Fitch Affirms FCT Red & Black BDDF PPI
The transaction is a static securitisation of a loan made by Societe Anonyme de Credit a l'Industrie Francaise - an entity of the SG group - to Societe Generale (SG; A/Stable/F1). The loan benefits from a financial guarantee provided by SG. The guarantee is backed by a reference portfolio of prime residential housing loans to French individuals or civil real estate companies originated by SG in France. The payment of the notes matches the repayment of the SG loan, which in turn matches the repayments received from the reference portfolio.
KEY RATING DRIVERS
The affirmation reflects the sound performance of the underlying assets. As of the August 2016 interest payment date, three-month plus arrears stood at 0.1% of the current pool balance. Defaults have remained limited with cumulative defaults at 1.9% of the initial portfolio balance. Excess spread generated in the transaction has been sufficient to fully provision all the defaults so far.
Significant Credit Enhancement
Credit enhancement for the class A notes is provided by overcollateralisation. Credit enhancement has built up to 47.2% from 13.0% at closing, due to portfolio amortisation and the 2012 restructuring, which led to partial repayment of the class A notes.
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 result in negative rating action.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10
Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that affected the analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.
Prior to the transaction closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis.
Prior to the transaction closing, Fitch conducted a review of a small targeted sample of SG's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio.
Overall and together with the assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.
SOURCES OF INFORMATION
The information below was used in the analysis.
- Loan-by-loan data provided by Societe Generale as at August 2016
- Transaction reporting provided by Paris Titrisation as at August 2016