DBRS Confirms FCT Credit Agricole Habitat 2015

DBRS Ratings Limited (DBRS) confirmed its AAA (sf) rating on the Class A notes issued by FCT Credit Agricole Habitat 2015 (the Issuer).

The rating action on the Class A notes is based on the following analytical considerations, as described more fully below:

-- Portfolio performance, in terms of delinquencies and defaults, as of the June 2017 payment date.
-- Portfolio default (PD) rate, loss given default (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 Crédit Agricole Habitat 2015 closed in October 2015 and is a securitisation of French home loans originated and serviced by 39 Caisses Régionales de Crédit Agricole Group (the Sellers). The transaction has a five-year revolving period from closing 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 (rated AA (low) by DBRS).

PORTFOLIO PERFORMANCE AND ASSSUMPTIONS
The asset portfolio is performing within DBRS’s expectations. As of 31 May 2017, loans more than 90 days delinquent as a percentage of the outstanding collateral pool balance were at 0.05%, and loans more than 30 days delinquent were at 0.20%. The cumulative default ratio was at 0.11% of the original portfolio balance (including further loans purchased during the revolving period). DBRS has maintained the base case PD and LGD assumptions for the remaining collateral pool at 3.06% and 26.63%, respectively.

CREDIT ENHANCEMENT AND LIQUIDITY RESERVE
As of the June 2017 payment date, the CE available to the Class A notes remained at 14.00%, which 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 at the target level of EUR 100 million.

Crédit Agricole S.A. (CA) acts as Account Bank for this transaction. The DBRS public Long-Term Issuer Rating of Crédit Agricole S.A. at A (high) 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.

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.

An asset and a cashflow 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 DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

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

The last rating action on this transaction took place on 20 October 2016, when DBRS confirmed the rating on the Class A notes.

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

Information regarding DBRS ratings, including definitions, policies and methodologies, is available on 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 revolving collateral pool based on a review of the current assets and the transaction’s eligibility criteria. 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 revolving collateral pool are 3.06% and 26.63%, respectively. At the AAA (sf) rating level, the corresponding PD is 25.87% and the LGD is 54.87%.
-- 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 Class A would be expected to be at AA (sf), assuming no change in the PD. If the PD increases by 50%, the rating on Class A would be expected to be at AA (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating on Class A1 would be expected to be at A (high) (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 (high) (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, Assistant Vice President
Rating Committee Chair: Vito Natale, 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 Originators
-- Operational Risk Assessment for European Structured Finance Servicers
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Unified Interest Rate Model for European Securitisations

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