DBRS Confirms Rating on FCT Crédit Agricole Habitat 2015

DBRS Ratings Limited (DBRS) has today confirmed its AAA (sf) rating on the Class A notes issued by FCT Crédit Agricole Habitat 2015 (the Issuer).

The rating action on the Class A notes is based on the following analytical considerations, as described more fully below:

-- Portfolio performance, in terms of delinquencies and defaults, as of the September 2016 payment date.
-- Probability of default (PD), loss given default (LGD) and expected loss assumptions for the remaining collateral pool.
-- Current available credit enhancement to the Class A notes to cover the expected losses at their current rating levels.

FCT Crédit Agricole Habitat 2015 is a securitisation of French home loans originated and serviced by 39 Caisses Régionales de Crédit Agricole Group (the Sellers). The transaction has a five-year revolving period during which time each of the Sellers may sell additional home loans to the Issuer subject to eligibility criteria and portfolio limits defined in the transaction documents.

Home loans in the portfolio are guaranteed by either a mortgage over the relevant property, a CAMCA Assurance S.A. guarantee or a Crédit Logement guarantee.

As of the September 2016 payment date, the 90+ delinquency ratio was at 0.04% of the performing portfolio. The cumulative default ratio was at 0.03% of the original portfolio balance (including further loans purchased during the revolving period).

As of the September 2016 payment date, credit enhancement to the Class A notes was 14.00%, which consists of subordination of the Class B notes. Additionally, the Class A notes benefit from a non-amortising Liquidity Reserve equal to 1% of the initial outstanding amount of the Class A and Class B notes and available to cover senior fees and interest on the Class A notes. The Liquidity Reserve was at the target level of EUR 100 million.

Crédit Agricole S.A. acts as Account Bank for this transaction. The DBRS public rating of Crédit Agricole S.A. at A (high) complies with the Minimum Institution Rating, given the rating assigned to the Class A notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

An asset and a cashflow analysis were both conducted. However, because of the inclusion of a revolving period in the transaction and no change in assumptions, the initial analysis based on worst-case replenishment criteria set forth in the transaction legal documents was assumed.

A review of the transaction legal documents was not conducted as the documents have remained unchanged since the most recent rating action.

Other methodologies referenced in this transaction are listed at the end of this press release.

These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include reports provided by EuroTritisation (the Management Company) and loan-by-loan data from European DataWarehouse GmbH.

DBRS does not rely upon third-party due diligence in order to conduct its analysis.

DBRS was supplied with third-party assessments at closing. However, this did not impact the rating analysis.

DBRS considers the information available to it for the purposes of providing this rating to be of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

This is the first rating action since the Initial Rating Date.

Information regarding DBRS ratings, including definitions, policies and methodologies, is available on www.dbrs.com.

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios as compared with the parameters used to determine the rating (the base case). Considering the revolving pool for the FCT Crédit Agricole Habitat 2015 transaction, DBRS calculates the sensitivity analysis on the most stressful portfolio. The results are reported below:
-- The base case PD and LGD of the current pool of mortgages for the Issuer are 3.06% and 26.63%, respectively. At the AAA (sf) rating level, the corresponding PD is 25.87% and the LGD is 54.87%.

-- The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating of the Class A notes would be expected to fall to AA (sf), assuming no change in the PD. If the PD increases by 50%, the rating for the Class A notes would be expected to fall to AA (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A notes would be expected to fall to A (sf).

Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (high) (sf).
-- 50% increase in LGD, expected rating of AA (sf).
-- 25% increase in PD, expected rating of AA (high) (sf).
-- 50% increase in PD, expected rating of AA (sf).
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (sf).
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf).
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf).
-- 50% increase in PD and 50% increase in LGD, expected rating of A (sf).

For further information on DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Initial Lead Analyst: Keith Gorman
Initial Rating Date: 19 October 2015
Initial Rating Committee Chair: Diana Turner

Lead Surveillance Analyst: Antonio di Marco, Senior Financial Analyst
Rating Committee Chair: Erin Stafford, Managing Director

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The rating methodologies and criteria used in the analysis of this transaction can be found at http://www.dbrs.com/about/methodologies.

-- Legal Criteria for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Originators
-- Operational Risk Assessment for European Structured Finance Servicers
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Unified Interest Rate Model for European Securitisations

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.