Fitch Affirms CRH's Bonds At 'AAA'; Outlook Stable

Wed Mar 5, 2014 12:15pm EST

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(The following statement was released by the rating agency) MADRID/LONDON, March 05 (Fitch) Fitch Ratings has affirmed Caisse de Refinancement de l'Habitat's (CRH) EUR52bn covered bonds at 'AAA'. The Outlook is Stable. The affirmation follows the revision of the breakeven overcollateralisation (OC) for the 'AAA' rating to 27.5% from 26%. This compares with the 32% level of OC which Fitch relies on, equal to the lowest nominal OC observed over the past 12 months for the programme's main shareholder banks. Fitch calculated a 'AAA' level of breakeven OC for each of the shareholder banks individually, as there is no cross-collateralisation between the cover pools of the different banks. The breakeven OC was previously calculated on an aggregate basis. The levels for each shareholder bank range from 17% to 27.5%. The highest level was for a bank with worse quality assets and higher maturity mismatches than its peers. KEY RATING DRIVERS The rating is based on Fitch's credit view of the programme's main debtor of recourse, CRH, a Discontinuity-Cap (D-Cap) of 3 (moderate high) and the level of OC which Fitch relies on (32%). The D-Cap remains unchanged, driven by the 'moderate high' risk assessment of CRH's liquidity gap and systemic risk and cover pool-specific alternative management components. The Outlook on the bonds is Stable, reflecting the Stable Outlook on both the underlying shareholder banks and the French residential assets The moderate high risk assessment of the liquidity gap and systemic risk component reflects, in particular, the joint and several commitment of the shareholders to provide a liquidity line of up to 5% of CRH's outstanding bonds and the regulator's ability to ask for contributions above 5%. RATING SENSITIVITIES CRH's rating would be vulnerable to a downgrade if any of the following occurs: (i) Fitch's view of CRH's creditworthiness, based on the IDRs of all its main shareholders, is lowered by one or more notches; (ii) the current D-Cap of 3 (moderate high) is revised down to 2 (high) or lower; (iii) the OC Fitch gives credit to drops below the 'AAA' breakeven level of 27.5%. Contact: Primary Analyst Will Rossiter Director Fitch France S.A.S. +33 1 4429 9147 60 rue de Monceau 75008 Paris Secondary Analyst Helene Heberlein Managing Director +33 1 4429 9140 Committee Chairperson Cosme de Montpellier Senior Director +44 20 3530 1407 Media Relations: Christian Giesen, Frankfurt am Main, Tel: +49 69 768076 232, Email: christian.giesen@fitchratings.com. Additional information is available at www.fitchratings.com. Applicable criteria, 'Covered Bonds Rating Criteria', dated 4 September 2013; 'Counterparty Criteria for Structured Finance and Covered Bonds' and 'Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum' both dated 13 May 2013; 'Covered Bonds Rating Criteria - Mortgage Liquidity & Refinance Stress Addendum', dated 4 February 2014; 'EMEA RMBS Master Rating Criteria', dated 6 June 2013; 'EMEA Criteria Addendum - France', dated 17 June 2013, are available at www.fitchratings.com. Applicable Criteria and Related Research: Covered Bonds Rating Criteria here Counterparty Criteria for Structured Finance and Covered Bonds here Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum here Covered Bonds Rating Criteria - Mortgage Liquidity and Refinance Stress Addendum here EMEA RMBS Master Rating Criteria here EMEA Criteria Addendum – France here Additional Disclosure Solicitation Status here ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: here. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

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