Score Motion: Moody’s affirms ranking of Class A Notes in BPCE CONSUMER LOANS FCT 2016_5Global Credit score Analysis – 04 Mar 2022Frankfurt am Essential, March 04, 2022 — Moody’s Buyers Service (“Moody’s”) has at present affirmed the ranking of the Class A Notes in BPCE CONSUMER LOANS FCT 2016_5. The ranking motion is prompted by the correction of an error within the cashflow modeling of the transaction. The correction of the error is credit score destructive for the Class A Notes however is offset by the intent of BPCE (A1/P-1/Aa3(cr)), performing as transaction agent, to implement absolutely sequential amortization of the Class A and Class B Notes in BPCE CONSUMER LOANS FCT 2016_5 in the course of the transaction amortization interval. As well as, the ranking motion additionally displays higher than anticipated collateral efficiency…..EUR 3,325M Class A Notes, Affirmed Aaa (sf); beforehand on Could 27, 2016 Definitive Score Assigned Aaa (sf)BPCE CONSUMER LOANS FCT 2016_5 is a money securitisation of shopper mortgage receivables prolonged by Groupe BPCE to obligors positioned in France. The transaction encompasses a revolving interval which is because of finish in Could 2022.RATINGS RATIONALEThe ranking motion is prompted by the invention of a previous error in Moody’s cashflow modeling associated to the amortization of the Class A and Class B Notes, the correction of which might have a destructive impression on the ranking of the Class A Notes.As per the deal documentation, after the top of the revolving interval Class B amortizes professional rata with Class A till the Class B stability reaches 15% of its preliminary dimension, except an accelerated amortization occasion happens. On the time of the preliminary ranking task, Moody’s cashflow modeling didn’t appropriately replicate the set off chargeable for switching the amortization of Lessons A and B from professional rata to sequential in the course of the amortization interval. In consequence, the evaluation accounted just for sequential amortization and didn’t replicate the eventualities through which the notes would amortize professional rata. The correction of the error, considering the efficiency triggers which might swap the waterfall to accelerated amortization, is credit score destructive for the Class A Notes, and by itself may result in a ranking downgrade.The destructive impression of the error correction on the Class A Notes is nonetheless offset by an motion that Moody’s expects shall be taken by BPCE, the sponsor of the transaction. BPCE has supplied Moody’s with a letter advising that BPCE will undertake to amend the transaction documentation by April 15, 2022 to implement absolutely sequential amortization of the Class A and Class B Notes in the course of the amortization interval.[1] This modification will turn into efficient earlier than the top of the revolving interval and it’ll considerably enhance the credit score danger profile of the Class A Notes in the course of the amortization interval, thereby offsetting the destructive impression of the error correction. Moody’s expects BPCE’s letter to be made public. In affirming the ranking on the Class A Notes, Moody’s took into consideration the time required to execute the amendments; the robust intention of BPCE to implement the amendments, as mirrored within the letter; and the truth that the transaction is presently in revolving mode and due to this fact the credit score enhancement of the Class A Notes isn’t anticipated to deteriorate in the course of the implementation interval of the amendments.Revision of Key Collateral AssumptionsAs a part of the ranking motion, Moody’s reassessed its efficiency assumptions for the portfolio reflecting the collateral efficiency thus far.The efficiency of the transaction has continued to be steady since closing. Delinquencies have been steady previously yr, with 90 days plus arrears presently standing at 0.12% of present pool stability. Cumulative defaults presently stand at 1.70% of authentic pool stability plus replenishments, with the pool issue at roughly 26%, considering additionally cumulative replenishments.The default likelihood assumption is 3.5% of the present portfolio stability, which corresponds to a default likelihood assumption of two.6% of the unique pool stability, down from 5.0% at closing.In mild of the higher than anticipated transaction efficiency, Moody’s has revised the restoration charge and PCE assumptions to 30% and 14.0% from 20% and 17.5% at closing respectively.The principal methodology used on this ranking was ‘Moody’s Strategy to Score Shopper Mortgage-Backed ABS’ printed in September 2021 and out there at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1264327. Alternatively, please see the Score Methodologies web page on www.moodys.com for a replica of this system.Elements that will result in an improve or downgrade of the ranking:Elements or circumstances that would result in an improve of the ranking embrace (1) efficiency of the underlying collateral that’s higher than Moody’s expectations and (2) a rise in out there credit score enhancement.Elements or circumstances that would result in a downgrade of the ranking embrace (1) a rise in sovereign danger, (2) efficiency of the underlying collateral that’s worse than Moody’s expectations, (3) deterioration within the notes’ out there credit score enhancement, (4) deterioration within the credit score high quality of the transaction counterparties and (5) failure to implement absolutely sequential amortization of the Class A and Class B Notes as described within the aforementioned BPCE letter.REGULATORY DISCLOSURESFor additional specification of Moody’s key ranking 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 at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.The evaluation depends on an evaluation of collateral traits to find out the collateral loss distribution, that’s, the operate that correlates to an assumption in regards to the chance of prevalence to every degree of doable losses within the collateral. As a second step, Moody’s evaluates every doable collateral loss state of affairs utilizing a mannequin that replicates the related structural options to derive funds and due to this fact 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 in regards to the chance 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 elements contributing to sensitivity of scores and consider the chance of extreme collateral losses or impaired money flows. Moody’s weights the impression on the rated devices based mostly on its assumptions of the chance of the occasions in such eventualities occurring.For scores issued on a program, collection, class/class of debt or safety this announcement supplies sure regulatory disclosures in relation to every ranking of a subsequently issued bond or notice of the identical collection, class/class of debt, safety or pursuant to a program for which the scores are derived completely from present scores in accordance with Moody’s ranking practices. For scores issued on a assist supplier, this announcement supplies 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 scores from the assist supplier’s credit standing. For provisional scores, this announcement supplies sure regulatory disclosures in relation to the provisional ranking assigned, and in relation to a definitive ranking 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 ranking in a fashion that will have affected the ranking. For additional info please see the scores tab on the issuer/entity web page for the respective issuer on www.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 scores might change on account of this credit standing motion, the related regulatory disclosures shall be these of the guarantor entity. Exceptions to this strategy exist for the next disclosures, if relevant to jurisdiction: Ancillary Providers, Disclosure to rated entity, Disclosure from rated entity.The ranking has been disclosed to the rated entity or its designated agent (s) and issued with no modification ensuing from that disclosure.This ranking is solicited. Please confer with Moody’s Coverage for Designating and Assigning Unsolicited Credit score Scores out there on its web site www.moodys.com.Regulatory disclosures contained on this press launch apply to the credit standing and, if relevant, the associated ranking outlook or ranking overview.Moody’s basic rules for assessing environmental, social and governance (ESG) dangers in our credit score evaluation will be discovered at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1288235.The World Scale Credit score Score on this Credit score Score Announcement was issued by certainly one of Moody’s associates exterior the UK and is endorsed by Moody’s Buyers Service Restricted, One Canada Sq., Canary Wharf, London E14 5FA below the regulation relevant to credit standing companies within the UK. Additional info on the UK endorsement standing and on the Moody’s workplace that issued the credit standing is offered on www.moodys.com.REFERENCES/CITATIONS[1] Letter of Enterprise 25-Feb-2022Please see www.moodys.com for any updates on modifications to the lead ranking analyst and to the Moody’s authorized entity that has issued the ranking.Please see the scores tab on the issuer/entity web page on www.moodys.com for extra regulatory disclosures for every credit standing. 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