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Fitch Affirms BNPP PS SCF's Obligations Foncieres at 'AA'; Outlook Stable
December 17, 2015 / 2:26 PM / 2 years ago

Fitch Affirms BNPP PS SCF's Obligations Foncieres at 'AA'; Outlook Stable

(The following statement was released by the rating agency) PARIS/LONDON, December 17 (Fitch) Fitch Ratings has affirmed BNP Paribas Public Sector SCF (BNPP PS SCF)'s EUR2bn obligations foncieres (OF) at 'AA' with a Stable Outlook. KEY RATING DRIVERS The 'AA' rating of the OF is based on BNP Paribas (BNPP)'s Long-term Issuer Default Rating (IDR) of 'A+', which acts as the reference IDR for this programme, a revised IDR uplift of '1' notch from '2' notches, an unchanged Discontinuity Cap (D-Cap) of '4' notches (moderate discontinuity risk) and on the legal minimum overcollateralisation (OC) level of 5%, which is equal to Fitch's 'AA' breakeven OC. The Stable Outlook on the OF reflect that on BNPP's IDR and on the French sovereign's IDR. The 'AA' rating of the OF is based on BNPP's IDR adjusted by the IDR uplift of 'AA-' and a one-notch recovery uplift corresponding to a recovery given default higher than 51% on the covered bonds. The unchanged 5% 'AA' breakeven OC is mainly driven by a credit loss component of 10%. Other OC components are limited as all assets and liabilities are indexed to a floating interest rate and maturities are well-matched. In Fitch's analysis, the OF rating is credit-linked to the rating of France and the agency assumes that no losses occur on Coface guarantee/insurance exposures in a rating scenario at or below the French sovereign rating. The revision to the IDR uplift reflects Fitch's updated Covered Bonds Rating Criteria, under which the agency no longer gives credit to the large senior unsecured debt buffer for this specialised covered bond-issuing subsidiary as Fitch does not view export credit agency guaranteed/insured receivables as key to the survival of the BNPP group. The IDR uplift of '1' notch reflects Fitch's view that France is a covered bond intensive jurisdiction. The unchanged D-Cap of '4' notches remains driven by the 'moderate' assessment of the liquidity gap and systemic risk component, the six month pre-maturity test being consistent with Fitch's stressed liquidation assumptions for the underlying assets, and the privileged derivatives components. The assessment of asset segregation was revised to 'Low' from 'Very Low' based on the only partial mitigation of commingling risk, with no impact on the D-Cap. RATING SENSITIVITIES The 'AA' rating of the OF would be vulnerable to a downgrade if any of the following occurs: (i) BNPP's IDR is downgraded to 'BB+' or below or (ii) the French sovereign Long-term IDR is downgraded below 'AA'. In its analysis, Fitch relies on the minimum legislative 5% OC applicable to the programme. The agency notes that the 5% OC as well as the 5.5% minimum OC committed by the issuer are unlikely to be sufficient for maintaining the 'AA' rating of the OF, should the reference IDR of the programme be downgraded. Contact: Primary Analyst William Rossiter Director +33 1 44 29 91 47 Fitch France S.A.S. 60 rue de Monceau 75008 Paris Secondary Analyst Francois-Xavier Deucher, CFA Director +33 1 44 29 92 72 Committee Chairperson Emmanuelle Ricordeau Senior Director +33 1 44 29 91 48 Media Relations: Christian Giesen, Frankfurt am Main, Tel: +49 69 768076 232, Email: Additional information is available at Applicable Criteria Asset Analysis Criteria for Covered Bonds of European Public Entities (pub. 16 Feb 2015) here Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014) here Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum (pub. 14 May 2014) here Covered Bonds Rating Criteria (pub. 23 Jul 2015) here Covered Bonds Rating Criteria - Public Sector Liquidity and Refinancing Stress Addendum (pub. 29 Jan 2015) here Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 19 Dec 2014) here Additional Disclosures Dodd-Frank Rating Information Disclosure Form here _id=996901 Solicitation Status here Endorsement Policy here ail=31 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 WEBSITE '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. 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.

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