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Fitch Affirms Domos 2011 Compartment Domos A and B Senior Notes at 'AAAsf'
July 13, 2017 / 5:24 PM / 2 months ago

Fitch Affirms Domos 2011 Compartment Domos A and B Senior Notes at 'AAAsf'

(The following statement was released by the rating agency) PARIS, July 13 (Fitch) Fitch Ratings has affirmed two Domos transactions, as follows: Domos 2011 Compartment Domos 2011-A Class A1 notes affirmed at 'AAAsf'; Outlook Stable Class A2 notes affirmed at 'AAAsf'; Outlook Stable Domos 2011 Compartment Domos 2011-B Class A notes affirmed at 'AAAsf'; Outlook Stable Both transactions' notes are backed by pools of French residential loans originated by the specialised lender BNP Paribas Personal Finance (BNPP PF), a 100% subsidiary of BNP Paribas (A+/Stable/F1). KEY RATING DRIVERS Robust Performance The affirmation reflects the sound performance of the underlying assets. Arrears remain limited in both transactions, with the portion of loans in arrears by more than three months at 1.1% for Domos 2011-A and 0.3% for Domos B of the current portfolio balance. According to the investor report as at April 2017 for Domos 2011-A and May 2017 for Domos 2011-B, cumulative defaults have built up to 2.5% (Domos 2011-A) of the initial pool balance and 1.5% (Domos 2011-B) of the pool balance after the tap issuance in July 2015. Both transactions define defaults as loans in arrears by more than 10 months, or those declared due and payable by the servicer. Accelerated Waterfall Triggered Given the lack of excess spread, caused by a sudden influx of defaults in February 2017 and a lower portfolio yield, as a result of prepayments, the three-months compartment solvency margin trigger in Domos A led to a switch to an accelerated priority of payments in March 2017. Since then, the class A1 and A2 notes have been redeeming on a pro rata basis. Note payments are now made on a monthly basis and all the principal and interest amounts received from the portfolio are used to redeem both class A notes. The reserve fund, which was sized at 8.5% of the notes' balance at the restructuring date in July 2015, has been partially released in the priority of payment to reimburse the senior notes; as at April 2017, it stood at 1.0% of the notes' balance. High Credit Enhancement The amortisation of the portfolios has led to a significant increase in the credit enhancement in both transactions. After the release of a portion of the general reserve and the accelerated waterfall, Domos A's class A1 and A2 credit enhancement has built-up to 79.8%, compared to 59.8% 12 months ago. The reserve fund now represents 1% of the current notes' balance and can only be used for liquidity. Domos B features a non-amortising reserve fund that is currently at its target level (4.5% of the initial notes' balance at the date of the restructuring in July 2015). The reserve fund includes an amount equivalent to 1% of the current note balance that is only available for liquidity. The credit enhancement provided by the reserve fund has built up to 6.8% for Domos 2011-B. Moreover, the subordination of the unrated class B notes provides an additional cushion. As at May 2017, the class A credit enhancement stood at 34.0%, compared with 27.0% as of May 2016. RATING SENSITIVITIES A deterioration in asset performance may result from economic factors, in particular the increasing effect of unemployment. A corresponding increase in new defaults and associated pressure on excess spread levels and the reserve fund could result in negative rating action. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of the origination files as part of its ongoing monitoring. Prior to the transaction closing, Fitch reviewed the results of a third-party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis. Prior to the transaction closing, Fitch conducted a review of a small targeted sample of BNPP PF's origination files and found inconsistencies related to the property value information, which can include agency or notary fees. These findings were considered in this analysis by assuming a 9% haircut to the property value. Overall and together with the assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. SOURCES OF INFORMATION The information below was used in the analysis. - Loan-by-loan data provided by BNPP PF as at 31 March 2017. - Transaction reporting provided by France Titrisation as at April 2017 for Domos A and May 2017 for Domos B. MODELS <a href="https://www.fitchratings.com/site/structuredfinance/rmbs/resiemea "> ResiEMEA. <a href="https://www.fitchratings.com/site/structuredfinance/rmbs/emearsm "> EMEA RMBS Surveillance Model. <a href="https://www.fitchratings.com/site/structuredfinance/emeacfm ">EMEA Cash Flow Model. Contacts: Primary Analyst Julien Pillaud Associate Director +33 1 44 29 91 38 Fitch France SAS 60 rue de Monceau 75008 Paris Committee Chairperson Sanja Paic, CFA Senior Director +44 203 530 1282 Media Relations: Athos Larkou, London, Tel: +44 203 530 1549, Email: athos.larkou@fitchratings.com. Additional information is available on www.fitchratings.com Applicable Criteria Criteria Addendum: France - Residential Mortgage Assumptions (pub. 08 Dec 2016) here EMEA RMBS Rating Criteria (pub. 29 Nov 2016) here Fitch's Interest Rate Stress Assumptions for Structured Finance and Covered Bonds - Excel File (pub. 17 Feb 2017) here Global Structured Finance Rating Criteria (pub. 03 May 2017) here Structured Finance and Covered Bonds Counterparty Rating Criteria (pub. 23 May 2017) here Structured Finance and Covered Bonds Counterparty Rating Criteria: Derivative Addendum (pub. 23 May 2017) here Structured Finance and Covered Bonds Interest Rate Stresses Rating Criteria (pub. 17 Feb 2017) here Related Research Domos 2011 Compartment Domos 2011-A Appendix here Domos 2011 Compartment Domos 2011-B Appendix here Additional Disclosures Dodd-Frank Rating Information Disclosure Form here Solicitation Status here#solicitation Endorsement Policy here ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. 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