DBRS Assigns Rating of AAA (sf) to Noria 2015 Class A

DBRS Ratings Limited (DBRS) has today assigned a rating of AAA (sf) to the Class A Notes (collectively with the unrated Class B Notes, the Notes) issued by Noria 2015 (the Issuer).

The Notes are backed by a revolving pool of receivables from personal loans and equipment sale loans granted to individuals residing in France, originated and serviced by BNP Paribas Personal Finance, which is owned by BNP Paribas S.A.

The rating is based on the considerations listed below:

-- The sufficiency of available credit enhancement in the form of subordination (20%) and 1.5% general reserve fund, in addition to excess spread.
-- The ability of the transaction’s structure and triggers to withstand stressed cash flow assumptions and repay the Notes according to the terms of the transaction documents.
-- BNP Paribas Personal Finance’s capabilities with respect to originations, underwriting and servicing.
-- The legal structure and presence of legal opinions addressing the assignment of the assets to the Issuer and the consistency with DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

The transaction was modelled in Intex Dealmaker and the default rates at which the rated notes did not return all specified cash flows in a timely manner were determined.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is: Rating European Consumer and Commercial Asset-Backed Securitisations.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.
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 the DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro
Area” found at http://www.dbrs.com/research/239786.

The sources of information used for this rating include performance and portfolio data relating to the loans originated by BNP Paribas Personal Finance. DBRS received historical performance default and recovery data relating to its originations by quarterly vintage on a cumulative basis from Q4 2005 to Q3 2015. Data was also provided relating to dynamic prepayments from January 2005 to August 2015. In addition, DBRS received stratification tables related to the provisional collateral portfolio that allowed DBRS to further assess the portfolio.

DBRS does not rely upon third-party due diligence in order to conduct its analysis.

DBRS was 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.

This rating concerns newly issued financial instruments. This is the first DBRS rating on these financial instruments.

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

To assess the impact of changing the transaction parameters on the ratings, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the Base Case):

-- Probability of default (PD): base case of 6.2%, a 25% and 50% increase on the Base Case PD.
-- Loss given default (LGD): base case of 75%, increase to 85% and 95%.

DBRS concludes that for the Class A Notes:
-- A hypothetical LGD of 85%, ceteris paribus, would result in a downgrade of the rating of the Class A Notes to AA (high) (sf).
-- A hypothetical LGD of 95%, ceteris paribus, would result in a downgrade of the rating of the Class A Notes to AA (high) (sf).
-- A hypothetical increase of the Base Case PD by 25%, ceteris paribus, would result in a downgrade of the rating of the Class A Notes to AA (high) (sf).
-- A hypothetical increase of the Base Case PD by 50%, ceteris paribus, would result in a downgrade of the rating of the Class A Notes to AA (sf).
-- A hypothetical increase of the Base Case PD by 25% and a hypothetical LGD of 85%, ceteris paribus, would result in a downgrade of the Class A Notes to AA (sf).
-- A hypothetical increase of the Base Case PD by 50% and a hypothetical LGD of 85%, ceteris paribus, would result in a downgrade of the Class A Notes to AA (low) (sf).
-- A hypothetical increase of the Base Case PD by 25% and a hypothetical LGD of 95%, ceteris paribus, would result in a downgrade of the Class A Notes to A (high) (sf).
-- A hypothetical increase of the Base Case PD by 50% and a hypothetical LGD of 95%, ceteris paribus, would result in a downgrade of the Class A Notes to 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: Kevin Chiang
Initial Rating Date: [8] December 2015
Initial Rating Committee Chair: Chuck Weilamann

DBRS Ratings Limited
1 Minster Court, 10th Floor Mincing Lane, London EC3R 7AA
United Kingdom
Registered in England and Wales: No. 7139960

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.
-- Operational Risk Assessment for European Structured Finance Servicers.
-- Unified Interest Rate Model for European Securitisations.
-- Rating European Consumer and Commercial Asset-Backed Securitisations.

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