€1.8 billion of debt securities affected
Paris, December 10, 2010 -- Moody's Investors Service has assigned definitive long-term rating
to Class A notes issued by FCT DOMOS 2008
Aaa (sf) to EUR1841.5M Class A Notes due 2055
RATINGS RATIONALE
The rating takes into account the credit quality of the underlying mortgage
loan pool, from which Moody's determined the MILAN Aaa Credit Enhancement
and the portfolio expected loss, as well as the transaction structure
and any legal considerations as assessed in Moody's cash flow analysis.
The expected portfolio loss of 1.6% and the MILAN Aaa required
credit enhancement of 12.3% serve as input parameters for
Moody's cash flow model and tranching model, which is based on a
probabilistic lognormal distribution as described in the report "The Lognormal
Method Applied to ABS Analysis", published in September 2000.
The key drivers for the MILAN Aaa Credit Enhancement number, which
is higher than that of other French RMBS transactions closed in 2010,
are (i) elevated proportion of loans granted by an entity targeting non-residents
(International buyer) (41.8%), (ii) the significant
part of the pool granted for either buy-to let or for financing
second homes (38.2%) ,(iii) the large proportion of
loans granted to self-employees or for which employment data is
missing (26.6%), (iv) the relatively high proportion
of bullet loans (12%) combined with (v) the relatively low weighted
average loan-to-value of 67.8% and (vi) the
weighted average seasoning of 5.2 years.
The expected loss reflects Moody's cumulative defaults assumption
(5.1%) which is mainly driven by (i) the performance of
the seller's precedent transactions, (ii) benchmarking with
comparable transactions in the French market , (iii) the current
economic conditions in France and (iv) historic default and recovery data
received from the seller for the different products (loans to non-residents,
mortgage loans and guaranteed loans).
The rating addresses the expected loss posed to investors by the legal
final maturity of the notes. In Moody's opinion, the
structure allows for timely payment of interest and principal with respect
of the notes by the legal final maturity. Moody's ratings
only address the credit risk associated with the transaction. Other
non-credit risks have not been addressed, but may have a
significant effect on yield to investors.
The principal methodologies used in this rating were The Lognormal Method
Applied to ABS Analysis published in September 2000, Moody's Approach
to Rating French RMBS published in October 2005 and Cash Flow Analysis
in EMEA RMBS: Testing Structural Features with the MARCO Model published
in January 2006.
The portfolio consists of French prime residential home loans backed by
first economic lien mortgages or equivalent third-party eligible
guarantees, which are well --known products by Moody's.
Moody's Investors Service received and took into account a third-party
due diligence report on the underlying assets in this transaction and
the due diligence report had a neutral impact on the rating.
The transaction closed in December2008 and was initially not rated by
Moody's. The class A notes issued at closing amounted to
EUR 2407.6 million. The reserve fund at closing was fully
funded at 4.75% (or EUR 125.8 million) of the pool
balance at closing.
Moody's rating analysis of the notes is based on the transaction structure
after the last payment date in October 2010. The next payment date
will take place in April 2011. As of the today the Class A amounts
to EUR 1841.5 million and the Class B amounts to EUR242.4
million for a total outstanding debt issued by DOMOS 2008 equalling EUR
2083.9 million. The portfolio consists of French prime residential
home loans backed by first economic lien mortgages or equivalent third-party
eligible guarantees originated and serviced by BNP Personal Finance (NR)
"BNPPF", which is also the swap counterparty. BNP Paribas
(Aa2/P-1) , the parent company of BNPPF acts as swap guarantor
and arranger. The swap mitigates the interest rate risk relating
to the fixed rate loans which represent 27.2 % of the pool
and to the basis risk related to the floating rate loans that represent
72.8 % and guarantees a minimum of 1.15% margin.
The transaction is not revolving. The structure benefits from a
non-amortising cash reserve, that is fully funded and equals
6% of the current pool balance.
The V Score for this transaction is Low/Medium, which is in line
with the V score assigned for the French RMBS sector. The key driver
for this score is the fact that it is a standard French RMBS structure.
The primary source of uncertainty surrounding our assumptions is the current
macroeconomic environment, in which property values might be falling
and unemployment might continue to rise.
The V-Score has been assigned accordingly to the report "V-Scores
and Parameter Sensitivities in the Major EMEA RMBS Sectors" published
in April 2009. V Scores are a relative assessment of the quality
of available credit information and of the degree of dependence on various
assumptions used in determining the rating. High variability in
key assumptions could expose a rating to more likelihood of rating changes.
Moody's Parameter Sensitivities: If the portfolio expected
loss was increased from 1.6% to 4.8% ,
the model output indicates that the class A notes would still achieve
Aaa assuming that MILAN Aaa Credit Enhancement remains at 12.3%
and all other factors remain equal. If the MILAN Aaa Credit Enhancement
would be stressed by 1.2 times to 14.7%, the
model output for the class A notes would be Aa1, assuming the same
expected loss.
Moody's Parameter Sensitivities provide a quantitative/model-indicated
calculation of the number of rating notches that a Moody's structured
finance security may vary if certain input parameters used in the initial
rating process differed. The analysis assumes that the deal has
not aged and is not intended to measure how the rating of the security
might migrate over time, but rather how the initial rating of the
security might have differed if key rating input parameters were varied.
Parameter Sensitivities for the typical EMEA RMBS transaction are calculated
by stressing key variable inputs in Moody's primary rating model.
REGULATORY DISCLOSURES
The rating has been disclosed to the rated entity or its designated agents
and issued with no amendment resulting from that disclosure.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, and confidential and proprietary Moody's
Investors Service information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
a credit rating.
The reports mentioned above are available on www.moodys.com
in the Rating Methodologies sub-directory under the Research &
Ratings tab. Other methodologies and factors that may have been
considered in the process of rating this issuer can also be found in the
Rating Methodologies sub-directory on Moody's website.
Additional research, including the pre-sale report for this
transaction and reports for prior transactions, are available at
www.moodys.com. In addition Moody's publishes a weekly
summary of structured finance credit, ratings and methodologies,
available to all registered of our website, at www.moodys.com/SFQuickCheck.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entity or its related third parties within the
three years preceding the Credit Rating Action. Please see the
ratings disclosure page www.moodys.com/disclosures on our
website for further information.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
Paris
Elise Lemaire
Associate Analyst
Structured Finance Group
Moody's France SAS
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
London
Christophe de Noaillat
Senior Vice President
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's France SAS
96 Boulevard Haussmann
Paris 75008
France
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's assigns a definitive rating to French RMBS Class A Notes issued by the Fonds Commun de Titrisation Domos 2008
