(The following statement was released by the rating agency)
Sept 06 - Fitch Ratings has affirmed FCT Red & Black French Small Business 2010-1’s notes, as follows:
EUR1,854.9m Class A notes affirmed at ‘AAAsf’; Outlook Stable
The affirmation reflects the transaction’s stable performance since closing, with loans in arrears over 90 days representing 0.5% of the outstanding portfolio balance. Under the transaction documentation, the originator is able to substitute any defaulted receivables during the transaction’s revolving period and as such, cumulative defaults since closing are equal to 0%, while substituted receivables amount to 2.3% of the outstanding portfolio balance.
The underlying portfolio is granular, with the combined balance of the ten largest obligors representing 2.1% of the current outstanding portfolio balance. Fitch expects the portfolio to remain granular throughout the revolving period due to the restrictive limits on obligor concentration embedded in the transaction eligibility criteria.
FCT Red & Black French Small Business 2010-1 is a securitisation of a loan to Societe Generale (SG; the SG loan) made by Societe Anonyme de Credit a l’Industrie Francaise, a member of the SG group. The SG loan benefits from a financial guarantee provided by SG. The guarantee is in turn backed by a reference portfolio of loans to French small businesses and self-employed individuals originated by SG in France. The reference portfolio is expected to replenish until November 2013.
The current credit enhancement of 31.3% for the Class A notes is provided by over-collateralisation.