DBRS Confirms Ratings to Fonds Commun de Titrisation Marsollier Mortgages Notes

DBRS Ratings Limited (“DBRS”) has reviewed FCT Marsollier Mortgages (the “Issuer”) and confirms the ratings to the following Classes of Notes:

• Class A confirmed at AAA (sf)
• Class B confirmed at AA (sf)
• Class C confirmed at ‘A’ (sf)
• Class D confirmed at BBB (sf)
• Class E confirmed at BB (sf)

FCT Marsollier Mortgages is the first French RMBS transaction issued by BearImmo (part of J.P. Morgan Bank Dublin Plc). The mortgage portfolio is non-conforming in nature and includes borrowers with prior adverse credit history.

The mortgages supporting the transaction are performing within DBRS expectations and the available credit enhancement for each of the Notes is sufficient to cover DBRS expected losses at each of the current rating levels.

Credit enhancement for the rated Notes consists of subordination. A non-amortising liquidity reserve fund of €6.47 million (currently 5.15% of the collateralised Notes) is available to the Issuer to meet any shortfalls in payment of senior fees and/or interest on Class A, Class B and Class C Notes. After Class C Notes are paid in full, the liquidity reserve amount will be available to support any shortfalls in interest payments on Class D and Class E Notes.

The transaction benefits from a principal deficiency ledger (PDL) mechanism which allows provisioning for loans in arrears for a period greater than six months as opposed to 36 months plus in arrears prior to the restructuring which took place in August 2012. This allows any excess spread to cure the debit balance of the PDL much earlier.

BNP Paribas Securities Services, Paris is the Principal Paying Agent and Account Bank for the transaction. The private rating of BNP Paribas Securities Services, Paris is above the Minimum Institution Rating given the highest rating assigned to the rated Notes as described in the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in Euros unless otherwise noted.

The principal methodologies applicable are:
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Legal Criteria for European Structured Finance Transactions
• Derivative Criteria For European Structured Finance Transactions
• Operational Risk Assessment for European Structured Finance Servicers
• Unified Interest Rate Model Methodology for European Securitisations
• Master European Structured Finance Surveillance Methodology

The above can be found on www.dbrs.com under Methodologies. For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”.

The sources of information used for this rating include Investor Reports provided by France Titrisation. DBRS considers that the information available to it for the purposes of providing this rating was of satisfactory quality.

The individual linking document for this transaction is located at

For further information on DBRS’s historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository see http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.
Initial Lead Analyst: Kali Sirugudi
Initial Rating Date: 10 August 2012
Rating Committee Chair: Quincy Tang

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Quincy Tang

Office
1 Minster Court, 10th Floor Mincing Lane
London, EC3R 7AA
United Kingdom