RPT-Fitch Affirms Elide Series at 'AAAsf'/Stable
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Dec 20 (Reuters) - (The following statement was released by the rating agency)
Fitch Ratings has affirmed FCC Elide Compartiment 2008-1 (Elide 2008), 2011-01 (Elide 2011) and 2012-01 (Elide 2012), as follows:
Class A2 (ISIN FR0010696724) affirmed at 'AAAsf'; Outlook Stable
Class A1 (ISIN FR0011034024) affirmed at 'AAAsf'; Outlook Stable
Class A2 (ISIN FR0011034057) affirmed at 'AAAsf'; Outlook Stable
Class A (ISIN FR0011269505) affirmed at 'AAAsf'; Outlook Stable
The French prime RMBS transactions comprise loans originated and serviced by BRED Banque Populaire (A/Stable/F1).
KEY RATING DRIVERS
The affirmations reflect strong performance of the underlying assets in all three transactions. As of the latest interest payment dates, three-month plus arrears ranged from 0.03% (Elide 2012) to 0.1% (Elide 2008) of the current pool, while cumulative gross defaults ranged from 0.12% (Elide 2012) to 0.89% (Elide 2008) of the initial asset balance.
Lower Risk Borrowers
The strong performance of the underlying pools is partly driven by the presence of loans granted to a sub-group of the population with high employment and income security ie. civil servants, with fairly low weighted average current-loan-to-market-value ratios ranging from 48.6% in Elide 2008 to 61.2% in Elide 2011.
Loans Originated in French Overseas Territories
Significant portions of the securitised loans are backed by properties located in French overseas territories (ranging between 15.2% and 28.4% across the three deals). In its analysis, the agency applied additional default probability and recovery stresses on these loans, in line with those applied at closing (see the new issue reports on www.fitchratings.com). The analysis showed that the credit enhancement levels available to the rated tranches were sufficient to withstand such stresses, as reflected in the affirmation of the ratings.
Loans Secured By a Caution
Guarantee-backed loans comprise 57%, 60% and 46% of Elide 2008, 2011 and 2012 assets, respectively. Fitch gave no credit to recoveries obtained from the guarantee-backed loans in its analysis, as the guarantee for such loans is not transferred to the FCC.
Deterioration in asset performance may result from economic factors, in particular the increasing effect of unemployment. A corresponding increase in new defaults and associated pressure on excess spread levels could trigger a review of the ratings.
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