Dec 20 - Fitch Ratings has affirmed FCT BS CDN ENT's notes, as follows:
EUR728.2m Class A notes (ISIN: FR0011147966): affirmed at 'AAAsf' Outlook Stable
The affirmation reflects portfolio performance and increased level of credit
enhancement (CE) due to the notes' deleveraging. CE for the Class A notes has
increased by 15% to 47% since origination, largely due to partial prepayments of
the receivables in September 2012 (see "Fitch Confirms FCT BS CDN PPI and FCT BS
CDN ENT's Notes", dated 06 September 2012 at fitchratings.com). As of the
December 2012 investor report, the pool balance stands at 67% while class A
notes have been paid down to 52% of its original balance.
The transaction has performed in line with Fitch's expectations since it was
originated in January 2012. Arrears, although increasing, are at low levels with
delinquencies over 90 days representing 0.3% of the outstanding balance. Since
closing, the transaction has experienced EUR19m of defaults which translates to
1.4% of the outstanding balance. The portfolio is not concentrated in terms of
obligor concentration with top three obligors representing 3% of the outstanding
pool. As of the December investor report, small corporates represent 33% of the
pool while loans to professionals make up 67% of the pool.
The transaction features a commingling reserve to protect against commingling
risk and set-off risk, as well as provide liquidity on or after the enforcement
of the financial guarantees. Due to the portfolio amortisation, the commingling
reserve has reduced to EUR61m.
FCT BS CDN ENT is a static securitisation of a loan (the CDN loan) made by CALIF
- a member of the SG group - to CDN. The loan benefits in turn from a financial
guarantee provided by CDN under the provisions of articles L.211-38 of the
French Monetary Code. This financial guarantee is backed by a portfolio of loans
to French small businesses and professionals, SMEs and corporates originated by
CDN in France (the reference portfolio). The payment of the notes matches the
repayment of the CDN loan, which in turn matches the repayments received from
the reference portfolio.
Additional information is available at www.fitchratings.com. The ratings above
were solicited by, or on behalf of, the issuer, and therefore, Fitch has been
compensated for the provision of the ratings.
Sources of information: transaction trustee reports.
Applicable criteria 'Criteria for Rating Granular Corporate Balance-Sheet
Securitisations - SME CLO', dated 27 November 2012; 'Global Rating Criteria for
Corporate CDOs', dated 8 August 2012; 'Global Criteria for Cash Flow Analysis in
CDOs', dated 13 September 2012; 'Criteria for Rating Caps in Global Structured
Finance Transactions', dated 2 August 2012; and 'Counterparty Criteria for
Structured Finance Transactions', dated 30 May 2012, are available at
Applicable Criteria and Related Research:
Criteria for Rating Caps in Global Structured Finance Transactions
Counterparty Criteria for Structured Finance Transactions
Criteria for Rating Granular Corporate Balance-Sheet Securitisations (SME CLOs)
Global Rating Criteria for Corporate CDOs
Global Criteria for Cash Flow Analysis in CDOs