Press Release

DBRS Assigns AAA Ratings to CAFFIL Public Sector Obligations Foncières New Issuances

Covered Bonds
May 14, 2019

DBRS Ratings Limited (DBRS) assigned AAA ratings to RCB 2019-5 and two tap issuances, EMTN Series 2018-1B and EMTN Series 2018-7C, issued under the CAFFIL SCF (CAFFIL or the Issuer) Public Sector Covered Bonds Programme (the Programme).

-- RCB 2019-5 is a EUR 10 million fixed-rate bond paying a coupon of 0.333% and maturing on 1 March 2027.
-- EMTN 2018-1B is a EUR 150 million tap of existing Series 2018-1, a fixed-rate bond paying a coupon of 0.5% and maturing on 19 January 2026. Series 2018-1 was issued on 19 January 2018 with a nominal amount of EUR 1 billion.
-- EMTN 2018-7C is a EUR 150 million tap of existing Series 2018-7, a fixed-rate bond paying a coupon of 1.5% and maturing on 28 June 2038. Series 2018-7 was issued on 28 June 2018 with a nominal amount of EUR 500 million and tapped on 1 February 2019 by EUR 150 million.

At the same time, DBRS discontinued its ratings on six series that have matured.

All covered bonds (CBs) issued under the Programme rank pari passu with each other and are currently rated AAA by DBRS.

The ratings are based on the following analytical considerations:
-- Covered Bonds Attachment Point (CBAP) of AA (high), which is the Long-Term Issuer Rating of SFIL SA (SFIL). SFIL is the Reference Entity for the Programme.
-- While the Legal and Structuring Framework (LSF) Assessment does not currently affect the rating in a material way, an LSF Assessment of “Very Strong” is associated with the Programme.
-- A Cover Pool Credit Assessment (CPCA) of A (low) can currently be achieved.
-- An LSF-Implied Likelihood (LSF-L) of AAA can currently be achieved.
-- While the level of recoveries does not currently affect the rating in a material way, a two-notch uplift for high recovery prospects is possible.
-- The level of overcollateralisation (OC) of 9.8% to which DBRS gives credit.

The transaction was analysed using the DBRS European Covered Bond Cash Flow tool. The main assumptions focused on the timing of defaults and recoveries of the assets, interest rate stresses and market value spreads to calculate liquidation values on the cover pool (CP).

To assign ratings to new issuances, the following stressed assumptions are used: a CPCA of BB, because BB is the lowest tested stress level currently compatible with the AAA CB rating, and an LSF-L of AA (high) compatible with this level of CPCA.

Everything else being equal, provided a CPCA of A (low) is currently achievable, a five-notch downgrade of the CBAP would lead to a three-notch downgrade of the LSF-L to AA (low) and a one-notch downgrade of the CB ratings. Based on the BB CPCA (level tested to assign ratings to new issuances), a downgrade of the CBAP by two notches to AA (low) would lead to a downgrade of the LSF-L by two notches to AA (low), resulting in a downgrade of the CB ratings by one notch.

In addition, all else unchanged, the CB ratings would be downgraded if any of the following occurred:
(1) the sovereign rating of the Republic of France was downgraded below AA (low); (2) the relative amortisation profile of the CB and CP moved adversely; or (3) volatility in the financial markets caused the currently estimated market value spreads to increase; (4) the composition of the CP, the level of OC to which DBRS gives credit, interest rate stresses, or foreign currency exposure changed adversely to a degree that a one-notch uplift for good recovery prospects could no longer be granted.

For further information on the Programme, please refer to the rating report at

All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is: “Rating European Covered Bonds”.

In DBRS’s opinion, the changes under consideration do not require the application of the entire principal methodology. Therefore, DBRS focused on the cash flow analysis.

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

These may be found on at:

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:

The sources of data and information used for these ratings include investor reports provided by the Issuer.

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

At the time of the initial ratings, DBRS was not 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 these ratings to be of satisfactory quality.

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

The last rating action on this transaction took place on 3 April 2019, when DBRS assigned a rating of AAA to RCB 2019-3 and RCB 2019-4.

Information regarding DBRS ratings, including definitions, policies and methodologies, is available on

For further information on DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see:

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

Lead Analyst: Roger Bickert, Vice President
Rating Committee Chair: Vito Natale, Managing Director
Initial Rating Date: 10 September 2018

DBRS Ratings Limited
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Registered and incorporated under the laws of England and Wales: Company No. 7139960

The rating methodologies used in the analysis of this transaction can be found at:

-- Rating European Covered Bonds
-- Modelling Assumptions for Portfolios of Public Sector Exposures
-- Global Methodology for Rating Banks and Banking Organisations
-- Legal Criteria for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Interest Rate Stresses for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Originators
-- Operational Risk Assessment for European Structured Finance Servicers
-- Rating Sovereign Governments

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at:

For more information on this credit or on this industry, visit or contact us at [email protected].