DBRS Confirms Ratings of DOMOS 2011, Compartment A, Class A-1 Notes, Class A-2 Notes and Compartment B, Class A Notes

DBRS Ratings Limited (DBRS) has today confirmed the following ratings of DOMOS 2011 (the Issuer):

-- Compartment A, Class A-1 Notes at AAA (sf)
-- Compartment A, Class A-2 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 of 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 2014 Payment Date for Compartment A and the October 2014 Payment Date for Compartment B.
-- 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 0.96% (Compartment A) and 0.35% (Compartment B).

Cumulative defaults (loans having more than ten outstanding and unpaid instalments) as a percentage of the original balance are currently 1.48% (Compartment A) and 1.10% (Compartment B); relatively low.

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 A-1 and A-2 is 43%, while credit enhancement for Compartment B, Class A Notes is 37%. 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 Compartment A represents 9.50% of the initial balance of the Class A-1, Class A-2 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 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 to 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 euros unless otherwise noted.

The principal methodology applicable is Master European Structured Finance Surveillance Methodology. Other methodologies and criteria referenced in this transaction are listed at the end of this press release and can be found on www.dbrs.com at http://www.dbrs.com/about/methodologies.

The sources of information used for this rating include investor reports provided by France Titrisation SAS and data from the European DataWarehouse.

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 4 March 2014, when DBRS confirmed the ratings of Class A-1 and Class A-2 Notes issued from Compartment A at AAA (sf) as well as the rating of Class A Notes issued from Compartment B at AAA (sf).

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 with 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.
-- For Compartment A, the Base Case PD and LGD of the current pool of mortgages are 9.8% and 21.6%, respectively. At the AAA (sf) rating level, the corresponding PD is 35.4%, and the LGD is 49.8%.
-- For Compartment B, the Base Case PD and LGD of the current pool of mortgages are 9.8% and 27.1%, respectively. At the AAA (sf) rating level, the corresponding PD is 35.4%, and the LGD is 52.3%.
-- 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 Compartment A, for example, if the LGD increases by 50%, the rating of both the Class A-1 Notes and the Class A-2 Notes would be expected to remain at AAA (sf), assuming no change in the PD. If the PD increases by 50%, the rating of both the Class A-1 Notes and the Class A-2 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 both the Class A-1 Notes and the Class A-2 Notes would be expected to decrease to AA (high) (sf).

Compartment A, Class A-1 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 AA (high) (sf)

Compartment A, Class A-2 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 AA (high) (sf)

Compartment B, 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 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)

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: 8 December 2012
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Quincy Tang

DBRS Ratings Limited
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Mincing Lane
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
Derivative 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