RPT-Fitch Affirms FCT Copernic Compartment Copernic 2012-1
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Sept 24 (Reuters) - (The following statement was released by the rating agency)
Fitch Ratings has affirmed FCT Copernic Compartment Copernic 2012-1's class A1 and A2 notes as follows:
Class A1 notes affirmed at 'AAAsf'; Outlook Stable,
Class A2 notes affirmed at 'AAAsf'; Outlook Stable
KEY RATING DRIVERS
The affirmation reflects the stable performance of the underlying receivables. In addition, although the transaction is still in its revolving period, the characteristics of the portfolio as of end-July 2013 were in line with those at closing. The revolving period will end by 27 September 2013.
The transaction has performed in line with Fitch's base case assumptions in terms of gross defaults and net defaults. The cumulative default rate as per the latest reporting date (July 2013) equals 0.4% of the initial balance of the portfolio, slightly below the agency's initial base case assumption (0.5% expected as of July 2013). Cumulative losses amount to 0.1%, below the agency's initial base case assumption (0.5% expected as of July 2013) due to higher recoveries than expected. However, Fitch will closely monitor the 30+ days delinquency ratio as they are higher than expected, which deviates from the historical trend.
The transaction benefits from a fully funded reserve fund, which represents 1.5% of the initial balance of the notes. Excess spread has been on average 4.0% and has been sufficient to cover all defaults so far.
As of end-July 2013, the pari passu class A1 and A2 notes benefited from 28.2% credit enhancement, through the subordinated class B notes and the reserve fund.
The reserve fund, aimed at liquidity, is available to cover senior fees, swap payments and interest payments on the class A1 and A2 notes. The reserve may provide credit enhancement to the extent that it will be released at the legal final maturity date and flow through the relevant priority of payments.
Fitch has maintained its original base case default expectation of 6.6% and therefore rating sensitivities are still in line with the original new issue report. Fitch expects the stable performance to continue and the transaction to benefit from amortisation.
The transaction is a revolving securitisation of French consumer loans receivables originated by Carrefour Banque. Carrefour Banque is 60% owned by Carrefour SA (BBB/Stable), the largest retailer in Europe and the second worldwide, and is 40% owned by BNP Paribas Personal Finance - a 100% subsidiary of the BNP Paribas group (A+/Stable/F1).
Initial Key Rating Drivers and Rating Sensitivities are further described in the New Issuer report published on 27 September 2012.
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