Reuters logo
Fitch Affirms Swiss Home Loan Securities 2016-1 SARL at 'AAAsf'/Stable
December 1, 2017 / 2:25 PM / in 12 days

Fitch Affirms Swiss Home Loan Securities 2016-1 SARL at 'AAAsf'/Stable

(The following statement was released by the rating agency) PARIS, December 01 (Fitch) Fitch Ratings has affirmed Swiss Home Loan Securities 2016-1 SARL's notes ratings as follows: Class A1: 'AAAsf'; Outlook Stable Class A2:'AAAsf'; Outlook Stable Class B: not rated Swiss Home Loan Securities 2016-1 SARL is a static securitisation of a Swiss residential mortgage loans portfolio. The securitised loans are interest-only or amortising loans bearing either a fixed or floating interest rate. The related properties, primarily flats and houses, are all located in Switzerland, primarily in the western parts. KEY RATING DRIVERS Performance within Expectations The transaction is performing in accordance to Fitch's expectations set during the initial rating analysis. The level of loans in arrears for more than one month has remained stable over the past year at a low 0.8%. The cumulative defaults of 0.13% are in line with the default base case defined for the transaction at closing. Concentrations as Key Risk The small size of the portfolio translates into a higher borrower concentration than usual in EMEA RMBS transactions. The obligor concentration has remained broadly stable with the top 10 borrowers representing 10.5% of the outstanding portfolio. The underlying properties are geographically concentrated in western Switzerland (75% in the cantons of Vaud and Geneva), reflecting the bank's main area of business. Concentration tests were performed and the agency found that the credit support available in the transaction was commensurate with the loan concentration risk. In its initial analysis, Fitch also accounted for concentration risks in stressed scenarios by increasing its default expectation. High Interest Rate Risk Due to the absence of an interest rate swap and the reliance on an approximate natural hedge, unhedged interest rate risk in our stress scenarios resulted in considerable losses due to negative carry. The portfolio's interest rate composition has remained stable since closing, which was taken into consideration under the multiple interest rate switch scenarios tested during the initial analysis. Model Application Consistent with the model application language specified in the EMEA RMBS Rating Criteria, Fitch did not update its surveillance, ResiEMEA or cash flow models for this review. VARIATIONS FROM CRITERIA In the initial asset analysis, dated 12 December 2016, Fitch applied a variation from its Criteria Addendum: Switzerland - Residential Mortgage Assumptions on the treatment of loans in arrears. Loans in arrears up to 30 days past due and paying by money transfer were not considered as delinquent in Fitch analysis. According to the originator, such delinquencies are usually corrected within a few days and are related to the collection process (money transfer payments, which are widely used in the pool and in Switzerland in general). RATING SENSITIVITIES Deterioration in asset performance may result from economic factors, in particular an increase of unemployment. As a result, the increase in new defaults and associated pressure on excess spread levels could result in negative rating action. Increased obligor concentration as the portfolio amortises may also negatively impact the rating of the transaction if the concentration risk becomes significant relative to the then available credit enhancement. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that affected the rating analysis. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information nor conducted a review of origination files as part of its ongoing monitoring. Prior to the transaction closing, Fitch reviewed the results of a third-party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis. Prior to the transaction closing, Fitch conducted a review of a small targeted sample of Credit Agricole Next Bank's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio. 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 Credit Agricole Next Bank as at 31 October 2017 -Transaction reporting provided by TMF Investments S.A. as at 25 October 2017 Contacts: Lead Surveillance Analyst Raul Domingo Director +33 1 44 29 91 70 Fitch France S.A.S. 60 rue de Monceau 75008 Paris Committee Chairperson Emmanuelle Ricordeau Senior Director +33 1 44 29 91 48 Media Relations: Athos Larkou, London, Tel: +44 203 530 1549, Email: athos.larkou@fitchratings.com. Additional information is available on www.fitchratings.com Applicable Criteria EMEA RMBS Rating Criteria (pub. 27 Oct 2017) here Global Structured Finance Rating Criteria (pub. 03 May 2017) here Structured Finance and Covered Bonds Counterparty Rating Criteria (pub. 23 May 2017) here Structured Finance and Covered Bonds Counterparty Rating Criteria: Derivative Addendum (pub. 23 May 2017) here Structured Finance and Covered Bonds Interest Rate Stresses Rating Criteria (pub. 17 Feb 2017) here Switzerland Residential Mortgage Rating Criteria Addendum (pub. 17 May 2017) here Related Research Swiss Home Loan Securities 2016-1 SARL - Appendix here Additional Disclosures Dodd-Frank Rating Information Disclosure Form here Solicitation Status here#solicitation Endorsement Policy 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 WEB SITE AT 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. DIRECTORS AND SHAREHOLDERS RELEVANT INTERESTS ARE AVAILABLE here. 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. Copyright © 2017 by Fitch Ratings, Inc., Fitch Ratings Ltd. and its subsidiaries. 33 Whitehall Street, NY, NY 10004. Telephone: 1-800-753-4824, (212) 908-0500. Fax: (212) 480-4435. Reproduction or retransmission in whole or in part is prohibited except by permission. All rights reserved. In issuing and maintaining its ratings and in making other reports (including forecast information), Fitch relies on factual information it receives from issuers and underwriters and from other sources Fitch believes to be credible. Fitch conducts a reasonable investigation of the factual information relied upon by it in accordance with its ratings methodology, and obtains reasonable verification of that information from independent sources, to the extent such sources are available for a given security or in a given jurisdiction. The manner of Fitch’s factual investigation and the scope of the third-party verification it obtains will vary depending on the nature of the rated security and its issuer, the requirements and practices in the jurisdiction in which the rated security is offered and sold and/or the issuer is located, the availability and nature of relevant public information, access to the management of the issuer and its advisers, the availability of pre-existing third-party verifications such as audit reports, agreed-upon procedures letters, appraisals, actuarial reports, engineering reports, legal opinions and other reports provided by third parties, the availability of independent and competent third- party verification sources with respect to the particular security or in the particular jurisdiction of the issuer, and a variety of other factors. Users of Fitch’s ratings and reports should understand that neither an enhanced factual investigation nor any third-party verification can ensure that all of the information Fitch relies on in connection with a rating or a report will be accurate and complete. Ultimately, the issuer and its advisers are responsible for the accuracy of the information they provide to Fitch and to the market in offering documents and other reports. In issuing its ratings and its reports, Fitch must rely on the work of experts, including independent auditors with respect to financial statements and attorneys with respect to legal and tax matters. Further, ratings and forecasts of financial and other information are inherently forward-looking and embody assumptions and predictions about future events that by their nature cannot be verified as facts. As a result, despite any verification of current facts, ratings and forecasts can be affected by future events or conditions that were not anticipated at the time a rating or forecast was issued or affirmed. The information in this report is provided “as is” without any representation or warranty of any kind, and Fitch does not represent or warrant that the report or any of its contents will meet any of the requirements of a recipient of the report. A Fitch rating is an opinion as to the creditworthiness of a security. This opinion and reports made by Fitch are based on established criteria and methodologies that Fitch is continuously evaluating and updating. Therefore, ratings and reports are the collective work product of Fitch and no individual, or group of individuals, is solely responsible for a rating or a report. The rating does not address the risk of loss due to risks other than credit risk, unless such risk is specifically mentioned. Fitch is not engaged in the offer or sale of any security. All Fitch reports have shared authorship. Individuals identified in a Fitch report were involved in, but are not solely responsible for, the opinions stated therein. The individuals are named for contact purposes only. A report providing a Fitch rating is neither a prospectus nor a substitute for the information assembled, verified and presented to investors by the issuer and its agents in connection with the sale of the securities. Ratings may be changed or withdrawn at any time for any reason in the sole discretion of Fitch. Fitch does not provide investment advice of any sort. Ratings are not a recommendation to buy, sell, or hold any security. Ratings do not comment on the adequacy of market price, the suitability of any security for a particular investor, or the tax-exempt nature or taxability of payments made in respect to any security. Fitch receives fees from issuers, insurers, guarantors, other obligors, and underwriters for rating securities. Such fees generally vary from US$1,000 to US$750,000 (or the applicable currency equivalent) per issue. In certain cases, Fitch will rate all or a number of issues issued by a particular issuer, or insured or guaranteed by a particular insurer or guarantor, for a single annual fee. Such fees are expected to vary from US$10,000 to US$1,500,000 (or the applicable currency equivalent). The assignment, publication, or dissemination of a rating by Fitch shall not constitute a consent by Fitch to use its name as an expert in connection with any registration statement filed under the United States securities laws, the Financial Services and Markets Act of 2000 of the United Kingdom, or the securities laws of any particular jurisdiction. Due to the relative efficiency of electronic publishing and distribution, Fitch research may be available to electronic subscribers up to three days earlier than to print subscribers. For Australia, New Zealand, Taiwan and South Korea only: Fitch Australia Pty Ltd holds an Australian financial services license (AFS license no. 337123) which authorizes it to provide credit ratings to wholesale clients only. Credit ratings information published by Fitch is not intended to be used by persons who are retail clients within the meaning of the Corporations Act 2001

0 : 0
  • narrow-browser-and-phone
  • medium-browser-and-portrait-tablet
  • landscape-tablet
  • medium-wide-browser
  • wide-browser-and-larger
  • medium-browser-and-landscape-tablet
  • medium-wide-browser-and-larger
  • above-phone
  • portrait-tablet-and-above
  • above-portrait-tablet
  • landscape-tablet-and-above
  • landscape-tablet-and-medium-wide-browser
  • portrait-tablet-and-below
  • landscape-tablet-and-below