. A non-amortising Liquidity Reserve Fund of EUR 6.47 million (currently equal to 8.33% of the rated Notes) is available to the Issuer to meet any shortfalls in payment of senior fees and/or interest on Class A, B and C Notes. After Class C Notes are paid in full, the Liquidity Reserve Fund will be available to support any shortfalls in interest payments on Class D and E Notes.

The transaction benefits from a Principal Deficiency Ledger (PDL) mechanism which allows provisioning for loans in arrears for a period greater than six months as opposed to 36 plus months in arrears which was the case prior to the restructuring which took place in August 2012. This allows any excess spread to cure the debit balance of the PDL much earlier.

BNP Paribas Securities Services, Paris is the Principal Paying Agent and Account Bank for the transaction. The private rating of BNP Paribas Securities Services, Paris is above the Minimum Institution Rating given the highest rating assigned to the rated 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 payment reports provided by France Titrisation. 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 20 August 2013, when DBRS confirmed the ratings of the Class A, B, C, D and E Notes at AAA (sf), AA (sf), ‘A’ (sf), BBB (sf) and BB (sf), respectively.

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 assets. 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 59.86% and 17.00%, respectively. At the AAA (sf) rating level, the corresponding PD is 75.53% and the LGD is 43.09%.
• 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 the Class A 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 A Notes would be expected to remain at AAA (sf), assuming no change in the LGD. Furthermore, if both PD and LGD increase by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf).

Class A 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 AAA (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of AAA (sf)

Class B Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of AA (sf)
• 50% increase in LGD, expected rating of AA (sf)
• 25% increase in PD, expected rating of AA (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 AA (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of AA (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of AA (sf)

Class C Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of ‘A’ (sf)
• 50% increase in LGD, expected rating of ‘A’ (sf)
• 25% increase in PD, expected rating of ‘A’ (sf)
• 50% increase in PD, expected rating of ‘A’ (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of ‘A’ (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of ‘A’ (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of ‘A’ (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of ‘A’ (sf)

Class D Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of BBB (sf)
• 50% increase in LGD, expected rating of BBB (sf)
• 25% increase in PD, expected rating of BB (high) (sf)
• 50% increase in PD, expected rating of CCC (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of BB (high) (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of BB (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of CCC (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of CCC (sf)

Class E Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of B (high) (sf)
• 50% increase in LGD, expected rating of CCC (sf)
• 25% increase in PD, expected rating of CCC (sf)
• 50% increase in PD, expected rating of CCC (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of CCC (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of CCC (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of CCC (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of CCC (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: Kali Sirugudi
Initial Rating Date: 13 August 2012
Initial Rating Committee Chair: Quincy Tang

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Mary Jane Potthoff

DBRS Ratings Limited
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London
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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