Reuters logo
Fitch Affirms Credit Agricole Home Loan SFH's OFH at 'AAA'; Outlook Stable
June 2, 2017 / 10:12 AM / 6 months ago

Fitch Affirms Credit Agricole Home Loan SFH's OFH at 'AAA'; Outlook Stable

(The following statement was released by the rating agency) PARIS, June 02 (Fitch) Fitch Ratings has affirmed Credit Agricole Home Loan SFH's (CA HL SFH) EUR25.4 billion obligations de financement de l'habitat (OFH) at 'AAA' with a Stable Outlook. KEY RATING DRIVERS The review of CA HL SFH's programme followed the upgrade of Credit Agricole SA's (CA SA) Long-Term Issuer Default Rating (IDR) to 'A+' from 'A', which acts as the reference IDR for this programme. The OFH are rated 'AAA', four notches above the programme's reference IDR. The rating is based on an IDR uplift of two notches, which constitutes a higher covered bond rating floor at 'AA', a Payment Continuity Uplift (PCU) of six notches, a recovery uplift of two notches and the programme's revised 88% asset percentage (AP) used for the purpose of the asset cover test (ACT), providing more protection than Fitch's revised 93.0% 'AAA' breakeven AP. The Stable Outlook on the OFH reflects the significant buffer against a downgrade of CA SA's IDR. Breakeven Asset Percentage The breakeven AP of 93.0% (equivalent to 7.5% breakeven over-collateralisation) is no longer based on a tested rating on a probability of default basis. The one-notch upgrade of the reference IDR has resulted in a higher covered bond rating floor for the programme of 'AA', which is based on an IDR uplift of two notches from CA SA's Long-Term IDR. Hence, the breakeven AP is driven by the credit loss of the residential loan portfolio at a 'AAA' rating level, necessary to achieve a two-notch recovery uplift from the covered bond rating floor. The 'AAA' credit loss has increased to 7.5% from 6.6% due to a less seasoned portfolio with higher current loan-to-value, which has undermined the recovery rate resulting from the asset analysis. IDR Uplift The programme's IDR uplift remains unchanged at two notches. This uplift relies on 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, the low risk of under-collateralisation for OFH at the point of resolution, and on CA SA's IDR being driven by the bank's Viability Rating of 'a+'. Payment Continuity Uplift The programme PCU uplift remains unchanged at six notches, which is standard given the 12 months extension included in the soft bullet issuance for a programme secured by French residential mortgages, and the protection for interest payment covering at least three months. Even if there are hard bullet covered bonds outstanding under the programme, Fitch has not applied the PCU corresponding to the weaker protection, as they represent only 10.1% of total outstanding while only soft bullet series have been issued since November 2014, which represents 89.9% 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. RATING SENSITIVITIES The rating of the obligations de financement de l'habitat issued by Credit Agricole Home Loan SFH would be vulnerable to a downgrade if any of the following occurs: (i) Credit Agricole SA's Issuer Default Rating is downgraded by seven notches to 'BB' or below; (ii) the level of AP that Fitch gives credit to in its analysis increases above Fitch's 'AAA' breakeven AP of 93.0%. Contact: Primary Analyst Raul Domingo Director +33 1 44 29 91 70 Fitch France SAS 60 rue de Monceau 75008 Paris Secondary Analyst Dejan Glavas Analyst +33 1 44 29 91 26 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 Structured Finance and Covered Bonds Counterparty Rating Criteria (pub. 23 May 2017) here Structured Finance and Covered Bonds Counterparty Rating Criteria: Derivative Addendum (pub. 23 May 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. Telephone: 1-800-753-4824, (212) 908-0500. Fax: (212) 480-4435. Reproduction or retransmission in whole or in part is prohibited except by permission. All rights reserved. In issuing and maintaining its ratings and in making other reports (including forecast information), Fitch relies on factual information it receives from issuers and underwriters and from other sources Fitch believes to be credible. Fitch conducts a reasonable investigation of the factual information relied upon by it in accordance with its ratings methodology, and obtains reasonable verification of that information from independent sources, to the extent such sources are available for a given security or in a given jurisdiction. The manner of Fitch’s factual investigation and the scope of the third-party verification it obtains will vary depending on the nature of the rated security and its issuer, the requirements and practices in the jurisdiction in which the rated security is offered and sold and/or the issuer is located, the availability and nature of relevant public information, access to the management of the issuer and its advisers, the availability of pre-existing third-party verifications such as audit reports, agreed-upon procedures letters, appraisals, actuarial reports, engineering reports, legal opinions and other reports provided by third parties, the availability of independent and competent third- party verification sources with respect to the particular security or in the particular jurisdiction of the issuer, and a variety of other factors. Users of Fitch’s ratings and reports should understand that neither an enhanced factual investigation nor any third-party verification can ensure that all of the information Fitch relies on in connection with a rating or a report will be accurate and complete. Ultimately, the issuer and its advisers are responsible for the accuracy of the information they provide to Fitch and to the market in offering documents and other reports. In issuing its ratings and its reports, Fitch must rely on the work of experts, including independent auditors with respect to financial statements and attorneys with respect to legal and tax matters. Further, ratings and forecasts of financial and other information are inherently forward-looking and embody assumptions and predictions about future events that by their nature cannot be verified as facts. As a result, despite any verification of current facts, ratings and forecasts can be affected by future events or conditions that were not anticipated at the time a rating or forecast was issued or affirmed. The information in this report is provided “as is” without any representation or warranty of any kind, and Fitch does not represent or warrant that the report or any of its contents will meet any of the requirements of a recipient of the report. A Fitch rating is an opinion as to the creditworthiness of a security. This opinion and reports made by Fitch are based on established criteria and methodologies that Fitch is continuously evaluating and updating. Therefore, ratings and reports are the collective work product of Fitch and no individual, or group of individuals, is solely responsible for a rating or a report. The rating does not address the risk of loss due to risks other than credit risk, unless such risk is specifically mentioned. Fitch is not engaged in the offer or sale of any security. All Fitch reports have shared authorship. Individuals identified in a Fitch report were involved in, but are not solely responsible for, the opinions stated therein. The individuals are named for contact purposes only. A report providing a Fitch rating is neither a prospectus nor a substitute for the information assembled, verified and presented to investors by the issuer and its agents in connection with the sale of the securities. Ratings may be changed or withdrawn at any time for any reason in the sole discretion of Fitch. Fitch does not provide investment advice of any sort. Ratings are not a recommendation to buy, sell, or hold any security. Ratings do not comment on the adequacy of market price, the suitability of any security for a particular investor, or the tax-exempt nature or taxability of payments made in respect to any security. Fitch receives fees from issuers, insurers, guarantors, other obligors, and underwriters for rating securities. Such fees generally vary from US$1,000 to US$750,000 (or the applicable currency equivalent) per issue. In certain cases, Fitch will rate all or a number of issues issued by a particular issuer, or insured or guaranteed by a particular insurer or guarantor, for a single annual fee. Such fees are expected to vary from US$10,000 to US$1,500,000 (or the applicable currency equivalent). The assignment, publication, or dissemination of a rating by Fitch shall not constitute a consent by Fitch to use its name as an expert in connection with any registration statement filed under the United States securities laws, the Financial Services and Markets Act of 2000 of the United Kingdom, or the securities laws of any particular jurisdiction. Due to the relative efficiency of electronic publishing and distribution, Fitch research may be available to electronic subscribers up to three days earlier than to print subscribers. For Australia, New Zealand, Taiwan and South Korea only: Fitch Australia Pty Ltd holds an Australian financial services license (AFS license no. 337123) which authorizes it to provide credit ratings to wholesale clients only. Credit ratings information published by Fitch is not intended to be used by persons who are retail clients within the meaning of the Corporations Act 2001

Our Standards:The Thomson Reuters Trust Principles.
0 : 0
  • narrow-browser-and-phone
  • medium-browser-and-portrait-tablet
  • landscape-tablet
  • medium-wide-browser
  • wide-browser-and-larger
  • medium-browser-and-landscape-tablet
  • medium-wide-browser-and-larger
  • above-phone
  • portrait-tablet-and-above
  • above-portrait-tablet
  • landscape-tablet-and-above
  • landscape-tablet-and-medium-wide-browser
  • portrait-tablet-and-below
  • landscape-tablet-and-below