DBRS Confirms Rating of FCT Credit Agricole Habitat 2015

DBRS Ratings Limited (DBRS) confirmed its rating of the Class A notes issued by FCT Crédit 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 credit enhancement (CE) available to the Class A notes to cover the expected losses at the AAA (sf) rating level.
-- No revolving termination events have occurred.

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; Crédit Agricole S.A.’s DBRS Long-Term Issuer Rating is AA (low)). The transaction has a five-year revolving period scheduled to end in October 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 (DBRS Long-Term Issuer Rating of AA (low)).

PORTFOLIO PERFORMANCE
As of the June 2018 payment date, loans more than 90 days delinquent represented 0.1% of the outstanding portfolio balance and the cumulative default rate represented 0.2% of the original portfolio balance plus the aggregate additional home loans purchased. Both arrears and defaults remained low and within DBRS’s expectations.

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

CREDIT ENHANCEMENT
As of the June 2018 payment date, the CE available to the Class A notes remained at 14.0% as the transaction is still in its revolving period. The sources of CE are the subordinated notes.

Additionally, the transaction benefits from a non-amortising liquidity reserve that is available to cover shortfalls in senior fees and interest on the Class A notes. The liquidity reserve is currently at its target amount of EUR 100.0 million, equal to 1% of the initial balance of the Class A and Class B notes.

Crédit Agricole (CA) is the account bank provider to the transaction. Based on DBRS’s Long-Term Issuer Rating of CA of AA (low) and the mitigants outlined in the transaction documents, 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.

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’s 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/319564/rating-sovereign-governments.pdf.

The sources of data and information used for this rating include investor reports provided by EuroTitrisation, the Management Company, and 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 21 September 2017, when DBRS confirmed its AAA (sf) rating on the Class A notes.

The lead analyst responsibilities for this transaction have been transferred to Andrew Lynch.

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 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 3.1% and 26.6%, respectively. At the AAA (sf) rating level, the corresponding PD is 25.9% and the LGD is 54.9%.

--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 (high) (sf).

Class A notes 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: Andrew Lynch, Assistant Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
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
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Operational Risk Assessment for European Structured Finance Originators
-- Operational Risk Assessment for European Structured Finance Servicers
-- Interest Rate Stresses for European Structured Finance Transactions

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.