TEXT-Fitch affirms Credit Mutuel-CIC Home Loans FCT covered bonds at 'AAA'
Dec 18 - Fitch Ratings has affirmed Credit Mutuel-CIC Home Loans FCT's (CM-CIC HL FCT) EUR19bn outstanding notes at 'AAA'. The rating action follows a full review of the programme. The rating is based on Banque Federative de Credit Mutuel's (BFCM, 'A+'/Stable/'F1+') Long-term (LT) Issuer Default Rating (IDR), as it is acting as the main debtor of recourse. The rating is also based on the Discontinuity Cap (D-Cap) of 8 (Minimal Discontinuity) and the asset percentage (AP) of 79.4% that Fitch gives credit to. In line with its covered bond criteria, the agency considers the programme as dormant and takes into account the level of AP that the BFCM commits to in its asset coverage test report which, as communicated by BFCM, will be 79.4% starting from the next reporting date falling in January 2013. The unchanged D-Cap of 8 reflects the pro-rata pass-through amortisation of the notes following a hypothetical default of BFCM and the satisfactory protection against interest rate payment interruption risk. The notes 'AAA' rating would be vulnerable to a downgrade if one of the following occurred: the D-Cap moved to 1 (very high risk) or 0 (full discontinuity), or if the actual AP exceeded 79.4% which is the breakeven level for the rating. This 79.4% AP limits the rating on a probability-of-default basis to 'AA+' and supports a 'AAA' rating factoring recoveries given default. Fitch has assigned a Stable Outlook to the rating of the notes issued by CM-CIC HL FCT. Although the Outlook on the sovereign is Negative, a one-notch downgrade of either the sovereign or the issuer's IDR would not be expected to lead to a downgrade of the covered bonds. As of 31 October 2012, the pool consisted of 434,136 loans with an aggregate outstanding balance of EUR25bn and 44 months seasoning. About 8% of the portfolio comprised first lien mortgage loans, 37.4% of the loans are guaranteed by Cautionnement Mutuel de l'Habitat , 5.3% by Credit Logement and the remainder are secured by other guarantors, second lien mortgages or other types of securities. In a 'AAA' scenario, Fitch has calculated a cumulative weighted average (WA) frequency of foreclosure of 25.0% and a WA recovery rate of 27.7%. In its recovery rate calculations, Fitch has taken into account loan parts outside of the pool which share the same ranking as those included in the pool. Pari-passu amounts account for approximately 28% of the aggregate outstanding balance of the portfolio. The Fitch breakeven AP for the ratings of the notes will be affected, among other factors, by the profile of the cover assets relative to outstanding notes, which can change over time, even in the absence of new issuances. Therefore it cannot be assumed to remain stable over time. Additional information is available on www.fitchratings.com The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings. Applicable criteria, 'Covered Bonds Rating Criteria', dated September 2012; 'EMEA Criteria Addendum - France', dated July 2012; 'EMEA RMBS Master Rating Criteria', dated June 2012; 'EMEA Residential Mortgage Loss Criteria', dated June; 'Covered Bonds Rating Criteria - Mortgage Liquidity Refinance Stress Addendum', dated November 2012 are available at www.fitchratings.com. Applicable Criteria and Related Research: Covered Bonds Rating Criteria - Amended EMEA Criteria Addendum - France - Mortgage and Cashflow Assumptions EMEA RMBS Master Rating Criteria EMEA Residential Mortgage Loss Criteria Covered Bonds Rating Criteria - Mortgage Liquidity & Refinance Stress Addendum
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