DBRS Confirms Class A Notes Issued by Domos 2017

DBRS Ratings Limited (DBRS) confirmed its AAA (sf) rating on the Class A notes issued by Domos 2017 (the Issuer).

The confirmation follows an annual review of the transaction and is based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies and defaults as of the February 2018 payment date;
-- Probability of default rate (PD), loss given default (LGD) and expected loss assumptions for the revolving pool; and
-- Current credit enhancement (CE) available to the Class A notes to cover the expected losses at the AAA (sf) rating level.

Domos 2017 is a securitisation of French housing loans originated and serviced by BNP Paribas Personal Finance SA. The proceeds from issuing the notes have been used to fund the purchase of a portfolio of fixed-rate and variable-rate housing loans. Interest payments on the notes are currently semi-annual, and will switch to monthly when an Acceleration Event occurs. The transaction is revolving until August 2018 and the final maturity date falls on 30 March 2058.

The housing loans in the portfolio are guaranteed by either a mortgage over the relevant property or an institutional guarantee such as a Crédit Logement guarantee.

PORTFOLIO PERFORMANCE AND ASSSUMPTIONS
The asset portfolio is performing within DBRS’s expectations. As of 31 January 2018, loans more than 30 days delinquent represented 0.4% of the outstanding collateral pool balance and loans more than 90 days delinquent represented 0.2% of the outstanding pool. The cumulative default ratio represented 0.1% of the original portfolio balance including additional loans purchased during the revolving period. DBRS maintained the base case PD and LGD assumptions for the remaining collateral pool at 14.0% and 30.7%, respectively.

CREDIT ENHANCEMENT
As of the February 2018 payment date, the CE available to the Class A notes has remained at 21.9% as the transaction is revolving. The CE consists of subordination of the Class B notes as well as partial credit support provided by the General Reserve. The Class A notes benefit from a non-amortising General Reserve, currently at the target amount of 5% of the initial outstanding amount of the Class A and Class B notes, EUR 64.5 million. The reserve provides liquidity support through covering shortfalls in senior fees and interest on the Class A notes payments. The portion of General Reserve that equals to the difference between the required balance and the minimum balance provides credit support and forms part of principal proceeds upon the occurrence of an Accelerated Redemption Event.

BNP Paribas Securities Services S.C.A. (BNPSS) acts as the Account Bank to this transaction. The DBRS private rating of BNPSS complies 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 (BNPPF) acts as the Swap Counterparty to the transaction. The DBRS private rating of BNPPF meets the first rating threshold as described in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology, given the rating assigned to the Class A notes.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating 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.

An asset and a cash flow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents.

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

Other methodologies referenced in the transaction are listed at the end of this press release. These 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 “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.

The sources of data and information used for this rating action include the investor reports provided by France Titrisation, the management company, and the loan-by-loan data obtained from European DataWarehouse GmbH.

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

At the time of the initial rating, DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the data and information available to it for the purposes of providing this rating to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

This is the first rating action since the Initial Rating Date.

The lead analyst responsibilities for this transaction have been transferred to Kevin Ma.

Information regarding DBRS ratings, including definitions, policies and methodologies, is available at www.dbrs.com.

To assess the impact of 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 PD and LGD for the revolving collateral pool based on a review of the current assets and the transaction’s eligibility criteria. 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 assumptions for the remaining collateral pool are 14.0% and 30.7%, respectively. At the AAA (sf) rating level, the corresponding PD is 44.3% and the LGD is 48.9%.

-- 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 on the Class A notes would be expected to be at AA (sf), assuming no change in the PD. If the PD increases by 50%, the rating on the Class A notes would be expected to be at A (high) (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating on the Class A notes would be expected to be at BBB (sf).

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 A (high) (sf).
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf).
-- 25% increase in PD and 50% increase in LGD, expected rating of A (low) (sf).
-- 50% increase in PD and 25% increase in LGD, expected rating of A (low) (sf).
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (sf).

For further information on DBRS historical default rates published by the European Securities and Markets Authority (“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 and US regulations only.

Lead Analyst: Kevin Ma, Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 8 March 2017

DBRS Ratings Limited
20 Fenchurch Street, 31st Floor,
London EC3M 3BY
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
-- Derivative Criteria for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Originators
-- Operational Risk Assessment for European Structured Finance Servicers
-- Interest Rate Stresses for European Structured Finance Transactions
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda

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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.