Analysis: Score Motion: Moody’s assigns a definitive score to Notes issued by BPCE CONSUMER LOANS FCT 2022, a securitization of French client loans

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EUR 1000 million ABS Notes definitively rated, referring to a portfolio of French client loans

Milan, July 21, 2022 — Moody’s Buyers Service (“Moody’s”) has assigned the next definitive score to Notes issued by BPCE CONSUMER LOANS FCT 2022:

….EUR 1000M Class A Asset-Backed Floating Fee Notes due April 2043, Definitive Score Assigned Aaa (sf)

Moody’s has not rated the EUR 219.5M Class B Asset-Backed Mounted Fee Notes due April 2043.

RATINGS RATIONALE

This can be a 43-month revolving money securitisation of client mortgage receivables prolonged by Groupe BPCE to obligors positioned in France. The debtors use the loans for a number of functions resembling residence enchancment, automobile acquisition, and different undefined or basic functions. Servicing is undertaken by the 26 promoting regional banks of the group and BPCE Financement, the central servicing entity.

As of the deadline, the preliminary portfolio consisted of 180,383 non-delinquent mortgage agreements with a weighted common seasoning of 1.2 years and an excellent principal stability of EUR 1.72 billion. The weighted common remaining time period is 5.3 years, and the present common mortgage dimension is EUR 9,516. All loans are commonplace French amortising loans. At closing, the 1.219.5 million securitized portfolio has been randomly chosen from the preliminary portfolio consistent with the eligibility standards and portfolio circumstances.

In accordance with Moody’s, the transaction advantages from credit score strengths such because the granularity of the portfolio, the monetary power of Groupe BPCE (BPCE the central establishment of Groupe BPCE, is rated A1/P-1) and the credit score enhancement benefitting the rated Class A Notes via a complete subordination of 18.0% from Class B plus an amortising reserve fund sized at 1.0% of preliminary principal stability of the Class A Notes and the Class B Notes. In the course of the amortisation interval, the overall reserve required quantity will likely be 1.0% of the excellent performing pool stability. Additionally, the transaction advantages from asset efficiency triggers and early termination of the revolving interval.

Nevertheless, Moody’s notes that the transaction options some credit score weaknesses resembling (i) excessive focus to BPCE Group given the variety of roles carried out by the entities of that group resembling vendor, servicer, issuer account financial institution, (ii) a 43-month revolving construction which may enhance efficiency volatility of the underlying portfolio and (iii) rate of interest mismatch. These dangers are partially mitigated by early amortisation triggers, substitution standards each on particular person mortgage and portfolio stage and the eligibility standards for the portfolio. A hard and fast-floating rate of interest swap hedges the fixed-floating mismatch stemming from the floating rate of interest Class A Notes and the fixed-rate loans within the securitized portfolio.

Moody’s evaluation centered, amongst different components, on (i) an analysis of the underlying portfolio of loans; (ii) historic efficiency info of the whole e-book and previous ABS transactions; (iii) the credit score enhancement supplied by subordination; (iv) the liquidity assist obtainable within the transaction by the use of the reserve fund; and the (v) general authorized and structural integrity of the transaction.

MAIN MODEL ASSUMPTIONS

Moody’s decided the portfolio lifetime anticipated defaults of three.0%, anticipated recoveries of 30.0% and Aaa portfolio credit score enhancement (“PCE”) of 13.0%. The anticipated defaults and recoveries seize our expectations of efficiency contemplating the present financial outlook, whereas the PCE captures the loss we count on the portfolio to endure within the occasion of a extreme recession state of affairs. Anticipated defaults and PCE are parameters utilized by Moody’s to calibrate its lognormal portfolio loss distribution curve and to affiliate a likelihood with every potential future loss state of affairs in our ABSCORE money circulate mannequin to price Client Mortgage ABS.

Portfolio anticipated defaults of three.0% are decrease than the French Client ABS common and are based mostly on Moody’s evaluation of the lifetime expectation for the pool taking into consideration: (i) the historic efficiency of the e-book of the originator; (ii) macroeconomic tendencies, (iii) different related transactions used as a benchmark; and (iv) different qualitative issues.

Portfolio anticipated recoveries of 30.0% are consistent with the French Client ABS common and are based mostly on Moody’s evaluation of the lifetime expectation for the pool taking into consideration: (i) historic efficiency of the e-book of the originator; (ii) benchmark transactions; and (iii) different qualitative issues.

PCE of 13.0% is decrease than the French Client ABS common and relies on Moody’s evaluation of the pool taking into consideration: (i) the unsecured nature of the loans; and (ii) the relative rating to the originators friends within the French and EMEA Client ABS market. The PCE stage of 13.0% leads to an implied coefficient of variation (“CoV”) of roughly 51.37%.

The principal methodology used on this score was ‘Moody’s Strategy to Score Client Mortgage-Backed ABS’ printed in July 2022 and obtainable at https://rankings.moodys.com/api/rmc-documents/390487. Alternatively, please see the Score Methodologies web page on https://rankings.moodys.com for a replica of this system.

Elements that might result in an improve or downgrade of the score:

Considerably increased losses in comparison with our loss expectations at closing, as a result of both a change in financial circumstances or idiosyncratic efficiency components may result in a downgrade of the rated notes. Moreover, a fabric weakening of the credit score profile of transaction counterparties may trigger a downgrade of the notes.

REGULATORY DISCLOSURES

For additional specification of Moody’s key score assumptions and sensitivity evaluation, see the sections Methodology Assumptions and Sensitivity to Assumptions within the disclosure kind. Moody’s Score Symbols and Definitions will be discovered on https://rankings.moodys.com/rating-definitions.

The evaluation depends on an evaluation of collateral traits to find out the collateral loss distribution, that’s, the perform that correlates to an assumption concerning the probability of prevalence to every stage of potential losses within the collateral. As a second step, Moody’s evaluates every potential collateral loss state of affairs utilizing a mannequin that replicates the related structural options to derive funds and subsequently the last word potential losses for every rated instrument. The loss a rated instrument incurs in every collateral loss state of affairs, weighted by assumptions concerning the probability of occasions in that state of affairs occurring, leads to the anticipated lack of the rated instrument.

Moody’s quantitative evaluation entails an analysis of eventualities that stress components contributing to sensitivity of rankings and have in mind the probability of extreme collateral losses or impaired money flows. Moody’s weights the impression on the rated devices based mostly on its assumptions of the probability of the occasions in such eventualities occurring.

For rankings issued on a program, sequence, class/class of debt or safety this announcement offers sure regulatory disclosures in relation to every score of a subsequently issued bond or word of the identical sequence, class/class of debt, safety or pursuant to a program for which the rankings are derived solely from present rankings in accordance with Moody’s score practices. For rankings issued on a assist supplier, this announcement offers sure regulatory disclosures in relation to the credit standing motion on the assist supplier and in relation to every explicit credit standing motion for securities that derive their credit score rankings from the assist supplier’s credit standing. For provisional rankings, this announcement offers sure regulatory disclosures in relation to the provisional score assigned, and in relation to a definitive score that could be assigned subsequent to the ultimate issuance of the debt, in every case the place the transaction construction and phrases haven’t modified previous to the task of the definitive score in a fashion that might have affected the score. For additional info please see the issuer/deal web page for the respective issuer on https://rankings.moodys.com.

For any affected securities or rated entities receiving direct credit score assist from the first entity(ies) of this credit standing motion, and whose rankings could change because of this credit standing motion, the related regulatory disclosures will likely be these of the guarantor entity. Exceptions to this method exist for the next disclosures, if relevant to jurisdiction: Ancillary Companies, Disclosure to rated entity, Disclosure from rated entity.

The score has been disclosed to the rated entity or its designated agent(s) and issued with no modification ensuing from that disclosure.

This score is solicited. Please consult with Moody’s Coverage for Designating and Assigning Unsolicited Credit score Rankings obtainable on its web site https://rankings.moodys.com.

Regulatory disclosures contained on this press launch apply to the credit standing and, if relevant, the associated score outlook or score assessment.

Moody’s basic rules for assessing environmental, social and governance (ESG) dangers in our credit score evaluation will be discovered at https://rankings.moodys.com/paperwork/PBC_1288235.

The International Scale Credit score Score on this Credit score Score Announcement was issued by one in every of Moody’s associates outdoors the UK and is endorsed by Moody’s Buyers Service Restricted, One Canada Sq., Canary Wharf, London E14 5FA below the legislation relevant to credit standing businesses within the UK. Additional info on the UK endorsement standing and on the Moody’s workplace that issued the credit standing is out there on https://rankings.moodys.com.

Please see https://rankings.moodys.com for any updates on adjustments to the lead score analyst and to the Moody’s authorized entity that has issued the score.

Please see the issuer/deal web page on https://rankings.moodys.com for added regulatory disclosures for every credit standing.

Francesca Pilu
Vice President – Senior Analyst
Structured Finance Group
Moody’s Italia S.r.l
Corso di Porta Romana 68
Milan, 20122
Italy
JOURNALISTS: 44 20 7772 5456
Shopper Service: 44 20 7772 5454

Armin Krapf
VP – Senior Credit score Officer
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Shopper Service: 44 20 7772 5454

Releasing Workplace:
Moody’s Italia S.r.l
Corso di Porta Romana 68
Milan, 20122
Italy
JOURNALISTS: 44 20 7772 5456
Shopper Service: 44 20 7772 5454

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