DBRS Confirms Rating of FCT Credit Agricole Habitat 2015

DBRS Ratings Limited (DBRS) confirmed its rating of the Class A notes issued by FCT Credit Agricole Habitat 2015 (the Issuer) at AAA (sf).
The rating addresses the timely payment of interest and ultimate payment of principal on or before the legal final maturity date.

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

-- Portfolio performance, in terms of delinquencies, defaults and losses.
-- Probability of default (PD), loss given default (LGD) and expected loss assumptions for the revolving collateral pool.
-- Current available credit enhancement to the Class A notes to cover the expected losses at the AAA (sf) rating level.
-- No revolving termination events have occured.

FCT Crédit Agricole Habitat 2015, which closed in October 2015, is a securitisation of French home loans originated and serviced by 39 Caisses Régionales de Crédit Agricole (the Sellers). The transaction has a five-year revolving period scheduled to end in September 2020, 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, which have been met to date.

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

PORTFOLIO PERFORMANCE
As of the June 2019 payment date, loans that were two- to three-months in arrears represented 0.1% of the outstanding portfolio balance, stable since June 2018. The 90+ delinquency ratio was 0.1%, also stable since June 2018. As of June 2019, the cumulative default ratio was 0.4% of the original portfolio balance plus aggregate additional purchases.

PORTFOLIO ASSUMPTIONS
DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and has maintained its base case PD and LGD assumptions at 3.1% and 26.6%, respectively.

CREDIT ENHANCEMENT
As of the June 2019 payment date, credit enhancement to the Class A notes was 14.0%, stable since the DBRS initial rating due to the transaction revolving period ending in September 2020. Credit enhancement is provided by subordination of the Class B notes.

The transaction benefits from a non-amortising liquidity reserve, currently at its target level of EUR 100.0 million. The liquidity reserve is available to cover shortfalls in senior fees and Class A interest.

Crédit Agricole S.A. acts as the account bank for the transaction. Based on the account bank reference rating of Crédit Agricole S.A. at AA, which is one notch below the DBRS public Long-Term Critical Obligations Rating of AA (high), the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS considers the risk arising from the exposure to the account bank to be consistent with the rating assigned to the Class A notes, as described in DBRS's "Legal Criteria for European Structured Finance Transactions" methodology.

The transaction structure was analysed in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating 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 cash flow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents.

A review of the transaction legal documents was not conducted as the legal 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 “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/333487/rating-sovereign-governments.pdf.

The sources of data and information used for this rating include investor reports provided by EuroTitrisation and loan-level data provided by the 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 purpose 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.

The last rating action on this transaction took place on 18 September 2018, when DBRS confirmed the rating of the Class A notes.

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 with the parameters used to determine the rating (the Base Case):

-- DBRS expected a lifetime base case PD and LGD for the 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 of the current pool of loans for the Issuer are 3.1% and 26.6%, respectively.
-- 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 of 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 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 and US regulations only.

Lead Analyst: Andrew Lynch, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 19 October 2015

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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
-- Operational Risk Assessment for European Structured Finance Servicers
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Interest Rate Stresses for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Originators

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.