DBRS Confirms Domos 2011-A and 2011-B

DBRS Ratings Limited (DBRS) has today confirmed the ratings on the notes of Domos 2011-A and Domos 2011-B as follows:

Compartment “Domos 2011-A” (Domos A)
-- Class A-1 confirmed at AAA (sf)
-- Class A-2 confirmed at AAA (sf)

Compartment “Domos 2011-B” (Domos B)
-- Class A confirmed at AAA (sf)

Today’s rating actions follow an annual review of the transaction and are based on the following analytical considerations, as described more fully below:

-- Portfolio performance, in terms of delinquencies and defaults.
-- Portfolio 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 two Compartments (Domos A and Domos B) under French securitisation law. Each Compartment is backed by a separate portfolio of French residential housing loans and has separate waterfalls. Loans in Domos A were originated through retail branches and have a term to maturity greater than 20 years (as of the closing date). Loans in Domos 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 a restructuring in July 2015. The restructuring reduced the reserve funds and increased the note size.

PORTFOLIO PERFORMANCE AND ASSUMPTIONS
The asset portfolios for both Domos A and Domos B are performing within DBRS’s expectations. For Domos A, as of 31 March 2017, loans more than 90 days delinquent as a percentage of the outstanding collateral pool balance were at 0.84%, and loans more than 30 days delinquent were at 4.72%. For Domos B, as of 28 February 2017, loans more than 90 days delinquent were at 0.40%, and loans more than 30 days delinquent were at 2.99%. The cumulative default ratios are 2.70% and 1.07% for Domos A and Domos B, respectively. DBRS has updated the base case PD and LGD assumptions for the remaining collateral pools to 6.46% and 13.66%, respectively, for Domos A, and 6.41% and 22.52%, respectively, for Domos B.

CREDIT ENHANCEMENT
The CE to all rated notes in Domos 2011 has increased as both Compartments continue to deleverage since the restructuring. For Class A1 and A2 in Domos A, the available CE, as of 25 April 2017, was 77.34%. For Class A in Domos B, the available CE, as of 27 March 2017, was 32.98%. The sources of CE in both Compartments are the subordination of the Class B notes and the Reserve Funds, which currently are at their target amounts.

BNP Paribas Securities Services is the Account Bank to both Compartments and its current DBRS private rating meets the Minimum Institution Rating criteria given the ratings assigned to the Class A notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

BNP PF is the main swap counterparty to both transactions. BNP Paribas SA (BNP) acts as Class A2 Interest Swap Counterparty in Domos A and as a hedge guarantor in both transactions. The DBRS private rating on BNP PF and the public rating on BNP meet the swap counterparty first rating requirement given the ratings assigned to the Class A 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 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.

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 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” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of data and information used for these ratings include the investor reports provided by France Titrisation and the loan-by-loan data from European Data Warehouse 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 not 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 these ratings to be of satisfactory quality.

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

The last rating action on this transaction took place on 27 July 2016, when DBRS confirmed the AAA (sf) rating on the Class A1 and Class A2 notes in Domos A and on the Class A notes in Domos B.

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 remaining collateral pool are 6.46% and 13.66%, respectively. At the AAA (sf) rating level, the corresponding PD is 28.67% and the LGD is 43.40%.
-- The base case PD and LGD assumptions for Domos B remaining collateral pool are 6.41% and 22.52%, respectively. At the AAA (sf) rating level, the corresponding PD is 28.61% and the LGD is 49.18%.
-- 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 LGD increase by 50%, the rating on Domos A Class A-1 would be expected to be at AAA (sf).

Domos A Class A-1 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 AAA (sf)

Domos A Class A-2 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 AAA (sf)

Domos B Class A 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)

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, Assistant Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 20 January 2012

DBRS Ratings Limited
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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
-- 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.