Morningstar DBRS Assigns Credit Rating to Boursorama Master Home Loans France

DBRS Ratings GmbH (Morningstar DBRS) assigned a AA (sf) credit rating to the EUR 522.5 million Series 2024-01 Class A Notes issued by Boursorama Master Home Loans France (the Issuer). Morningstar DBRS assigned the credit rating following the notes issuance on the 26 February 2024 payment date. As of the payment date, all portfolio revolving conditions had been met.

Morningstar DBRS continues to rate the Series 2022-01 (together with the Series 2024-01, the Class A Notes) at AA (sf).

The credit rating on the Class A Notes addresses the timely payment of interest and the ultimate repayment of principal by the legal final maturity date in December 2066.

The Issuer was established as a fond commun de titrisation governed by French regulations. The transaction features a master trust structure with a four-year revolving period during which time the Issuer may issue additional series of Class A Notes to acquire additional home loans (including construction receivables) and their ancillary rights from the seller, subject to the availability of principal collections, eligibility criteria, and as long as no revolving period termination event has occurred, up to a maximum Class A Notes principal outstanding amount of EUR 10 billion. On each subsequent issue date, the Class B Notes shall be mandatorily redeemed in full in accordance with the revolving period priority of payments and new Class B Notes shall be issued, maintaining the initial credit enhancement. The home loans in the portfolio are secured by a Crédit Logement, SA guarantee.

After the revolving period ends in December 2026, the notes will begin to amortise according to the normal amortisation period priority of payments. If an accelerated amortisation event or a sequential amortisation event occurs and is continuing, the Class B Notes will not amortise until the Class A Notes have been redeemed in full. France Titrisation manages the transaction.

PORTFOLIO PERFORMANCE
As of February 2024 payment date, there are no loans more than one month in arrears. The 0 to 30 days delinquency ratio stood at 0.12%, and the gross cumulative default ratio stood at 0.02% of the initial portfolio.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS maintained its base case PD and LGD assumptions at 2.2% and 1.7%, respectively. Morningstar DBRS continues to base its analysis on worst-case portfolios constructed to address potential migration toward the riskiest products during the revolving period.

CREDIT ENHANCEMENT
The Class A Notes benefit from 5.0% credit enhancement, which consists of subordination of the Class B Notes. Additionally, the Class A Notes benefit from a general reserve fund, which shall provide liquidity support for the payments of senior fees and interest on the Class A Notes, amortising in line with their outstanding balance and fully funded at closing by the originator. Any released amounts following the reserve’s amortisation will flow through the priority of payments.

Furthermore, the transaction benefits from a commingling reserve, fully funded by the originator made available in the event of a servicer disruption that results in collections not being available on any payment date. Such a reserve, set at 1.2% of the outstanding balance of the notes, shall be nonamortising.

Liquidity for the Class A Notes is also supported by the combined waterfall structure, whereby all monthly collections are distributed through a single priority of payments (principal to pay interest).

The transaction account bank is Société Générale, S.A. (SocGen). Based on SocGen’s reference rating of AA (low), one notch below the Morningstar DBRS Long Term Critical Obligations Rating of AA, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to SocGen to be consistent with the credit rating of the Class A Notes, as described in Morningstar DBRS' "Legal Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS’ credit rating on the Class A Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents.

Morningstar DBRS’ credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations.

Morningstar DBRS’ long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the term under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the “Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings” at https://dbrs.morningstar.com/research/427030.

Morningstar DBRS analysed the transaction structure in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is: Master European Structured Finance Surveillance Methodology (11 December 2023), https://dbrs.morningstar.com/research/425148.

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

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

In Morningstar DBRS’ opinion, the changes under consideration do not warrant the application of the entire principal methodology. Given the master trust structure, no asset or cash flow analysis was conducted as the asset portfolio complies with the composition limits set forth in the transaction legal documents and current transaction performance is within expectations.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to Appendix C: The Impact of Sovereign Ratings on Other DBRS Morningstar Credit Ratings of the “Global Methodology for Rating Sovereign Governments” at: https://dbrs.morningstar.com/research/421590.

The sources of data and information used for these credit ratings include investor reports provided by France Titrisation and loan-level data provided by the European DataWarehouse GmbH.

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

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

Morningstar DBRS considers the data and information available to it for the purposes of providing these credit ratings to be of satisfactory quality.

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

This credit rating concerns a newly issued financial instrument. This is the first Morningstar DBRS credit rating on this financial instrument.

The last credit rating actions on this transaction took place on 17 November 2023, when Morningstar DBRS confirmed its AA (sf) credit ratings on the Series 2022-01.
Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies is available at dbrs.morningstar.com.

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit rating, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit rating (the base case):

-- Morningstar 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 the credit rating.
-- The base case PD and LGD of the current pool of loans for the Issuer are 2.2% and 1.7%, respectively.
-- The risk sensitivity overview below illustrates the credit 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 credit rating on the Class A Notes would be expected to remain at AA (sf), assuming no change in the PD. If the PD increases by 50%, the credit rating on the Class A Notes would be expected to remain at AA (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the credit rating on the Class A Notes would also be expected to fall to AA (low) (sf).

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

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on DBRS Morningstar historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

These credit ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Baran Cetin, Senior Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 24 November 2022

DBRS Ratings GmbH
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Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Legal Criteria for European Structured Finance Transactions (30 June 2023), https://dbrs.morningstar.com/research/416730
-- Master European Structured Finance Surveillance Methodology (11 December 2023), https://dbrs.morningstar.com/research/425148
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (23 January 2024),
https://dbrs.morningstar.com/research/427030
-- Operational Risk Assessment for European Structured Finance Originators (15 September 2023), https://dbrs.morningstar.com/research/420573
-- Operational Risk Assessment for European Structured Finance Servicers (15 September 2023), https://dbrs.morningstar.com/research/420572
-- Interest Rate Stresses for European Structured Finance Transactions (15 September 2023), https://www.dbrsmorningstar.com/research/420602
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda (13 September 2023) and EU RMBS Credit Model v.1.0.0.0,
https://dbrs.morningstar.com/research/420575

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

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