DBRS Assigns Provisional Ratings to Notes Issued by Noria 2018-1

DBRS Ratings Limited (DBRS) assigned provisional ratings to the Class A Notes, Class B Notes, Class C Notes, Class D Notes, Class E Notes, Class F Notes and the Class G Notes (collectively, the Notes) to be issued by Noria 2018-1 (the Issuer) as follows:

-- AAA (sf) to the Class A Notes
-- AA (sf) to the Class B Notes
-- A (sf) to the Class C Notes
-- BBB (sf) to the Class D Notes
-- BB (sf) to the Class E Notes
-- B (sf) to the Class F Notes
-- C(sf) to the Class G Notes

The rating of the Class A Notes addresses the timely payment of interest and ultimate repayment of principal by the legal final maturity date. The ratings of the Class B Notes, the Class C Notes, the Class D Notes, the Class E Notes, the Class F Notes and the Class G Notes address the ultimate payment of interest and ultimate repayment of principal by the legal final maturity date.

The ratings will be finalised upon receipt of an execution version of the governing transaction documents. To the extent that the documents and information provided to DBRS as of this date differ from the executed version of the governing transaction documents, DBRS may assign different final ratings to the Notes.

The ratings are based on a review by DBRS of the following analytical considerations:

-- Transaction capital structure, including form and sufficiency of available credit enhancement.
-- Credit enhancement levels are sufficient to support DBRS-projected expected cumulative net losses under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay the Notes according to the terms of the transaction documents.
-- BNP Paribas Personal Finance (the Seller’s) capabilities with regard to originations, underwriting, servicing and its financial strength.
-- DBRS conducted an operational risk review of the Seller and deems it to be an acceptable Servicer.
-- The transaction parties’ financial strength with regard to their respective roles.
-- The credit quality, diversification of the collateral and historical and projected performance of the Seller’s portfolio.
-- The sovereign rating of the Republic of France, currently rated AAA by DBRS.
-- The expected consistency of the transaction’s legal structure with DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology, the presence of legal opinions that are expected to address the true sale of the assets to the Issuer and non-consolidation of the Issuer with the seller.

The transaction cash flow structure was analysed with Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating 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.

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 on: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.

The sources of data and information used for this rating include data sourced from BNP Paribas Personal Finance and provided through the transaction Arranger, BNP Paribas:

-- Quarterly static default data from Q3 2004 to Q1 2018.
-- Quarterly static recovery data from Q4 2005 to Q1 2018.
-- Monthly dynamic delinquency data from January 2008 to January 2018.
-- Monthly dynamic prepayment data from January 2008 to January 2018.

DBRS was also provided with detailed stratification tables as at 31 March 2018.

DBRS did 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 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 rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

Information regarding DBRS ratings, including definitions, policies and methodologies, is available on 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:

-- Expected default of 5.9%: a 25% and 50% increase.
-- Expected loss given default (LGD) of 60%: a 25% and 50% increase.

Scenario 1: A 25% increase in the expected default.
Scenario 2: A 50% increase in the expected default.
Scenario 3: A 25% increase in the expected LGD.
Scenario 4: A 25% increase in the expected default and 25% increase in the expected LGD.
Scenario 5: A 50% increase in the expected default and 25% increase in the expected LGD.
Scenario 6: A 50% increase in the expected LGD.
Scenario 7: A 25% increase in the expected default and 50% increase in the expected LGD.
Scenario 8: A 50% increase in the expected default and 50% increase in the expected LGD.

DBRS concludes that the expected ratings under the eight stress scenarios are:
-- Class A Notes: AA (high), AA (low), AA, A (high) A, AA (low), A, BBB (high)
-- Class B Notes: A (high), A (low), A (high), A (low), BBB, A (low), BBB, BBB (low)
-- Class C Notes: BBB (high), BBB, BBB (high), BBB, BB (high), BBB, BB (high), BB (low)
-- Class D Notes: BBB, BB (high), BBB, BB (high), BB (low), BB (high), BB (low), B (high)
-- Class E Notes: BB, B (high), BB (low), B (high), B (low), B (high), B (low), CCC
-- Class F Notes: B (low), CCC, CCC, CCC, CC, CCC, CC, CC

There is no rating sensitivity conducted on the Class G Notes.

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 Chiang, Senior Vice President, Global Structured Finance
Rating Committee Chair: Christian Aufsatz, Managing Director, Head of European Structured Finance
Initial Rating Date: 25 May 2018

DBRS Ratings Limited
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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.

-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Legal Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- Derivative Criteria for European Structured Finance Transactions
-- Interest Rate Stresses 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.

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