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BPCE Home Loans FCT 2018 -- Moody's assigns provisional Aaa (sf) to French RMBS Notes to be issued by BPCE Home Loans FCT 2018

The rating of the Class A notes is based on an analysis of the characteristics of the underlying pool of home loans, sector wide and originator specific performance data, protection provided by credit enhancement, the roles of external counterparties and the structural integrity of the transaction. The expected portfolio loss of 1.0% of the original balance and the MILAN required Credit Enhancement ("MILAN CE") of 8.5% served as input parameters for Moody's cash flow model, which is based on a probabilistic lognormal distribution. The key drivers for the portfolio expected loss, which at 1.0% is in line with an average French RMBS transaction are: (i) the total book and transaction historical performance, (ii) benchmarking with other French RMBS transactions, and (iii) the current and future macroeconomic environment in France.