Morningstar DBRS Assigns Provisional Credit Ratings of (P) AAA (sf) to FCT Crédit Agricole Habitat 2025

DBRS Ratings GmbH (Morningstar DBRS) assigned provisional credit ratings to the residential mortgage-backed notes to be issued by FCT Crédit Agricole Habitat 2025 (the Issuer) as follows:

-- Class A1 Notes at (P) AAA (sf)
-- Class A2 Notes at (P) AAA (sf)

The credit ratings on the Class A1 and the Class A2 Notes (together, the Class A Notes) address the timely payment of interest and the ultimate repayment of principal.

Morningstar DBRS does not rate the Class B Notes or the Residual Units also to be issued in this transaction.

CREDIT RATING RATIONALE
The Issuer, a special-purpose vehicle expected to be established as a Fond Commun de Titrisation (FCT) governed by French regulations, will use the proceeds of the Class A Notes, Class B Notes, and Residual Units to purchase a portfolio of home loans from 37 of the 39 caisses régionales de Crédit Agricole Mutuel and Le Crédit Lyonnais (the Sellers, or the Regional Banks and LCL) at closing. At the issue date, the initial portfolio of home loans will be sold to the Issuer with the proceeds of the Class A Notes, Class B Notes, and Residual Units. The FCT will have a revolving period during which time the sellers may sell additional home loans to the Issuer subject to amortisation events. After the revolving period ending in January 2030, the notes will be repaid if the Regional Banks agree to repurchase the loans at a price that allows for the full repayment of the notes.

The home loans in the portfolio will be secured by either a mortgage over the relevant property, a CAMCA Assurance S.A. guarantee, or a Crédit Logement guarantee. The sellers of the home loans will be the regional banks and LCL. Each seller will be the servicer of its respective portfolio and contribute an amount to fund the liquidity reserve account at closing equal to the contribution ratio, calculated as a percentage of the total initial amount of the Class A and Class B Notes at the issue date, multiplied by the liquidity reserve required deposit amount.

The Class A Notes will benefit from 5% credit enhancement, which will consist of subordination of the Class B Notes. Additionally, the Class A Notes will benefit from a nonamortising liquidity reserve, which will be funded at the issue date to an amount equal to 0.8% of the initial balance of the Class A and Class B Notes. The nonamortising liquidity reserve will be available to cover senior expenses and fees, swap net cash flow amounts, and Class A interest.

Additionally, the transaction will benefit from a EUR 200,000 Costs Reserve to be funded at closing, which the Issuer will use to pay Issuer expenses due to Crédit Agricole Corporate and Investment Bank (CA CIB or the Account Bank).

Up to and including the January 2030 payment date, the Class A Notes will pay a floating coupon rate of three-month Euribor plus a margin floored at 0.0%. Following the January 2030 payment date, the Class A Notes will step up to pay a higher coupon, also floored at 0.0%. The Class B Notes will bear a fixed coupon during the transaction's life. Both the Class A and Class B Notes will pay interest on a quarterly basis.

The Issuer will enter into a swap agreement in which the swap counterparty will pay the Issuer an amount, defined as the Class A Notes outstanding balance multiplied by three-month Euribor plus the Class A margin, floored at 0.0%, until January 2030 and by three-month Euribor plus the Class A step-up margin, floored at 0.0% thereafter. The Issuer will pay the swap counterparty an amount equal to the weighted-average (WA) portfolio coupon less 100 basis points.

As of 31 January 2025, the portfolio consisted of 21,900 loans with an aggregate principal balance of EUR 2,737 million. The average loan per borrower is EUR 148,628. The portfolio's WA seasoning is 12 months with a WA remaining term of 245 months. The portfolio's WA indexed loan-to-value is 70.2% and the WA coupon is 3.6%. There are no buy-to-let loans in the portfolio. The entire portfolio comprises fixed-for-life loans, with no interest-only loans. Approximately 20% of the borrowers are self-employed.

CA CIB will act as the Account Bank, Specially Dedicated Account Bank, and Swap Counterparty for the transaction. CA CIB's current credit rating complies with the threshold for the Account Bank and Swap Counterparty given the provisional credit rating assigned to the Class A Notes. Additionally, the transaction documents include downgrade language triggers should CA CIB be downgraded below a certain credit rating threshold. The transaction documents also include a commingling trigger event, which references Crédit Agricole S.A.'s credit rating if the servicers are part of the Crédit Agricole Group.

The provisional credit ratings address the timely payment of interest and the Issuer's obligation to repay the full principal amount on the Class A Notes by the legal final maturity date in December 2062. Morningstar DBRS does not expect to rate the Class B Notes.

Morningstar DBRS' credit ratings on the Class A Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related interest amounts and the related note balances.

Morningstar DBRS' credit ratings on the Class A Notes also address the credit risk associated with the increased rate of interest applicable to the Class A Notes if the Class A Notes are not redeemed on the Optional Redemption Date (as defined in and) in accordance with the applicable transaction document(s).

Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) 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 terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND 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 Factors in Credit Ratings at https://dbrs.morningstar.com/research/437781.

Morningstar DBRS analysed the transaction structure in Intex DealMaker, considering the default rates at which the rated notes did not return all specified cash flows.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is: European RMBS Insight Methodology (28 February 2025), https://dbrs.morningstar.com/research/449129.

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

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

Due to the inclusion of a revolving period in the transaction, the analysis considers potential portfolio migration based on replenishment criteria set forth in the transaction legal documents.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Credit Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.

The sources of data and information used for these credit ratings include Crédit Agricole S.A. and its representatives, including loan-level data as of 31 January 2025 and historical performance data (delinquencies, defaults, recoveries, and payment data) covering the period from January 2014 to December 2024.

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

Morningstar DBRS was supplied with third-party assessments. However, this did not affect 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.

A provisional credit rating is not a final credit rating with respect to the above-mentioned security and may change or be different than the final credit rating assigned or may be discontinued. The assignment of a final credit rating on the above-mentioned securities is subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalise the credit ratings.

These credit ratings concern expected-to-be-issued new financial instruments. These are the first Morningstar DBRS credit ratings on these financial instruments.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on https://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 ratings (the base case):

-- In respect of the Class A Notes, a probability of default (PD) of 16.7% and loss given default (LGD) of 18.7%, corresponding to the AAA (sf) credit rating scenario, was stressed assuming a 25% and 50% increase in the PD and LGD.

Morningstar DBRS concludes the following impact on the Class A Notes:
-- 25% increase in the PD, ceteris paribus, would not lead to a downgrade;
-- 50% increase in the PD, ceteris paribus, would not lead to a downgrade;
-- 25% increase in the LGD, ceteris paribus, would not lead to a downgrade;
-- 50% increase in the LGD, ceteris paribus, would lead to a one-notch downgrade to AA (high) (sf);
-- 25% increase in the PD and 25% increase in the LGD, ceteris paribus, would lead to a one-notch downgrade to AA (high) (sf);
-- 50% increase in the PD and 25% increase in the LGD, ceteris paribus, would lead to a one-notch downgrade to AA (high) (sf);
-- 25% increase in the PD and 50% increase in the LGD, ceteris paribus, would lead to a one-notch downgrade to AA (high) (sf);
-- 50% increase in the PD and 50% increase in the LGD, ceteris paribus, would lead to a two-notches downgrade to AA (sf).

For further information on Morningstar DBRS 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 Morningstar DBRS 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: André Soutinho, Senior Analyst
Rating Committee Chair: Rehanna Sameja, Senior Vice President
Initial Rating Date: 24 March 2025

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

-- European RMBS Insight Methodology and European RMBS Insight Model version 10.1.0.0 (28 February 2025), https://dbrs.morningstar.com/research/449129
-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024), https://dbrs.morningstar.com/research/443196
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024), https://dbrs.morningstar.com/research/439913
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024), https://dbrs.morningstar.com/research/439571
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024), https://dbrs.morningstar.com/research/437781

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/439604.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.