Morningstar DBRS Assigns Provisional Credit Ratings to Noria 2025
Consumer Loans & Credit CardsDBRS Ratings GmbH (Morningstar DBRS) assigned provisional credit ratings to the following notes (the Rated Notes) to be issued by Noria 2025 (the Issuer):
-- Class A Notes at (P) AAA (sf)
-- Class B Notes at (P) AA (high) (sf)
-- Class C Notes at (P) AA (low) (sf)
-- Class D Notes at (P) A (low) (sf)
-- Class E Notes at (P) BBB (low) (sf)
-- Class F Notes at (P) BB (sf)
Morningstar DBRS did not rate the Class G Notes (collectively with the Rated Notes, the Notes) also expected to be issued in the transaction.
The credit ratings of the Class A, Class B, and Class C Notes address the timely payment of scheduled interest and the ultimate repayment of principal by the final maturity date. The credit ratings of the Class D, Class E, and Class F Notes address the ultimate payment of interest (timely when most senior) and the ultimate repayment of principal by the final maturity date.
The transaction is a securitisation of a portfolio of fixed-rate, unsecured, amortising personal loans, debt consolidation loans, and sales finance loans granted to private individuals domiciled in France by BNP Paribas Personal Finance, which is part of the BNP Paribas Group. BNP Paribas Personal Finance is also the seller and the initial servicer of the transaction, which has no exposure to balloon payments or residual value.
CREDIT RATING RATIONALE
Morningstar DBRS' credit ratings are based on the following analytical considerations:
-- The transaction's structure, including the form and sufficiency of available credit enhancement to withstand stressed cash flow assumptions and repay the Issuer's financial obligations according to the terms under which the Rated Notes are issued
-- The credit quality and diversification of the collateral portfolio, its historical performance, and the projected performance under various stress scenarios
-- The operational risk review of the seller's capabilities with regard to its originations, underwriting servicing, and financial strength
-- The transaction parties' financial strength with regard to their respective roles
-- The expected consistency of the transaction's structure with Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology
-- Morningstar DBRS' long-term sovereign credit rating on the Republic of France, currently at AA (high) with a Negative trend
TRANSACTION STRUCTURE
The transaction includes a [12]-month scheduled revolving period, during which the Issuer is able to purchase additional loan receivables, subject to the eligibility criteria and concentration limits set out in the transaction documents. The revolving period may end earlier than scheduled if certain events occur such as the insolvency of the seller, replacement of the servicer, or the breach of performance triggers.
The transaction allocates collections in separate interest and principal priorities of payments and benefits from an amortising liquidity reserve equal to [1.5]% of the Rated Notes' outstanding balance, subject to a floor of EUR [] until the full redemption of the Class F Notes. The liquidity reserve will be initially funded by the seller. Before the application of the liquidity reserve, principal funds will be reallocated to cover shortfalls in senior expenses; senior swap payments; interest on the Class A Notes; and, if not deferred, interest on the Class B, Class C, Class D, Class E, and Class F Notes. The liquidity reserve is available to cover the remaining shortfalls if the interest and principal collections are not sufficient and would be replenished in the interest waterfall.
After the end of the revolving period, the repayment of the Notes will be on a pro rata basis until the occurrence of a sequential redemption event, such as the debit amount in the transaction's principal deficiency ledger exceeding 0.75% or the cumulative defaulted purchased receivables ratios exceeding pre-determined thresholds, after which the repayment will switch to be sequential and non-reversible.
A commingling reserve will also be funded and available to the Issuer if the credit rating of the specially dedicated account bank is below the required threshold, there is a breach of its material obligations or an insolvency and regulatory event. The required amount is equal to the sum of [2.5]% of the performing receivables and [0.6]% of the outstanding principal balance of the initial receivables.
Morningstar DBRS considers the interest rate risk for the transaction to be limited as an interest rate swap is in place to reduce the mismatch between the fixed-rate collateral and the Notes.
TRANSACTION COUNTERPARTIES
BNP Paribas (acting through its Securities Services department) is the account bank for the transaction. Based on Morningstar DBRS' Long-Term Issuer Rating of AA (low) on BNP Paribas, the downgrade provisions outlined in the transaction documents, and other mitigating factors in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit ratings assigned.
The seller, BNP Paribas Personal Finance, is also the swap counterparty for the transaction. Morningstar DBRS privately rates BNP Paribas Personal Finance, which meets the criteria to act in such capacity. The transaction documents contain downgrade provisions largely consistent with Morningstar DBRS' criteria, and the transaction will be monitored based on Morningstar DBRS' credit ratings of its patent, BNP Paribas or BNP Paribas Personal Finance itself, depending on the ownership.
PORTFOLIO ASSUMPTIONS
Morningstar DBRS notes the seller has a long history of consumer lending in France and considers its loan performance data to be meaningful for vintage analysis. As the data show noticeably different default and recovery performance by loan type, Morningstar DBRS established expected default and recovery assumptions for each loan type and constructed a portfolio-level lifetime expected default and expected recovery of 4.6% and 40.1%, respectively, based on the possible portfolio migration during the scheduled revolving period.
Morningstar DBRS' credit ratings on the Rated Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each class of the Rated Notes are the related are the related interest amounts and principal amounts.
Morningstar DBRS' credit ratings do not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations.
Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.
ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.
A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings at https://dbrs.morningstar.com/research/454196.
Morningstar DBRS analysed the transaction structure in Intex DealMaker.
Notes:
All figures are in euros unless otherwise noted.
The principal methodology applicable to the credit ratings is Rating European Consumer and Commercial Asset-Backed Securitisations (18 September 2024), https://dbrs.morningstar.com/research/439583.
Other methodologies referenced in this transaction are listed at the end of this press release.
Morningstar 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 considers potential portfolio migration based on the replenishment criteria set forth in the transaction legal documents.
For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at https://dbrs.morningstar.com/research/436000.
The sources of data and information used for these credit ratings include the following historical data that the seller provided directly or through the arranger, BNP Paribas.
Morningstar DBRS received the following data:
-- Quarterly default vintage analysis from Q1 2015 to Q1 2025
-- Quarterly recovery vintage analysis from Q1 2015 to Q1 2025
-- Dynamic monthly prepayment analysis from January 2015 to March 2025
-- Dynamic monthly delinquency data from January 2015 to March 2025
-- Stratification tables and the related contractual amortisation schedule of the collateral pool as of 31 May 2025
Morningstar DBRS did not rely upon third-party due diligence in order to conduct its analysis.
Morningstar DBRS was supplied with third-party assessments. However, this did not affect the credit rating analysis.
Morningstar DBRS considers the data and information available to it for the purposes of providing these credit ratings to be of satisfactory quality.
Morningstar DBRS does not audit or independently verify the data or information it receives in connection with the credit rating process.
A provisional credit rating is not a final credit rating with respect to the above-mentioned securities and may change or be different than the final credit ratings assigned or may be discontinued. The assignment of final credit ratings on the above-mentioned securities is subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalise the credit ratings.
These credit ratings concern expected-to-be-issued new financial instruments. These are the first Morningstar DBRS credit ratings on these financial instruments.
Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available at https://dbrs.morningstar.com.
Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit ratings, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit ratings:
-- Expected default of 4.6%
-- Expected recovery of 40.1% or a loss given default (LGD) of 59.9%
Scenario 1: 25% increase in the expected default
Scenario 2: 50% increase in the expected default
Scenario 3: 25% increase in the expected LGD
Scenario 4: 50% increase in the expected LGD
Scenario 5: 25% increase in the expected default and 25% increase in the expected LGD
Scenario 6: 25% increase in the expected default and 50% increase in the expected LGD
Scenario 7: 50% increase in the expected default and 25% increase in the expected LGD
Scenario 8: 50% increase in both expected default and expected LGD
Morningstar DBRS concludes that the expected credit ratings under the eight stress scenarios are as follows:
-- Class A Notes: AA (high) (sf), AA (sf), AAA (sf), AA (sf), AA (low) (sf), AA (high) (sf), AA (sf), A (high) (sf)
-- Class B Notes: AA (sf), A (high) (sf), AA (sf), AA (low) (sf), A (sf), AA (sf), A (high) (sf), A low) (sf)
-- Class C Notes: A (sf), BBB (high) (sf), A (high) (sf), A (low) (sf), BBB (high) (sf), A (low) (sf), BBB (sf), BBB (low) (sf)
-- Class D Notes: BBB (sf), BBB (low) (sf), BBB (sf), BB (high) (sf), BB (high) (sf), BB (high) (sf), BB (high) (sf), BB (sf)
-- Class E Notes: BB (high) (sf), BB (sf), BB (high) (sf), BB (sf), B (high) (sf), BB (sf), B (high) (sf), B (low) (sf)
-- Class F Notes: BB (sf), B (high) (sf), below B (low) (sf), B (sf), B (low) (sf), below B (low) (sf), B (low) (sf), below B (low) (sf)
For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.
These credit ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.
Lead Analyst: Kevin Chiang, Senior Vice President
Credit Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Credit Rating Date: 3 July 2025
DBRS Ratings GmbH
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D-60311 Frankfurt am Main
Tel. +49 (69) 8088 3500
Geschäftsführung: Detlef Scholz, Marta Zurita Bermejo
Amtsgericht Frankfurt am Main, HRB 110259
The credit rating methodologies used in the analysis of this transaction can be found at https://dbrs.morningstar.com/about/methodologies.
-- Rating European Consumer and Commercial Asset-Backed Securitisations (18 September 2024), https://dbrs.morningstar.com/research/439583
-- Rating European Structured Finance Transactions Methodology (17 June 2025), https://dbrs.morningstar.com/research/456339
-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024), https://dbrs.morningstar.com/research/443196
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024), https://dbrs.morningstar.com/research/439571
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024), https://dbrs.morningstar.com/research/439913
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (16 May 2025), https://dbrs.morningstar.com/research/454196
A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at https://dbrs.morningstar.com/research/439604.
For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.
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