DBRS Confirms DOMOS 2011-A and DOMOS 2011-B at AAA (sf)

DBRS Ratings Limited (DBRS) has today confirmed the Class A-1 and Class A-2 ratings of DOMOS 2011-A (DOMOS A or Compartment A) and Class A rating of DOMOS 2011-B (DOMOS B or Compartment B) at AAA (sf).

The rating actions are based on the following analytical considerations, which are described more fully below:
-- Portfolio performance in terms of delinquencies and defaults.
-- Portfolio probability of default (PD) rate, loss given default (LGD) and expected loss assumptions for the remaining collateral pool.
-- Current credit enhancement (CE) available to the rated notes to cover the expected losses at their respective rating levels.

DOMOS 2011 is a French securitisation of mortgages originated and serviced by BNP Paribas Personal Finance (BNP PF). The transaction is separated into Compartment A and Compartment B under French securitisation law. Compartment A and Compartment B are backed by a separate portfolio of French residential housing loans, and each has a separate waterfall. Loans in Compartment A were originated through retail branches and have a term to maturity greater than 20 years (as of the closing date). Loans in Compartment B were originated through retail branches or brokers with a term to maturity of less than 20 years (as of the closing date). The transaction originally closed in October 2011 and went through restructuring in July 2015. The restructuring reduced the reserve funds and increased the note sizes.

The asset portfolios for both DOMOS A and DOMOS B are performing within DBRS’s expectations. For DOMOS A, as of 31 March 2016, loans more than 90 days delinquent as a percentage of the outstanding collateral pool balance were at 0.75% and loans more than 30 days delinquent were at 3.66%. For DOMOS B, as of 29 February 2016, loans more than 90 days delinquent were at 0.17% and loans more than 30 days delinquent were at 1.69%. The cumulative default ratios are 2.08% and 1.43% for DOMOS A and DOMOS B, respectively. DBRS has maintained the Base Case PD and LGD assumptions for the remaining collateral pool at 9.41% and 23.87%, respectively, for DOMOS A and 9.18% and 27.95%, respectively, for DOMOS B.

The CE to all rated notes of DOMOS 2011 has increased as both Compartment A and Compartment B continue to deleverage since the restructuring. For Class A-1 and Class A-2 in DOMOS A, the available CE, as of 25 April 2016, was 59.82%. For Class A in DOMOS B, the available CE, as of 29 March 2016, was 26.99%. The sources of CE in both Compartment A and Compartment B are the subordination of the Class B notes and the reserve funds currently at their target amounts.

BNP Paribas Securities Services is the account bank to both Compartment A and Compartment B, and its current DBRS private rating meets the minimum institution rating criteria given the ratings assigned to the notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

BNP PF is the swap counterparty to both transactions. The DBRS private rating on BNP PF meets the swap counterparty rating requirement given the ratings assigned to the notes, as described 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 the “Master European Structured Finance Surveillance Methodology,” which can be found on www.dbrs.com at http://www.dbrs.com/about/methodologies.

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. 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 DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” found at http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

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

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 27 July 2015, when DBRS confirmed the AAA (sf) rating on Class A-1 and Class A-2 of DOMOS A and Class A of DOMOS B. The lead responsibilities for this transaction have been transferred to Kevin Ma.

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 (the Base Case):
-- DBRS expected a Base Case PD and LGD for the remaining collateral pool 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 assumptions for DOMOS A’s remaining collateral pool are 9.41% and 23.87%, respectively. At the AAA (sf) rating level, the corresponding PD is 34.55% and the LGD is 51.56%.
-- The Base Case PD and LGD assumptions for DOMOS B’s remaining collateral pool are 9.18% and 27.95%, respectively. At the AAA (sf) rating level, the corresponding PD is 34.03% and the LGD is 53.51%.

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 DOMOS A Class A-1 would be expected to be at AAA (sf), assuming no change in the PD. If the PD increases by 50%, the rating on DOMOS A Class A-1 would be expected to be at AAA (sf), assuming no change in the LGD. Furthermore, if both the PD and the LGD increase by 50%, the rating on DOMOS A Class A-1 would be expected to be at AA (high) (sf).

DOMOS A Class A-1 Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)

DOMOS A Class A-2 Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% 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 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)

DOMOS B Class A 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 AA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (high) (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 regulations only.

Initial Lead Analyst: Keith Gorman
Initial Rating Date: 20 January 2012
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Kevin Ma, Assistant Vice President
Rating Committee Chair: Vito Natale, Senior Vice President

DBRS Ratings Limited
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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
-- Master European Structured Finance Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Servicers
-- Unified Interest Rate Model for European Securitisations
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- 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.