BPCE Master Home Loans FCT

Transcription

1 Presale: BPCE Master Home Loans FCT Primary Credit Analyst: Florent Stiel, Paris (33) ; Secondary Contact: Williams Rivera-Montalban, Paris (33) ; Table Of Contents Up To 50 Billion Asset-Backed Fixed-Rate Notes Issuance Program Transaction Summary Rating Rationale Notable Features Transaction Structure Collateral Description Credit Structure Credit Analysis Origination And Servicing Surveillance Standard & Poor's 17g-7 Disclosure Report Related Criteria And Research MAY 19,

2 Presale: BPCE Master Home Loans FCT Up To 50 Billion Asset-Backed Fixed-Rate Notes Issuance Program This presale report is based on information as of May 19, The ratings shown are preliminary. This report does not constitute a recommendation to buy, hold, or sell securities. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. Class Prelim. rating* Prelim. amount (mil. ) Available credit enhancement (%) Coupon Expected maturity date Final Legal Maturity date A1 AAA (sf) TBD 11.5 TBD July 1, 2016 July 1, 2061 A2 AAA (sf) TBD 11.5 TBD Jan. 1, 2017 July 1, 2061 A3 AAA (sf) TBD 11.5 TBD July 1, 2017 July 1, 2061 A4 AAA (sf) TBD 11.5 TBD Jan. 1, 2018 July 1, 2061 A5 AAA (sf) TBD 11.5 TBD July 1, 2018 July 1, 2061 A6 AAA (sf) TBD 11.5 TBD Jan. 1, 2019 July 1, 2061 A7 AAA (sf) TBD 11.5 TBD July 1, 2019 July 1, 2061 A8 AAA (sf) TBD 11.5 TBD Jan. 1, 2020 July 1, 2061 B NR TBD N/A TBD Jan. 1, 2020 July 1, 2061 *Our ratings on the securities are preliminary as of May 19, 2014, and subject to change at any time. We expect to assign final credit ratings on the closing date subject to a satisfactory review of the transaction documents and legal opinion. Standard & Poor's ratings address timely payment of interest and ultimate payment of principal on or before extended legal final maturity. Available credit enhancement will equal 11.5% at closing, with dynamic credit enhancement throughout the transaction's life subject to rating agency review and a 8% floor (minimum level). The legal final maturity date is the extended maturity date, which is 37 years after the end of the replenishment period. TBD--To be determined. NR--Not rated. Transaction Participants Originators Arranger Servicers Management company Arranger, transaction account provider, seller collection account provider, and reserve provider (including the commingling reserve provider) Custodian Any participating Banque Populaire, Caisse d'epargne, or BPCE BPCE Any participating Banque Populaire or Caisse d'epargne or BPCE France Titrisation BPCE Natixis S.A. Supporting Ratings Entity BPCE as seller collection account provider, commingling reserve provider, and transaction account provider Rating A/Negative/A-1 MAY 19,

3 Transaction Key Features As of Dec. 31, 2013, based on the preliminary portfolio Collateral French prime residential mortgages Outstanding principal of the mortgage loan pool ( ) 41,590,115,144 Country of origination France Weighted-average debt-to-income ratio (%) 35.9 Weighted-average loan-to-value ratio (%) Weighted-average seasoning (months) Arrears (%) None Cash reserve (%) Transaction Summary Standard & Poor's Ratings Services today assigned its preliminary 'AAA (sf)' credit ratings to BPCE Master Home Loans FCT's class A1 to A8 notes. At closing, the transaction also issued unrated class B notes. BPCE Master Home Loans is a securitization of a pool of up to 50 billion of French prime residential mortgage loans, which the BPCE group originated. The issuer is a French securitization fund ("Fonds Commun de Titrisation" or FCT), which is bankruptcy-remote by law. BPCE Master Home Loans is a multiple-issuance French residential mortgage-backed securities (RMBS) program with a 10-year revolving period. Our preliminary ratings reflect our analysis of the transaction's main features, as well as its exposure to counterparty and operational risks. Our analysis indicates that the available credit enhancement for the rated notes is sufficient to mitigate their exposure to credit and cash flow risks at the 'AAA (sf)' rating level. A combination of subordination, a cash reserve, and excess spread provides credit enhancement for the notes. BPCE is one of the largest participants in the French mortgage market. The receivables have been originated by participating "Caisses d'epargne" and "Banques Populaires" part of the BPCE Group for French private individuals. Under the transaction documents, at least 95% of the pool will pay a fixed interest rate and the notes will pay fixed coupons. The transaction will not have a hedging mechanism at closing. Rating Rationale Originator assessment In our view, the BPCE group has strong, well-established underwriting and servicing procedures. It has previous securitization experience through its existing covered bond programs. We met the originator in April 2014 and were satisfied with its processes and its ability to undertake origination and servicing under good operational conditions. Our preliminary ratings reflect our assessment of its origination policies and our evaluation of its ability to fulfil its role as the portfolio's servicer. MAY 19,

4 Economic outlook In our opinion, the French economy will likely continue to stagnate this year as private consumption weakens, credit growth stagnates, and unemployment increases (see "Europe's Housing Market Recovery Is Not Yet On Solid Ground," published on April 30, 2014). We consider that French house prices will slightly decrease by 2% in We adjusted our credit assumptions to reflect this outlook. Credit analysis We have conducted a loan-level analysis to assess the mortgage pool's credit quality by applying our French RMBS criteria (see "Criteria for Rating French Residential Mortgage-Backed Securities," published on July 16, 2003). The portfolio comprises plain vanilla loan products, including mostly fixed-rate, amortizing loans that pay fixed installments. All of the loans are either secured on a first lien mortgage or benefit from a guarantee granted from a caution. During the revolving period, the issuer can add new mortgage loans to the pool, or substitute maturing loans. As a result, the pool's credit quality could deteriorate. In order to capture the pool's potential deterioration over the replenishment period, a stressed weighted-average foreclosure (WAFF) and weighted-average loss severity (WALS) level of 9.15% is in place. This level is significantly higher than our current WAFF and WALS calculation on the portfolio. Furthermore, the transaction's eligibility criteria limit the inclusion of certain types of loans during the revolving period. The documentation includes an annual test to ensure that each year, the then-current WAFF and WALS are below the stressed WAFF and WALS at closing. Under the transaction documents, if they increase above this level, the revolving period stops--unless its continuation does not affect our ratings in the transaction. Cash flow analysis We conducted our credit and cash flow analysis by applying our French RMBS and European cash flow criteria (see "Methodology And Assumptions: Update To The Cash Flow Criteria For European RMBS Transactions," published on Jan. 6, 2009). Our analysis shows that the available credit enhancement for the rated notes is consistent with a 'AAA (sf)' rating in light of the final extended legal maturity date. A combination of subordination, a cash reserve, and excess spread provides credit enhancement for the notes. A reserve fund provides liquidity for the rated notes at all times. Under the transaction's eligibility criteria, at least 95% of the pool will pay a fixed rate of interest, whereas the notes pay fixed coupons. the transaction will therefore not include any hedging mechanisms. The issuer may issue further class A notes at a higher coupon, which could reduce available excess spread. The issuer net margin ensures that the revolving period ends if excess spread is insufficient to pay liabilities, including newly defaulted loans over the period. We have factored this in our cash flow analysis. Counterparty risk The transaction's documented replacement language for all of its relevant counterparties is in line with our current counterparty criteria (see "Counterparty Risk Framework Methodology And Assumptions," published on June 25, 2013). Our analysis shows that counterparty risk does not constrain our preliminary ratings on the notes. Legal risk The issuer is an FCT and is considered bankruptcy-remote under French law. We have reviewed the transaction MAY 19,

5 documents and received French legal opinions. Ratings stability We conducted our scenario analysis, in which we tested our preliminary ratings under two scenarios and examined the transaction's performance by applying our credit stability criteria (see "Methodology: Credit Stability Criteria," published on May 3, 2010). In both assumed scenarios, the rated notes would most likely remain in the 'AAA' rating category. Notable Features At closing, BPCE Master Home Loan will issue 11.50% of class B notes, which will constitute the main credit enhancement available for the class A notes. The preliminary level of credit enhancement is sufficient for the class A notes to achieve a 'AAA (sf)' rating. However, the class B notes' required amount under the documentation may increase or decrease over time down to a floor of 8%. Although this level would not be sufficient to rate the class A notes 'AAA (sf)', we note that the decrease is permissible under the documentation as long as the then-current rating on the class A notes is maintained. For this purpose, we will provide confirmation each time the class B notes' amount decreases. During the revolving period, the issuer can add new mortgage loans to the pool, or substitute maturing loans. As a result, the pool's credit quality could deteriorate. In order to capture the pool's potential deterioration over the replenishment period, a stressed WAFF and WALS level of 9.15% is in place. This level is significantly higher than our current WAFF and WALS calculation on the portfolio. Furthermore, the transaction's eligibility criteria limit the inclusion of certain types of loans during the revolving period. The documentation includes an annual test to ensure that each year, the then-current WAFF and WALS are below the stressed WAFF and WALS at closing. Under the transaction documents, if they increase above this level, the revolving period stops--unless its continuation does not affect our ratings in the transaction. Transaction Structure The issuer, BPCE Master Home Loans, is an FCT, a securitization vehicle set up under French law. An FCT is bankruptcy-remote by law. It's sole purpose is to purchase the residential mortgage loans from the BPCE group and issue the notes. MAY 19,

6 At closing, the issuer will purchase the pool on a true sale basis. On each following month, the issuer will purchase additional collateral in line with the transaction's eligibility criteria until an amortization event occurs. At closing, BPCE Master Home Loans will issue the class A1 to A8 notes. Their expected maturity dates range from July 2016 to January On their respective expected maturity dates, the issuer will reimburse the noteholders either by using the proceeds of newly issued class A notes, or by exercising a re-transfer option, under which any of the sellers repurchase the receivables). The receivables' purchase price would be at least equal to an amount sufficient to repay the outstanding notes. If the issuer fails to reimburse the respective noteholders on its expected maturity date, the revolving period would stop and all of the outstanding notes would be extended to the legal final maturity date. This date falls on the 37th year after the first amortization payment date. During the amortization period, all of the class A notes will redeem on their respective payment dates on a pari passu and pro rata basis. This will occur irrespective of the notes' initial issue date or expected maturity date. The issuer will make payments according to a combined waterfall with a default provisioning mechanism. Collateral Description We based our analysis on a preliminary pool as of Dec 31, MAY 19,

7 Chart 2 MAY 19,

8 Chart 3 MAY 19,

9 Chart 4 Of the portfolio's loans, 80.5% do not benefit from a first-ranking mortgage. Rather, they benefit from a guarantee granted from a caution (a guarantor such as CEGC or Socami). In France, a guarantee ("caution") secures about 50% of existing loans and about two-thirds of newly originated loans, as opposed to standard mortgage loans. The use of these guarantees has become increasingly popular, partly because it saves the cost of registering a mortgage. If the guarantor does not perform when an obligor defaults, the servicer would bear the risk of other creditors registering a judicial mortgage on the property before it. We did not rely on the guarantee in our credit analysis. We analyzed the risk of the servicer not taking a mortgage at the time of origination and stressed the related loans' loss severity accordingly. We applied a 1.5 stress multiple on the loss severity to the guaranteed loans. We would have derived this if we considered these loans to be secured on a mortgage. Purchase of additional receivables During the replenishment period, the pool's characteristics may change. The purchase of new mortgage receivables is therefore subject to a number of replenishment conditions under the transaction documents, including the following: Less than 5% of the portfolio may comprise floating-rate loans; MAY 19,

10 Less than 20% of the portfolio may include buy-to-let loans. Less than 25% of the portfolio may include buy to let loans and second homes loans; Less than 25% of the portfolio may include loans granted to self-employed borrowers; The portfolio's weighted-average loan-to-value (LTV) ratio should remain below 77.5%; and The issuer cannot add loans that are in arrears to the portfolio. The weighted-average interest rate should not be lower than 3%. The weighted-average remaining time to maturity should not be longer than 18 years. The issuer's eligibility criteria for mortgage loans The list below outlines the transaction's key eligibility criteria, among others. The underlying property is located in France; The borrower is not an employee of the BPCE group; The loan is euro-denominated; The loan's LTV ratio does not exceed 100%; The loan's maximum remaining time to maturity is 30 years from the date of the issuer's purchase; The loan has at least one paid installment; The loan is current (i.e., not in arrears); The borrower does not have the right to set-off a deposit against their installments; and The loan has been fully disbursed. Credit Structure Credit enhancement Subordination, a reserve fund, and excess spread provide credit enhancement for the rated notes. Transaction periods Revolving period. The pool is replenished, the notes do not amortize and repay on the expected maturity date. Amortization period. The notes amortize following an amortization event. All outstanding notes are extended to the legal final maturity date. Accelerated amortization period. If the class A1 to A8 notes were to miss an interest payment, this phase would be triggered. End of revolving period events The events below would lead to the transaction's amortization. The scheduled end of the revolving period, in June 2024; The issuer net margin is less than zero; Any of the class A notes do not repay on the expected maturity date; The class B notes are not at their required amount under the documentation. A seller or servicer termination event is not cured within the applicable period; A failure to perform from any party (including the data protection agent, account provider, or cash manager); and The test of the pool's credit quality is not satisfied and remedied. The issuer net margin ensures that the revolving period ends if excess spread is insufficient to pay liabilities, including MAY 19,

11 newly defaulted loans over the period. Priority of payments The management company will apply the issuer's available funds toward the following payments in the relevant order of priority below. Priority Of Payments During The Revolving Period 1 Senior fees. 2 Class A notes' interest. 3 Top up of the reserve to its required amount under the documentation. 4 Class B notes' interest. 5 Class A notes' amortization amount. 6 Payment to the reserves provider of the excess of the required amount. 7 Payment of the loan purchase price to the sellers. 8 Class B notes' amortization amount. 9 Residual amount to residual units. Priority Of Payments During The Amortization Period 1 Senior fees. 2 Class A notes' interest. 3 Top up of the reserve to its required amount under the documentation. 4 Class A notes' amortization amount. 5 Payment of the excess of the required amount to the reserve provider. 6 Class B notes' interest. 7 Class B notes' amortization amount. 8 Residual amount to residual units. Priority Of Payments During The Accelerated Amortization Period 1 Senior fees. 2 Class A notes' interest. 3 Class A notes' principal in full. 4 Class B notes' interest. 5 Class B notes' amortization amount. 6 Residual amount to residual units. Class A notes' amortization amount During the revolving period. The amount is zero before the initial expected maturity date. On the initial expected maturity date, the full amount of the class A notes in question. During the amortization period. The class A and B notes' outstanding aggregate amounts, minus the outstanding amount of the loans' performing balance (as of the immediately preceding calculation date). The principal amount due on the amortization amount includes the defaulted loans since the last calculation date. This means the structure provisions for defaults on an ongoing basis. MAY 19,

12 Cash reserve fund The structure will benefit from a cash reserve fund, which will represent 0.64% of the class A notes, with a floor amounting to 0.25% of their initial amount. The reserve fund will be dynamic, providing an amount sufficient to meet four months of interest and issuer expenses at all times. Cash collection arrangements and commingling reserve Borrowers pay their installments to the collection account of the respective BPCE entity. The relevant entity transfers the amounts daily to a specially dedicated account held with BPCE. As a consequence, these collections will transit to a nondedicated servicer collection account, before being transferred to a ringfenced account the following business day. If the servicer becomes insolvent, the transaction is exposed to a credit loss related to all payments of collections that transit through these nondedicated accounts, which is sized at one month (for the daily transfer of funds and a one-month notification period). To mitigate this risk, a commingling reserve will be established to provide cash to the structure to mitigate potential credit loss as a result of the borrower's payments being lost upon if the servicer becomes insolvent. This reserve will cover at least one month of collections, including a 10% stressed prepayment assumption. It would be funded if the long-term rating on BPCE were to fall below 'BBB'. Credit Analysis We stressed the transaction's cash flow to test the credit and liquidity support from the assets, the subordinated tranches, and the cash reserve. We implement these stresses to the transaction's cash flow at all relevant rating levels. For example, we subject a transaction that incorporates 'AAA', 'A', and 'BBB' rated tranches of notes to three separate sets of cash flow stresses. Under the 'AAA' stresses, all 'AAA' rated notes must pay full and timely principal and interest, but this would not necessarily be the case for the 'A' or 'BBB' rated tranches as they are subordinated in the priority of payments. In the 'A' scenario, all 'AAA' and 'A' rated notes must receive full and timely principal and interest. However, this need not be the case for the 'BBB' rated notes, as they are subordinated to both the 'AAA' and 'A' rated tranches. Default and recovery amounts For each loan in the pool, we estimate the likelihood that the borrower defaults on their mortgage payments under each respective rating scenario (the foreclosure frequency) and the loss that we expect on the subsequent sale of the property under that scenario (the loss severity, expressed as a percentage of the outstanding loan). We assume the total mortgage balance to default and determine the total amount of this defaulted balance that is not recovered for the entire pool by calculating the WAFF and the WALS. The WAFF and WALS estimates increase as the required rating level increases because the higher the rating on the notes, the higher the level of loan defaults and loss severity that the notes should be able to withstand. We base our credit analysis on the characteristics of the loans and the associated borrowers. We applied market-specific criteria in our assessment of the WAFF and the WALS for this portfolio (see "Related criteria"). In our analysis, we assumed that the portfolio's quality would deteriorate, as the issuer can add new mortgage loans to the pool. The WAFF and WALS MAY 19,

13 shown below reflect our assessment of the portfolio's credit quality after the potential addition of new assets. Table 1 Portfolio WAFF And WALS Rating level WAFF (%) WALS (%) Credit enhancement (%) AAA AA A BBB BB Furthermore, using our standard credit assumptions and taking into account a deterioration of the pool during the revolving period with the annual test on the then-current portfolio, we calculated a stressed 'AAA' WAFF for the transaction's pool to be 19.3% and the stressed WALS at the 'AAA' level to be 47.0%. Default timings The WAFF at each rating level specifies the total balance of the mortgage loans assumed to default over the transaction's life. We assume that these defaults occur over a three-year recession. We assess the effect of the timing of this recession on the issuer's ability to repay the liabilities. Generally, we start the recession in the first month of a transaction. However, for 'AAA' scenarios, the recession is delayed by 12 months. We apply the WAFF to the outstanding principal balance at the start of the recession. For example, in a 'AAA' scenario, we apply the WAFF to the balance at the beginning of month 13. We assume defaults to occur periodically in amounts calculated as a percentage of the WAFF. The timing of defaults generally follows two paths, referred to here as "fast" and "slow". Table 2 Default Timings For Fast And Slow Default Curves Recession month Fast default (percentage of WAFF) Slow default (percentage of WAFF) Recovery timings Generally, we assume that the issuer receives recoveries 36 months after a payment default in French transactions. The value of recoveries at the 'AAA' level would be 100% minus the WALS given above. Note that we always base the WALS that we use in our cash flow model on principal loss, including costs. We assume no recovery of any interest accrued on the mortgage loans during the foreclosure period. After we apply the WAFF to the balance of the mortgages, the asset balance is likely to be lower than that of the liabilities (a notable exception is MAY 19,

14 when a transaction relies on overcollateralization). Other features of the transaction must mitigate any reduction in interest receipts over the foreclosure period. Delinquencies We model the liquidity stress resulting from short-term delinquencies, i.e., those mortgages that cease to pay for a period of time but then recover and become current with respect to both interest and principal. To simulate the effect of delinquencies, we assume a proportion of interest receipts equal to one-third of the WAFF to be delayed. We apply this in each month of the recession and assume that full recovery of delinquent interest occurs 18 months after it is removed from the transaction. Thus, if in month five of the recession the total collateral interest expected to be received is 1 million and the WAFF is 30%, 100,000 of interest (one-third of the WAFF) would be delayed until month 23. Interest and prepayment rates We modeled three different interest rate scenarios rising, falling, and stable using both high and low prepayment assumptions. We modeled interest rates to rise or fall by 2% a month to a high of 12% for EURIBOR (Euro Interbank Offered Rate) amounts or a low of 0%. For stable interest rates, we held the interest rate at the current rate throughout the transaction's life. In 'AAA' scenarios, we modeled the interest rate increase not to begin until month 13. Note that we may revise interest rate scenarios if there is sufficient evidence to warrant it. We stress transactions according to two prepayment assumptions, high (24.0%) and low (0.5%). We assume prepayment rates to be static throughout the life of the transaction and apply them monthly to the decreasing mortgage balance. We reserve the right to increase the high prepayment assumption if market conditions suggest it is appropriate to do so or the transaction is particularly sensitive to high prepayments (e.g., if the transaction relies heavily on excess spread). In combination, the default timings, interest rates, and prepayment rates described above give rise to 12 different scenarios (see table 3). The rating we have assigned means that the notes pay timely interest and ultimate principal under each of the 12 scenarios, at the relevant rating level. Table 3 RMBS Stress Scenarios Scenario Prepayment rate Interest rate Default timing 1 Low Flat Fast 2 Low Up Fast 3 Low Down Fast 4 Low Flat Slow 5 Low Up Slow 6 Low Down Slow 7 High Flat Fast 8 High Up Fast 9 High Down Fast 10 High Flat Slow 11 High Up Slow MAY 19,

15 Table 3 RMBS Stress Scenarios (cont.) 12 High Down Slow Origination And Servicing The BPCE group's subsidiaries originated the portfolio's mortgage loans. We regularly review the originators' and servicer's practices. They largely base their procedures on regulation and the industry standard "Code of Conduct for Mortgages". In our opinion, their standards are similar to those of their peers. House price decline analysis Various factors could cause downgrades on rated RMBS notes, such as increasing foreclosure rates in the securitized pools, house price declines, and changes in the pool's composition. We have chosen to analyze the effect of house price declines by testing the transaction's sensitivity to two different levels of movements. Declining house prices generally lead to increasing LTV ratios and more borrowers entering negative equity. For the French housing market, unlike in other countries, we consider that the LTV ratio is less meaningful in estimating foreclosure frequency. However, we consider that it is key in assessing loss severity. Consequently, this type of stress has no impact on the WAFF and affects only the WALS. The house price decline analysis assumes house price declines that are specific to a jurisdiction rather than being uniform across all European transactions. The levels do not reflect any views of whether these house price declines will materialize in the future. So, for example, the additional haircuts for a country that has experienced significant house price growth over the past few years may be different from those we assume for a country that has experienced stable house prices. We perform our analysis on a loan-by-loan basis. Hence, the effect of applying different levels of house price declines differs between transactions, given differing LTV ratio distributions. Even in these house price decline scenarios, structural features in securitizations may mitigate these declines. Further house price declines of 5% and 10% Using our standard credit assumptions and taking into account a deterioration of the pool during the revolving period while considering the annual test on the then-current portfolio, we calculated the stressed 'AAA' WAFF for the transaction's pool to be 19.3% and the stressed WALS at the 'AAA' level to be 47.0%. In the first scenario, in addition to the 'AAA' stress assumption, we apply a further 5% decrease in house prices. All else being equal, this would cause the WALS to increase to 49.4%. In this scenario, the class A notes in the transaction would pass at a 'AAA' rating level. In the second scenario, we apply an additional 10% decrease in house prices. All else being equal, this would cause the WALS to increase to 51.7%. In this scenario, the class A notes pass at a 'AAA' rating level. We have based our analysis above on a simplified assumption: That the 5% or 10% house price decline would MAY 19,

16 materialize immediately on the day after closing. In reality, house price declines materialize over a period of time. Therefore, other factors, such as seasoning or scheduled repayments under the loans, could mitigate the effect of the house price decline. Table 4 Results Of The House Price Decline Analysis On The Class A Notes House price environment WAFF (%) WALS (%) Preliminary rating on the class A notes 'AAA' market value decline AAA (sf) Additional 5% house price decline AAA (sf) Additional 10% house price decline AAA (sf) Surveillance We will regularly assess the following as part of our ongoing surveillance of this transaction: The performance of the underlying portfolio; The supporting ratings in the transaction; and The servicer's operations and its ability to maintain minimum servicing standards. Furthermore during the program revolving period, the credit quality of the pool could deteriorate, we will monitor the credit quality of the underlying portfolio, ensuring the annual test carried out on the credit quality of the purchase home loan is satisfied. Standard & Poor's 17g-7 Disclosure Report SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at Related Criteria And Research Related criteria Principles For Rating Debt Issues Based On Imputed Promises, Oct. 24, 2013 Europe Asset Isolation And Special-Purpose Entity Criteria--Structured Finance, Sept. 13, 2013 Counterparty Risk Framework Methodology And Assumptions, June 25, 2013 Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012 Methodology: Credit Stability Criteria, May 3, MAY 19,

17 Methodology And Assumptions: Update To The Criteria For Rating French Residential Mortgage-Backed Securities, Jan. 6, 2009 Methodology And Assumptions: Update To The Cash Flow Criteria For European RMBS Transactions, Jan. 6, 2009 Cash Flow Criteria for European RMBS Transactions, Nov. 20, 2003 Criteria for Rating French Residential Mortgage-Backed Securities, July 16, 2003 Related research Europe's Housing Market Recovery Is Not Yet On Solid Ground, April 30, 2014 European Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, March 14, 2012 Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011 Additional Contact: Structured Finance Europe; MAY 19,

18 Copyright 2014 Standard & Poor's Financial Services LLC, a part of McGraw Hill Financial. All rights reserved. No content (including ratings, credit-related analyses and data, valuations, model, software or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor's Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an "as is" basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT'S FUNCTIONING WILL BE UNINTERRUPTED, OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages. Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. S&P's opinions, analyses, and rating acknowledgment decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment and experience of the user, its management, employees, advisors and/or clients when making investment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P reserves the right to assign, withdraw, or suspend such acknowledgement at any time and in its sole discretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal, or suspension of an acknowledgment as well as any liability for any damage alleged to have been suffered on account thereof. S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain nonpublic information received in connection with each analytical process. S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, (free of charge), and and (subscription) and (subscription) and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available at MAY 19,