(Repeat for additional subscribers)
May 30 (The following statement was released by the rating agency)
Fitch Ratings has affirmed Domos 2011 Compartment Domos 2011- A (Domos 2011-A) and B (Domos 2011-B), as follows:
Class A1 (ISIN FR0011129154) affirmed at 'AAAsf'; Outlook Stable
Class A2 (ISIN FR0011129188) affirmed at 'AAAsf'; Outlook Stable
Class A (ISIN FR0011129204) affirmed at 'AAAsf'; Outlook Stable
The French prime RMBS transactions comprise loans originated and serviced by BNP Personal Finance, which is a wholly owned subsidiary of BNP Paribas (A+/Stable/F1).
KEY RATING DRIVERS
The affirmations reflect the strong performance of the underlying assets in both transactions. As of the latest payment dates, three-month plus arrears decreased to 0.89% and 0.36% of the current pool balance in Domos 2011-A and B, respectively, from 0.94% and 0.43% at the time of the last review in September 2013. Cumulative gross defaults were 1.11% (Domos 2011-A) and 0.77% (Domos 2011-B) of the initial asset balance, of which 25.8% and 39.5% has been recovered in Domos 2011-A and Domos 2011-B, respectively.
Reserve Funds and Note Amortisation
The non-amortising fully funded reserve funds, combined with the sequential amortisation of the notes in both transactions, will assist the further build-up of credit enhancement (CE) available to the rated tranches. As of the most recent payment date, the class A notes had CE of 39.3% and 34.2% in Domos 2011-A and B, respectively. This does not include the 1% of the outstanding note balance held in the reserve for liquidity purposes.
Loans Secured By a Caution
The residential loans securitised in both transactions are either secured by a first-ranking mortgage (35.4% and 53.1% in Domos 2011-A and B, respectively) or a caution (64.6% and 46.9% in Domos 2011-A and B, respectively). These guarantees are provided by specialised guarantors or mutual insurances. In line with its criteria, Fitch took a more conservative stance in its estimation of the expected recovery rate on guaranteed loans by giving no credit to the caution policy. The additional stresses applied as a result had no impact on the ratings, as reflected in the affirmations.
The transactions could be exposed to commingling risk in the event of the default of the collateral servicer, BNP Personal Finance, as it retains cheque payments for one day before transferring them to a special dedicated account opened in the name of issuer and held by BNP Paribas. To mitigate the commingling risk, dynamic commingling reserves have been established of currently EUR3m in Domos 2011-A and EUR4m in Domos 2011-B.
Deterioration in asset performance may result from economic factors, such as an increase in unemployment. A corresponding increase in new defaults and associated pressure on excess spread levels and reserve funds, beyond Fitch's assumptions, could result in negative rating action.