Fitch Affirms CoFF's OF at 'AA'; Withdraws Rating
KEY RATING DRIVERS
The rating of the OF is based on a limited rating uplift of one-notch above the Long-Term Issuer Default Rating (IDR) of Credit Foncier de France (CFF; A/Stable) - CoFF's parent, acting as reference IDR for the programme - adjusted by a two-notch IDR uplift, reflecting the protection to the OF-holders in a resolution scenario. The Stable Outlook reflects the Stable Outlook on CFF and the French sovereign, as well as Fitch's view on the underlying French residential loan assets.
The affirmation is based on Fitch's current criteria. The agency's Exposure Draft: Covered Bonds rating criteria, published on 29 Jun 2016, would have no rating impact on the OF, as no recovery uplift would be given to the rating of CoFF's OF in rating scenarios above the French sovereign rating (AA/Stable). In light of the programme's sizeable exposure to French public sector assets, the level of overcollateralisation that Fitch gives credit to would not sustain the high stresses applied to such exposures in scenarios where the French sovereign is assumed to be in default.
Fitch has chosen to withdraw the rating on CoFF's OF due to commercial reasons. Fitch will no longer provide rating or analytical coverage of this covered bond programme.