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Fitch Affirms BNP Paribas Home Loan SFH's OFH at 'AAA'; Outlook Stable
May 5, 2017 / 2:02 PM / 7 months ago

Fitch Affirms BNP Paribas Home Loan SFH's OFH at 'AAA'; Outlook Stable

(The following statement was released by the rating agency) PARIS/LONDON, May 05 (Fitch) Fitch Ratings has affirmed BNP Paribas Home Loan SFH's (BNPP HL SFH) obligations de financement de l'habitat (OFH) at 'AAA' with a Stable Outlook. KEY RATING DRIVERS The OFH are rated 'AAA', four notches above BNP Paribas SA's (BNPP) Long-Term Issuer Default Rating (IDR) of 'A+', which acts as the reference IDR for this programme. This is based on an IDR uplift of two notches, a payment continuity uplift (PCU) of three notches, a recovery uplift of two notches and the programme's 83.0% asset percentage (AP), which is the AP used for the purpose of the asset coverage test (ACT) and publicly disclosed in the investor report, which provides more protection than Fitch's 94.5% 'AAA' breakeven AP. The Stable Outlook on the OFH reflects the significant buffer against a downgrade of BNPP's IDR due to the different uplift factors above the reference IDR and the available overcollateralisation. IDR Uplift We have maintained the IDR uplift of two notches, given OFH's exemption from bail-in, Fitch's assessment that resolution of the issuer banking group will not result in the direct enforcement of recourse against the cover pool, and the low risk of undercollateralisation for OFH at the point of resolution, in Fitch's view (see Fitch's Jurisdictional Analysis of the Risk of Undercollateralisation of Covered Bonds - Excel file), and that BNPP's IDR is driven by the bank's 'a+' Viability Rating. PCU Fitch has maintained the PCU of three notches based on the OFH principal and interest protection provided by a six months pre-maturity reserve. Fitch has applied the PCU corresponding to the weaker protection, as soft bullet issues, with a 12 month maturity extension, represent only 58% of the total outstanding covered bonds. Recovery Uplift The programme benefits from a two-notch recovery uplift, as the AP which Fitch relies upon in its analysis can cover credit losses in an 'AAA' rating scenario. Breakeven Asset Percentage Fitch's 'AAA' breakeven AP remains 94.5% driven by the 'AAA' credit loss. The credit loss has decreased since the last review to 5.6% from 6.0% driven by the decline in the share of riskier assets originated by BNP Paribas Personal Finance in the cover pool (6.6% as of March 2017 compared with 9.2% as of March 2016). The 94.5% 'AAA' breakeven AP is equivalent to 5.8% breakeven overcollateralisation (OC). It is based on the combination of a 'AA' floor and a two-notch uplift for recoveries given default. RATING SENSITIVITIES The rating of BNP Paribas Home Loan SFH's obligations de financement de l'habitat would be vulnerable to a downgrade if any of the following occurs: (i) BNP Paribas SA's Long-Term Issuer Default Rating was downgraded by four notches to 'BBB' or below; or (ii) the level of AP that Fitch gives credit to in its analysis increases above Fitch's 'AAA' breakeven AP of 94.5%. Contact: Primary Analyst Dejan Glavas Analyst +33 1 44 29 91 26 Fitch France SAS 60, rue de Monceau 75008 Paris Secondary Analyst William Rossiter Director +33 1 44 29 91 47 Committee Chairperson Emmanuelle Ricordeau Senior Director +33 1 44 29 91 48 Media Relations: Athos Larkou, London, Tel: +44 203 530 1549, Email: Additional information is available on Applicable Criteria Covered Bonds Rating Criteria (pub. 26 Oct 2016) here Criteria Addendum: France - Residential Mortgage Assumptions (pub. 08 Dec 2016) here EMEA RMBS Rating Criteria (pub. 29 Nov 2016) here Fitch's Cover Assets Refinancing Spread Level (RSL) Assumptions - Excel file (pub. 20 Jan 2017) here Fitch's Interest Rate Stress Assumptions for Structured Finance and Covered Bonds - Excel File (pub. 17 Feb 2017) here Global Bank Rating Criteria (pub. 25 Nov 2016) here Structured Finance and Covered Bonds Counterparty Rating Criteria (pub. 20 Mar 2017) here Structured Finance and Covered Bonds Counterparty Rating Criteria: Derivative Addendum (pub. 20 Mar 2017) here Structured Finance and Covered Bonds Interest Rate Stresses Rating Criteria (pub. 17 Feb 2017) here Additional Disclosures Dodd-Frank Rating Information Disclosure Form here Solicitation Status here#solicitation Endorsement Policy here ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: here. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEB SITE AT WWW.FITCHRATINGS.COM. PUBLISHED RATINGS, CRITERIA, AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE, AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE CODE OF CONDUCT SECTION OF THIS SITE. DIRECTORS AND SHAREHOLDERS RELEVANT INTERESTS ARE AVAILABLE here. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE. Copyright © 2017 by Fitch Ratings, Inc., Fitch Ratings Ltd. and its subsidiaries. 33 Whitehall Street, NY, NY 10004. 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