Caisse de Refinancement de l'Habitat - CRH

1 Who is the issuer?
  • Specialized credit institution
2 Does the bondholder have recourse to the credit institution?
  • Yes, direct
  Comments: Direct recourse to CRH, indirect recourse to borrowing credit institutions.
3 Who owns the cover assets?
  • Credit institution, but pledged to the issuer (with transfer to the issuer upon trigger event)
  Comments: Borrowing credit institution, but pledged to CRH that becomes fully owner of them in case of default because of specific provisions of French law governing CRH.
4 Is the issuer the originator of the assets?
  • No
1 Are the bonds governed by a special covered bond Legislation?
  • Yes
  Comments: Yes, dedicated to CRH.
2 What is the legal framework for bankruptcy of the issuer of covered bonds?
  • Specific legal framework superseding the general insolvency law
1 What types of assets may be included in cover pools?
  • Mortgage loans (Mortgage loans for the purpose of this question are taken to include guaranteed real-estate loans.)
2 What is the geographical scope for public sector assets?
  Comments: Not relevant.
3 What is the geographical scope for mortgage assets?
  • Domestic
  Comments: France only.
4 Are regular covered bond specific disclosure requirements to the public mandatory?
  • Yes
1 LTV is calculated using which valuation?[4]
  • Other
  Comments: Provisions of French Banking Committee regulation 99-10 relative to Sociètés de Crédit Foncier, Chapter 1.
2 Are there any special LTV limits used solely for calculating collateralisation rates for the cover pool (if yes, specify)?
  • Residential      
3 Do bondholders get the benefit of that portion of the loan which exceeds the LTV cap?
  • Yes
4a Is there an LTV cap which makes the entire loan ineligible to be put in the cover pool (if yes, specify)?
  • No
4b Is there an LTV cap which would require a loan to be removed from the cover pool?
  • No
5 Is there any additional LTV limit on a portfolio basis?
  • No
Exposure to market risk
1 Is exposure to market risk (e.g. interest rate, currency risks) required to be mitigated by law or contract?
  • Yes
  Comments: By law perfect matching between assets and liabilities.
2 What is the primary method for the mitigation of market risk?
  • “Natural” matching (matching without the use of off-balance sheet instruments) and stress testing
  Comments: By law perfect matching between assets and liabilities.
3 If the answer to the above question on market risk mitigation is “Use of derivative hedge instruments”, please specify whether those instruments are entered into:
  • Not relevant
4 What type of coverage test is applied?
  • Nominal cover
  • Present value cover
  Comments: Test for coverage of CRH's loans to banks.
5 What is the frequency of coverage calculations?
  • Monthly
6 What types of stress scenarios are applied?
  • Dynamic
7 What is the frequency of stress test calculations?
  • Monthly
Exposure to liquidity risk
8 Is exposure to liquidity risk required to be mitigated by law or contract?
  • Yes
  Comments: By law.
9 What is the primary method for the mitigation of liquidity risk on interest payments?
  • “Natural” matching (matching without the use of off-balance sheet instruments) and stress testing (Natural matching is taken to include replacing CBs with new issues, as well as substitute assets.)
  • Liquidity facilities
  Comments: By law perfect natural matching. Furthermore, liquidity facilities in some conditions from French banks if CRH needs.
10 What is the primary method for the mitigation of liquidity risk on principal payments?
  • Natural matching (matching without the use of off-balance sheet instruments) and stress testing
  • Liquidity facilities
  Comments: By law perfect natural matching. Furthermore, liquidity facilities in some conditions from French banks if CRH needs and period of 5 business days between date of repaiement of borrowing banks and maturity date of CRH's bonds in order to be able to call liquidity facilities.
11 Is there any grace period in case of a breach of liquidity risk mitigants?
  • No
  Comments: Breach of perfect matching is coming from a default of a borrowing bank. In that case, CRH may become owner of cover pool and can use liquidity facilities from other stakeholders.
12 What is the consequence of not fixing a breach of liquidity risk mitigants?
  • Programme freeze (neither sale of assets nor new issuance allowed)
  • Other regulatory or rule-based action
  Comments: See answer to Q V.11.
Monitoring of exposures to market and liquidity risk
13 Who monitors the maintenance of coverage tests?
  • Supervisory authority
  • Rating agency
  • Other
  Comments: Furthermore, not borrowing for itself and independent from borrowers, CRH monitors coverage of its loans to banks.
14 Are there any regular public reporting requirements for market and liquidity risk?
  Comments: Not relevant, in a normal situation by law perfect matching between assets and liabilities.
Overcollateralisation
15 Is mandatory minimum overcollateralisation required?
  • By legislation/regulation
  • By contractual obligation
  • By published voluntary commitments
16 What is the level of minimum mandatory overcollateralisation?
  • 25
  Comments: 25%
17 If mandatory overcollateralisation is required, are the amounts above the minimum OC level protected?
  • Yes
18 Is there any grace period in case of a breach of the coverage test?
  • No
  Comments: See comments on next question.
19 What is the consequence of not fixing a breach of the coverage test?
  • Programme freeze (neither sale of assets nor new issuance allowed)
  • Other regulatory or rule-based actions
  Comments: The borrowing bank is obliged to add eligible collateral or to pay back CRH by delivering to CRH CRH's bonds related to its borrowing.
1 Is a special license required for the issuing of covered bonds?
  • Yes with additional requirements compared to general banking supervision regulations
2 Are there special reporting duties of the covered bond issuer to the supervision authority concerning covered bonds and the cover pool, which go beyond the regular banking supervision?
  • Periodic reporting required
3 What is the role of the banking supervision regarding covered bonds?
  • To check whether eligibility criteria are fulfilled and documented
  • Checking quality of cover assets (real estate valuations, etc)
  • Monitoring of exposure to market risk and liquidity risk
  • Evaluation of operational risk
  • To check minimum mandatory overcollateralisation requirements
4 Is there a special role of banking supervision in crisis regarding covered bonds?
  • Safeguarding ongoing management of the cover pool directly or via a special administrator
  • Involvement in transfer of cover assets and covered bonds to another credit institution
5 Is there a cover pool monitor independent from the issuer?
  • Yes
  Comments: French banking authority in a special legal audit.
Furthermore, CRH independant from borrowing banks audits coverpool, verifies coverage tests and reports to Authorities.

6 If there is an independent cover pool monitor, what are its duties?
  • Performing audits of the cover pool
  • Reporting duties to the supervision authority
  • Verification of coverage tests
1 Do covered bonds automatically accelerate when the credit institution goes insolvent?
  • No
  Comments: No for CRH's covered bonds.
Yes for CRH's corresponding loans to borrowing banks.
2 What is the cover pool?
  • All assets on the cover register
3 How are the covered bondholders protected against claims from other creditors in case of insolvency of the issuer?
  • Preferential claim by law
4 Is there recourse to the credit institution’s insolvency estate upon a cover pool default?
  • Yes, pari passu with unsecured creditors
5 Are there provisions that require derivatives to continue in case of insolvency of the credit institution?
  Comments: Not relevant.
6 If derivatives are permitted in the cover pool, what is their ranking?
  Comments: Not relevant.
1 Does the covered bond fulfil the criteria of UCITS 52(4)?
  • Yes
2 For further information regarding the compliance to the criteria of Article 129 of the Capital Requirements Regulation (CRR), please see the following links: http://ecbc.hypo.org/Content/default.asp?PageID=504#position https://www.coveredbondlabel.com
3 Are listed covered bonds eligible in repo transactions with the national central bank?
  • Yes
4 Are there any special investment regulations regarding covered bonds?
  • Yes
1 Link to National Association representing covered bond interests
  • Association
2 Link to national regulators and supervisors
3 Fact Book Country Chapter
  • Chapter
 
4 Hypostat Country Chapter
  • Chapter