DBRS Confirms Class A Notes Issued by FCT Credit Agricole Habitat 2017

DBRS Ratings Limited (DBRS) confirmed its AAA (sf) rating on the Class A notes issued by FCT Credit Agricole Habitat 2017 (the Issuer).

The confirmation follows an annual review of the transaction and is based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies and defaults as of the December 2017 payment date;
-- Probability of default rate (PD), loss given default rate (LGD) and expected loss assumptions for the remaining collateral pool;
-- Current credit enhancement (CE) available to the Class A notes to cover the expected losses at the AAA (sf) rating level.

FCT Credit Agricole Habitat 2017 is a securitisation of French home loans originated and serviced by the 39 regional banks of Crédit Agricole Mutuel (also the Sellers) that closed in February 2017. The issued notes have been used to fund the purchase of mortgage-backed and guarantee-backed loans to finance the acquisition, renovation, construction and refinancing of the acquisition of residential properties located in France. The transaction’s final maturity date falls in June 2052.

The home loans in the portfolio are either secured by the relevant properties, or guaranteed by CAMCA Assurance S.A. or Crédit Logement SA (DBRS Long-Term Issuer Rating AA (low)).

PORTFOLIO PERFORMANCE AND ASSSUMPTIONS
The asset portfolio is performing within DBRS’s expectations. As of 30 November 2017, loans more than 90 days delinquent as a percentage of the outstanding collateral pool balance were at 0.01%, and loans more than 30 days delinquent were at 0.10%. The cumulative default ratio was at 0.03% of the original portfolio balance. DBRS has maintained the base-case PD and LGD assumptions for the remaining collateral pool at 1.9% and 19.8%, respectively.

CREDIT ENHANCEMENT
As of the December 2017 payment date, the CE available to the Class A notes was at 14.1%, up from 11.8% at closing, and 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 that is available to cover senior fees and interest on the Class A notes. The Liquidity Reserve was fully funded by the Sellers on the issue date at the target level of EUR 11.4 million.

Crédit Agricole S.A. (CA) acts as Account Bank to the transaction. The DBRS Long-Term Issuer Rating of CA at AA (low) 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.

Crédit Agricole Corporate & Investment Bank (CA-CIB) acts as the swap counterparty to the transaction. The DBRS private rating of CA-CIB meets the first rating threshold as described in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology, given the rating assigned to the Class A notes.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is: “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.

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 the 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 “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.

The sources of data and information used for this rating action include the investor reports provided by EuroTitrisation, the management company, and the loan-by-data obtained from European DataWarehouse GmbH.

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

At the time of the initial rating, DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.

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

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

This is the first rating action since the provisional rating was finalised on 28 February 2017.

The lead analyst responsibilities for this transaction have been transferred to Kevin Ma.

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

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the Base Case):

-- DBRS expected a base case PD and LGD for the remaining collateral pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.

-- The base-case PD and LGD assumptions for the remaining collateral pool are 1.9% and 19.8%, respectively. At the AAA (sf) rating level, the corresponding PD is 22.5% and the LGD is 47.5%.

-- 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 on the Class A notes would be expected to be at AA (high) (sf), assuming no change in the PD. If the PD increases by 50%, the rating on the Class A notes would be expected to be at AA (high) (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating on the Class A notes would be expected to be at AA (sf).

Class A notes risk sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf).
-- 50% increase in LGD, expected rating of AA (high) (sf).
-- 25% increase in PD, expected rating of AAA (sf).
-- 50% increase in PD, expected rating of AA (high) (sf).
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf).
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf).
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf).
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (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 and US regulations only.

Lead Analyst: Kevin Ma, Vice President
Rating Committee Chair: Vito Natale, Senior Vice President
Initial Rating Date: 26 January 2017

DBRS Ratings Limited
20 Fenchurch Street, 31st Floor,
London EC3M 3BY
United Kingdom
Registered in England and Wales: No. 7139960

The rating methodologies 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
-- Derivative Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Interest Rate Stresses for European Structured Finance Transactions
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda

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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.