EUR 3,200 million RMBS Notes rated, relating to a portfolio of French home loans
Paris, January 29, 2021 -- Moody's Investors Service ("Moody's") has assigned definitive rating to
Notes issued by BPCE Master Home Loans:
....EUR 3,200M Class A-2021-01
Notes due 31 January 2025, Assigned Aaa (sf)
Moody's also affirmed the ratings of the EUR 4,000.0M Class
A-2017-02 Notes at Aaa (sf), the EUR 5,000.0M
Class A-2018-01 Notes at Aaa (sf), the EUR 5,000.0M
Class A-2018-02 Notes at Aaa (sf), EUR 5,000.0M
Class A-2019-01 Notes at Aaa (sf), EUR 5,000.0M
Class A-2019-02 Notes at Aaa (sf), EUR 5,000.0M
Class A-2020-01 Notes at Aaa (sf), and EUR 3,000.0M
Class A-2020-02 Notes at Aaa (sf).
RATINGS RATIONALE
The Notes are backed by a revolving pool originated by a total of 26 banks,
11 Banques Populaires and 15 Caisses d'Epargne, which all belong
to the Groupe BPCE (A1/P-1 & Aa3(cr)/P-1(cr)).
The assets supporting the Notes consist of French prime residential home
loans backed by first economic lien mortgages or equivalent third-party
eligible guarantees "pret cautionne", hereafter called "caution-loans".
The maximum amount of Class A Notes that can be outstanding under the
program is EUR 50.0 billion.
The portfolio of assets amount to approximately EUR 40.3 billion
as of Oct 2020 pool cut-off date. The Reserve Fund will
be funded to 0.25% of the total Notes balance at closing
and the total credit enhancement for the Class A Notes will be 11.75%.
The ratings are primarily based on the credit quality of the portfolio,
the structural features of the transaction and its legal integrity.
According to Moody's, the transaction benefits from various credit
strengths such as a granular portfolio and an amortising liquidity reserve
sized at 0.25% of the original balance of the Class A Notes.
However, Moody's notes that the transaction features some credit
weaknesses such as no back-up servicer appointed at closing and
no rating trigger for appointing a back-up servicer. However,
the management company (France Titrisation SAS) will facilitate the search
for a substitute servicer if needed. Various mitigants have been
included in the transaction structure such as the estimation language
in place whereby France Titrisation SAS will estimate the cash flows based
on the most recent servicer report in case no updated servicer report
is available.
The weighted average maturity of the underlying Portfolio is higher than
the expected Maturity of the Class A notes. During the revolving
period, Class A notes that have reached their expected maturity
date can be redeemed thanks to the issuance of new Class A notes.
An Amortisation Event would be triggered if any Series of Class A Notes
is not reimbursed on its expected Maturity Date. The transaction
would then switch to the Amortisation Period Priority of Payments and
the notes maturity would change to the Programme Legal Final Maturity
Date which is the Payment Date falling thirty-seven years after
the first Amortisation Period Payment Date.
Moody's determined the portfolio lifetime expected loss of 0.8%
and Aaa MILAN credit enhancement ("MILAN CE") of 10.5% related
to borrower receivables. The expected loss capture our expectations
of performance considering the current economic outlook, while the
MILAN CE captures the loss we expect the portfolio to suffer in the event
of a severe recession scenario. Expected defaults and MILAN CE
are parameters used by Moody's to calibrate its lognormal portfolio loss
distribution curve and to associate a probability with each potential
future loss scenario in the ABSROM cash flow model to rate RMBS.
Portfolio expected loss of 0.8%. This is in line
with the French RMBS sector and is based on Moody's assessment of the
lifetime loss expectation for the pool taking into account: (i)
the collateral performance of Groupe BPCE originated loans to date,
as provided by the originator and observed in previously securitised portfolios;
(ii) the current macroeconomic environment in France and the impact of
future interest rate rises on the performance of the mortgage loans;
(iii) the potential drift in asset quality since new loans can be added
to the pool subject to certain conditions being met; and (iv) benchmarking
with other French RMBS transactions.
MILAN CE of 10.5%: This is slightly higher than the
French RMBS sector average and follows Moody's assessment of the loan-by-loan
information taking into account the following key drivers: (i) the
collateral performance of Groupe BPCE originated loans to date as described
above; (ii) the weighted average current loan-to-value
of 72.10% (after adjusting for different fees that have
been included in the property values) which is in line with the sector
average; (iii) around 88.41% of the loans in the pool
are caution-loans with the majority being guaranteed by unrated
guarantors; and (iv) potential drift in asset quality through new
loans being added, in particular assuming that all loans can be
substituted by caution-loans with unrated guarantors and the potential
exposure to exposure to buy-to-let loans and self-employed
borrowers.
CURRENT ECONOMIC UNCERTAINTY:
The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to disrupt
economies and credit markets across sectors and regions. Our analysis
has considered the effect on the performance of consumer assets from the
current weak French economic activity and a gradual recovery for the coming
months. Although an economic recovery is underway, it is
tenuous and its continuation will be closely tied to containment of the
virus. As a result, the degree of uncertainty around our
forecasts is unusually high.
We regard the coronavirus outbreak as a social risk under our ESG framework,
given the substantial implications for public health and safety.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework" published in December 2020 and
available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1248130.
Alternatively, please see the Rating Methodologies page on www.moodys.com
for a copy of this methodology.
The analysis undertaken by Moody's at the initial assignment of ratings
for RMBS securities may focus on aspects that become less relevant or
typically remain unchanged during the surveillance stage. Please
see "Moody's Approach to Rating RMBS Using the MILAN Framework" for further
information on Moody's analysis at the initial rating assignment and the
on-going surveillance in RMBS.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
Factors that would lead to a downgrade of the ratings include: (i)
increased counterparty risk leading to potential operational risk of servicing
or cash management interruptions; and (ii) economic conditions being
worse than forecasted resulting in higher arrears and losses.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and
sensitivity analysis, see the sections Methodology Assumptions and
Sensitivity to Assumptions in the disclosure form. Moody's
Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.
The analysis relies on an assessment of collateral characteristics to
determine the collateral loss distribution, that is, the function
that correlates to an assumption about the likelihood of occurrence to
each level of possible losses in the collateral. As a second step,
Moody's evaluates each possible collateral loss scenario using a
model that replicates the relevant structural features to derive payments
and therefore the ultimate potential losses for each rated instrument.
The loss a rated instrument incurs in each collateral loss scenario,
weighted by assumptions about the likelihood of events in that scenario
occurring, results in the expected loss of the rated instrument.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
For ratings issued on a program, series, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or note of the
same series, category/class of debt, security or pursuant
to a program for which the ratings are derived exclusively from existing
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provides certain regulatory disclosures in relation to the provisional
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Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Moody's general principles for assessing environmental, social
and governance (ESG) risks in our credit analysis can be found at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1243406.
At least one ESG consideration was material to the credit rating action(s)
announced and described above.
The Global Scale Credit Rating on this Credit Rating Announcement was
issued by one of Moody's affiliates outside the UK and is endorsed
by Moody's Investors Service Limited, One Canada Square,
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for additional regulatory disclosures for each credit rating.
Germain-Pierre Fargue
Analyst
Structured Finance Group
Moody's France SAS
96 Boulevard Haussmann
Paris 75008
France
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Anthony Parry
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Releasing Office:
Moody's France SAS
96 Boulevard Haussmann
Paris 75008
France
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
