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

Fitch Affirms Credit Mutuel-CIC 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 Mutuel-CIC Home Loan SFH's (CM-CIC 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 CM-CIC HL SFH's parent,Banque Federative du Credit Mutuel's (BFCM) Long-Term Issuer Default Rating (IDR) 'A+'/Stable, which acts as reference IDR for the programme. The OFH rating is based on an unchanged IDR uplift of two notches, an unchanged payment continuity uplift (PCU) of four notches and an unchanged recovery uplift of two notches. The rating further relies on an asset percentage (AP) of 74.9% used for the purpose of the programme's asset cover test (ACT), which provides more protection than Fitch's revised 90.5% 'AAA' breakeven AP, which is sufficient to achieve a two-notch recovery uplift above the 'AA' floor rating for the OFH. The Stable Outlook on the OFH reflects the significant buffer against a downgrade of BFCM's IDR, which is currently on Stable Outlook. IDR Uplift The programme is eligible for an IDR uplift given exemption from bail-in in a resolution scenario of the secured loans, Fitch's assessment that the resolution of BFCM will not result in the direct enforcement of recourse against the cover pool and the low risk of under-collateralisation at the point of resolution (see Fitch's Jurisdictional Analysis of the Risk of Undercollateralisation of Covered Bonds - Excel file). Fitch has assigned CM-CIC HL SFH's OFH a two-notch IDR uplift, as its reference IDR is based on a mutual support scheme. Payment Continuity Uplift Fitch has maintained the PCU of four notches, based on the liquidity protection of nine months of principal payments provided by the pre-maturity reserve for a programme secured by French residential loans, and three-month liquidity protection available for senior expenses and interest payments. 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 AP for the Rating The 'AAA' breakeven AP for the OFH rating has increased to 90.5% from 89.5%, which is mainly driven by an improvement in the credit loss of the cover pool to 10.6% from 11.6%. The improvement in the credit loss is due to a higher proportion of loans guaranteed by Credit Logement in the cover pool (28% compared with 26% in last year), which benefit from a lower weighted average foreclosure frequency (WAFF) and a higher weighted average recovery rate (WARR). The 90.5% 'AAA' breakeven AP is equivalent to a 11.0% breakeven over-collateralisation (OC). It is driven by the credit loss as the OFH rating is based on the combination of a 'AA' rating floor and a two-notch uplift for recoveries given default. RATING SENSITIVITIES The 'AAA' rating of CM-CIC HL SFH's OFH would be vulnerable to a downgrade if any of the following occurs: (i) the Banque Federative du Credit Mutuel's (BFCM) Long-Term IDR is downgraded by five notches to 'BBB-' or below; (ii) the relied upon asset percentage (AP) increases above the 'AAA' breakeven AP of 90.5% Fitch's breakeven AP for a given covered bond rating will be affected by, among other factors, the profile of the cover assets relative to outstanding covered bonds, which can change over time even in the absence of new issuance. Therefore, breakeven AP for the covered bond ratings cannot be assumed to remain stable over time. Contact: Primary Analyst Dejan Glavas Analyst +33 1 44 29 91 26 Fitch France S.A.S 60, rue de Monceau 75008 Paris Secondary Analyst Raul Domingo Director +33 1 44 29 91 70 Fitch France S.A.S 60 rue de Monceau 75008, Paris Committee Chairperson Emmanuelle Ricordeau Senior Director +33 (0)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 Criteria for Country Risk in Global Structured Finance and Covered Bonds (pub. 26 Sep 2016) here EMEA RMBS Rating Criteria (pub. 29 Nov 2016) 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. 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. 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