OREANDA-NEWS. 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 equals to 0.7% for Domos A and 0.2% for Domos B. According to the last investor report, in April 2016 for Domos A and May for Domos B, cumulative defaults have built up to 2.2% (Domos 2011-A) of the initial pool balance and 1.0% (Domos 2011-B) of the pool balance after the tap issuance in July 2015. This takes into account a default definition of loans in arrears by more than 10 months or declared due and payable by the servicer. All defaults recorded in both transactions have been cured by excess spread so far.

High Credit Enhancement

The transactions have non-amortising reserve funds (RFs) that are currently at their target levels. The RFs include an amount equivalent to 1% of the current note balance that is only available for liquidity coverage. The credit enhancement (CE) provided by the RFs has built up to 11.4% for Domos 2011-A and 5.4% for Domos 2011-B. Moreover, the subordination of the unrated class B notes provides an additional cushion and increases CE for the class A1 and A2 notes to 59.8% (Domos 2011-A) and 27.0% (Domos 2011-B), compared with 44.6% and 22.6% as of the restructuring in July 2015.

Both transactions also benefit from a guaranteed excess margin through a hedging agreement.

RATING SENSITIVITIES

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 reserve fund could result in negative rating action.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed 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 origination files as part of its ongoing monitoring.

Prior to the transactions 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 transactions 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 2016

- Transaction reporting provided by France Titrisation as at May 2016 for both transactions