Fitch Affirms CIF Assets 2001-1 Senior Notes at 'AAAsf'; Outlook Stable
OREANDA-NEWS. Fitch Ratings has affirmed CIF Assets 2001-1's notes as follows:
EUR8,506.7m Class A: affirmed at 'AAAsf'; Outlook Stable
EUR3,836.3m Class B: not rated
CIF Assets 2001-1 is a French RMBS transaction that originally closed in 2001. New loans were purchased on a frequent basis from closing to the last tap issuance in October 2012. The notes are backed by a portfolio of French residential loans originated by 10 subsidiaries of Credit Immobilier de France Developpement (CIFD; A/Stable/F1). In November 2013 the orderly resolution of the CIFD was approved by the European Commission, including a EUR28bn guarantee from the French state (of which EUR16bn are dedicated to 3CIF external unsecured liabilities and EUR 12bn are dedicated to 3CIF's liabilities with CIF Euromortgages and CIF Assets 2001-1including bank accounts and hedging agreements).
As of end-March 2016 CIFD repurchased a portfolio of EUR1.37bn from CIF Assets 2001-1. The proceeds of the portfolio sale have been used in full to redeem the class A notes on the payment date of the 25 April 2016. As a result of the repurchase operation, the portfolio of CIF Assets 2001-1 comprises 232,371 loans for an outstanding amount of EUR12.74bn of which 91.1% are secured by a first lien mortgage and 8.9% are secured by a guarantee ("caution"). The resulting portfolio has a weighted average (WA) original loan to value (LTV) of 95.5%, a WA debt-to-income (DTI) of 30.1%, a WA seasoning of 100 months and a WA remaining term of 197 months.
KEY RATING DRIVERS
Partial Repurchase of Securitised Assets
The partial repurchase has not had a material impact on the characteristics of the securitised portfolio remaining in CIF Assets 2001-1.
Increased Credit Enhancement
Due to the transaction's sequential structure, the full principal amount of the sale proceeds is being used to amortise the rated class A notes while the unrated class B notes remain unaffected. The credit enhancement available for class A notes, after the repurchase operation, has increased to 31.7% currently from 26.4% as of end-2015.
Default and Recovery Assumptions
Fitch analysed the remaining portfolio's credit risk by updating base case default and recovery assumptions and then stressing these assumptions according to the rating level of class A notes. Based on our Resi EMEA model, up-to-date historical default and recovery data available and taking into account the French economic outlook, the agency derived a rating default rate of 35.9% at 'AAAsf' and a recovery rate of 45.8% at 'AAAsf'.
Expected impact upon the note rating of increased defaults (class A):
Current rating: 'AAAsf'
Increase default base case by 10%: 'AAAsf'
Increase default base case by 25%: 'AAAsf'
Increase default base case by 50%: 'AA+sf'
Expected impact upon the note rating of decreased recoveries (class A):
Current rating: 'AAAsf'
Reduce recovery base case by 10%: 'AAAsf'
Reduce recovery base case by 25%: 'AAAsf'
Reduce recovery base case by 50%: 'AAAsf'
Expected impact upon the note rating of increased defaults and decreased recoveries (class A):
Current rating: 'AAAsf'
Increase default base case by 10% reduce recovery base case by 10%: 'AAAsf'
Increase default base case by 25% and reduce recovery base case by 25%: 'AA+sf'
Increase default base case 50% and reduce recovery base case by 50%: 'A+sf'
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
Prior to the transaction's structure modification on 6 October 2015, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated errors or missing data related to the property value information which can include notary or guarantee fees and pari passu loans information which was not accurate in some cases.
At the same time, Fitch conducted a review of a small targeted sample of CIFD's origination files and found inconsistencies or missing data related to the property value information which can include notary or guarantee fees.
Based on above described findings, Fitch considered in this analysis a haircut to property purchase prices (divided by 1.1 on the entire pool), as it has done in previous analysis.
Overall and together with the assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.
SOURCES OF INFORMATION
The information below was used in the analysis.
-Loan-by-loan data provided by CIF as at 31 December 2015
-Transaction reporting provided by Eurotitrisation as at 15 February 2016
-Yearly origination volumes, monthly dynamic prepayment data, data and timing on cumulated recovery by year, data on cumulative defaults by vintage of origination covering the period from 2000 to mid-2015 and information on total bank's doubtful receivables over the period January 2012 to December 2015.