(The following statement was released by the rating agency)
MADRID/LONDON, March 05 (Fitch) Fitch Ratings has affirmed
Refinancement de l'Habitat's (CRH) EUR52bn covered bonds at
'AAA'. The Outlook
The affirmation follows the revision of the breakeven
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
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
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
CRH's liquidity gap and systemic risk and cover pool-specific
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
component reflects, in particular, the joint and several
commitment of the
shareholders to provide a liquidity line of up to 5% of CRH's
and the regulator's ability to ask for contributions above 5%.
CRH's rating would be vulnerable to a downgrade if any of the
(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%.
Fitch France S.A.S.
+33 1 4429 9147
60 rue de Monceau
+33 1 4429 9140
Cosme de Montpellier
+44 20 3530 1407
Media Relations: Christian Giesen, Frankfurt am Main, Tel: +49
69 768076 232,
Additional information is available at www.fitchratings.com.
Applicable criteria, 'Covered Bonds Rating Criteria', dated 4
'Counterparty Criteria for Structured Finance and Covered Bonds'
'Counterparty Criteria for Structured Finance and Covered Bonds:
Addendum' both dated 13 May 2013; 'Covered Bonds Rating Criteria
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
Counterparty Criteria for Structured Finance and Covered Bonds
Counterparty Criteria for Structured Finance and Covered Bonds:
Covered Bonds Rating Criteria - Mortgage Liquidity and Refinance
EMEA RMBS Master Rating Criteria
EMEA Criteria Addendum â€“ France
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