DBRS Confirms Rating on Class A Notes Issued by NORIA 2009 Compartment NORIA 2009-A at AAA (sf)

DBRS Ratings Limited (DBRS) has today confirmed its AAA (sf) rating on the €1,314,600 Class A Notes issued by NORIA 2009 Compartment NORIA 2009-A (the Issuer).

The confirmation of the rating on the Class A Notes is based upon the following analytical considerations:
-- Portfolio Performance, in terms of delinquencies and defaults, as of June 2015.
-- 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 sufficient to cover expected losses in line with a AAA (sf) rating level.

The Issuer is a bankruptcy-remote multi-compartment French securitisation fund compartment jointly established by France Titrisation and BNP Paribas SA. The Notes are backed by a portfolio of unsecured personal loans and equipment sale loans originated in France by BNP Paribas Personal Finance, a French subsidiary of BNP Paribas.

The transaction closed in October 2009 and was restructured in July 2013. The transaction had a revolving period that ended as of the May 2015 payment date.

As of the June 2015, one- to two-month delinquencies and two- to three-month delinquencies were at 0.50% and 0.68% of the collateral balance, respectively, while greater than three-month delinquencies were at 0.44%. The cumulative gross default ratio was at 1.80% of the aggregated collateral balance, with cumulative recoveries of 14.06%.

Credit enhancement for the Class A Notes is provided by the subordination of Class B Notes and the Reserve Fund. Current credit enhancement of the Class A Notes is equal to 23.13%.

The Reserve Fund Required Amount is 2.0% of the total Initial Principal Amount of the Notes and will only amortise during the Accelerated Redemption Period to a target amount of 1.5% of the Principal Amount Outstanding of the Notes. Since closing, it has been always at the required level of €33.334 million.

BNP Paribas Securities Services acts as the Account Bank, and BNP Paribas SA acts as the Specially Dedicated Account Bank for this transaction. The DBRS private rating of BNP Paribas Securities Services and the DBRS rating of BNP Paribas SA at AA (Under Review Negative) comply with the Minimum Institution Rating given the rating assigned to the Class A Notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

BNP Paribas Personal Finance and BNP Paribas SA are the Counterparty and the Guarantor, respectively, of both the Interest Rate Swap and the Cash Swap agreements. The DBRS private rating of BNP Paribas Personal Finance and the DBRS Rating of BNP Paribas SA comply with the First Rating Threshold defined in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is “Master European Structured Finance Surveillance Methodology”.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

A review of the transaction legal documents was not conducted, as the documents have remained unchanged since the most recent rating action.

Other methodologies referenced in this transaction are listed at the end of this press release. This may be found on www.dbrs.com at http://www.dbrs.com/about/methodologies.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to DBRS’s “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary 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 does not rely upon third-party due diligence in order to conduct its analysis.

DBRS was not supplied with third-party assessments; however, this did not impact the rating analysis.

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 August 2014, when DBRS confirmed the rating assigned to Class A Notes 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 transaction parameters on the rating, DBRS considered the following stress scenarios compared with 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 portfolio 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 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 assumptions. For example, if the LGD increases by 50%, the rating for the Class A notes would be expected to fall to AA (high) (sf), all else being equal. If the PD increases by 50%, the rating for the Class A notes would be expected to fall to AA (high) (sf), all else being equal. Furthermore, if both the PD and LGD increase by 50%, the rating for the Class A notes would be expected to fall to AA (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 (high) (sf)
-- 25% 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 (sf)
-- 50% increase in PD, expected rating of AA (high) (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 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: Bruno Franco
Initial Rating Date: 25 July 2013
Initial Rating Committee Chair: Chuck Weilamann

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Chuck Weilamann

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The rating methodologies 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
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Unified Interest Rate Model for European Securitisations
-- Derivative Criteria for European Structured Finance Transactions

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at http://www.dbrs.com/research/278375.