(Repeat for additional subscribers)
June 2 (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.
KEY RATING DRIVERS
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.