RPT-Fitch Affirms FCT Eridan 2010-01

Mon Jun 2, 2014 9:12am EDT

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June 2 (Reuters) - (The following statement was released by the rating agency)

Fitch Ratings has affirmed FCT Eridan 2010-01's notes, as follows:

Class A (ISIN FR0010979385): affirmed at 'AAAsf'; Outlook Stable

Class B (ISIN FR0010979393): affirmed at 'BB+sf'; Outlook Stable

FCT Eridan 2010-01 is a static cash flow SME CLO originated by BRED Banque Populaire (A+/Negative/F1+). At closing, the issuer used the note proceeds to purchase a EUR950m portfolio of secured and unsecured loans granted to French small and medium enterprises and self-employed individuals.


Today's rating action reflects stable portfolio performance over the past 12 months. Loans in arrears for more than 90 days remain at 0.04% of the portfolio and cumulative defaults as a percentage of the initial balance is approximately 2%. The portfolio remains granular, with the largest obligor representing 0.56% of the portfolio balance.

Fitch has applied a rating cap to the class B notes, in line with its published criteria, 'Criteria for Rating Caps in Structured Finance Transactions' published in May 2014. Under the sequential and accelerated amortisation scenarios, the class B notes could experience temporary interest shortfalls as allowed by the transaction's documentation. The transaction is currently amortising pro-rata according to its amortisation triggers.


The agency incorporated two additional stress tests in its analysis to determine the ratings' sensitivity. The agency applied a 1.25x default rate multiplier and a 0.75x recovery rate multiplier to all assets in the portfolio. In both stress tests, the notes are likely to be downgraded up to four notches.

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