DBRS Confirms AAA (sf) Rating on Class A Notes Issued by Noria 2015

DBRS Ratings Limited (DBRS) has today confirmed the AAA (sf) rating on the EUR 800,000,000 Class A Notes issued by Noria 2015 (the Issuer).

The rating on the Class A Notes addresses the timely payment of interest and ultimate payment of principal on or before the Final Legal Maturity Date in November 2034.

The rating action reflects an annual review of the transaction and is based on the following analytical considerations:

-- The overall portfolio performance as at the November 2016 payment date, which is in line with DBRS’s initial expectations.
-- No Revolving Period Termination Events, Accelerated Redemption Events or Fund Liquidation Events have occurred.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms and conditions of the Notes.
-- The current available credit enhancement to the Class A Notes to cover expected losses assumed in line with the AAA (sf) rating level.

The Issuer is a bankruptcy-remote French securitisation fund jointly established by France Titrisation and BNP Paribas SA (BNP). The issued notes are backed by a portfolio of unsecured consumer receivables (both personal loans and equipment sale loans) granted by BNP Paribas Personal Finance, which is owned by BNP, to individuals residing in France.

The transaction closed in December 2015 and has a two-year revolving period ending in November 2017. The revolving period will prematurely end after the occurrence of certain events, including the breach of the Cumulative Defaulted Purchased Receivables Ratio of 5.25% and the Delinquent Purchased Receivables Ratio of 2.5%.

As at the November 2016 payment date, the Delinquent Purchased Receivables Ratio was 0.3% and the Cumulative Defaulted Purchased Receivables Ratio was 1.5%. Cumulative recoveries were 2.0% of the cumulative defaulted amount.

The Class A Notes have a subordination of 20.0%, calculated as a percentage of the total notes issued.

The transaction benefits from an amortising General Reserve Deposit, which is available to cover senior expenses, missed interest payments and principal repayment on the Class A Notes and Class B Notes. This account was funded at closing with EUR 15.0 million, and its target balance is equal to 1.5% of the aggregate principal balance of the Notes.

BNP Paribas Securities Services S.C.A. is the Account Bank for this transaction, and BNP acts as the Specially Dedicated Account Bank. The DBRS private rating of BNP Paribas Securities Services S.C.A. and the reference rating of BNP of AA — one notch below the DBRS Long Term Critical Obligations Rating of BNP of AA (high) — comply 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.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable 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 cashflow analysis were both conducted. However, due to the inclusion of a revolving period in the transaction and no change in assumptions, the initial analysis based on worst-case replenishment criteria set forth in the transaction legal documents was assumed.

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

The sources of information used for this rating include information provided by France Titrisation (the Management Company).

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

DBRS was supplied with third-party assessments at the Initial Rating Date. However, this did not impact the rating analysis.

DBRS considers the information available to it for the purposes of providing these ratings to be 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 is the first rating action on this transaction since the Initial Rating Date.

The lead responsibilities for this transaction have been transferred to Joana Seara da Costa.

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

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

-- DBRS expected a base case probability of default (PD) and loss given default (LGD) for the portfolio based on a review of the current assets and the transaction’s replenishment 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 of the current pool of receivables are 6.2% and 75.0%, respectively.
-- The Risk Sensitivity below illustrates the rating expected for the Class A Notes if the PD and LGD increase by a certain percentage over the base case assumptions. For example, if the LGD increases by 50%, the rating of Class A Notes would be expected to decrease to AA (high) (sf), all else being equal. If the PD increases by 50%, the rating of Class A Notes would be expected to decrease to AA (sf), all else being equal. Furthermore, if both the PD and LGD increase by 50%, the rating of Class A Notes would be expected to decrease to A (sf), all else being equal.

Class A Notes risk sensitivity:
-- 25% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD, expected rating of AA (high) (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 AA (low) (sf)
-- 50% increase in PD, expected rating of AA (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 A (sf)

For further information on DBRS historic 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.

Lead Analyst: Joana Seara da Costa, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Senior Vice President

Initial Rating Date: 8 December 2015

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The rating methodologies used in the analysis of this transaction can be found at:
http://www.dbrs.com/about/methodologies.

-- Master European Structured Finance Surveillance Methodology
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Legal Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Originators
-- Operational Risk Assessment for European Structured Finance Servicers

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.