Fitch Affirms Elide Compartiment 2011-01, 2012-01 and 2014-01
OREANDA-NEWS. Fitch Ratings has affirmed Elide Compartiment 2011-01, 2012-01 and 2014-1, as follows:
Elide Compartiment 2011-01 (Elide 2011)
EUR397.4m Class A2 affirmed at 'AAAsf'; Outlook Stable
Elide Compartiment 2012-01(Elide 2012)
EUR511.9m Class A affirmed at 'AAAsf'; Outlook Stable
FCT Elide Compartiment 2014-01(Elide 2014)
EUR613.6m Class A1 affirmed at 'AAsf'; Outlook Stable
EUR105.0m Class A2 affirmed at 'AAsf'; Outlook Stable
The notes are backed by portfolios of French residential loans originated by BRED Banque Populaire (BRED; A/Stable/F1). Elide 2011 and Elide 2012's portfolios consist of loans secured by a mortgage or by an guarantor while Elide 2014's portfolio comprises loans backed by a mortgage.
KEY RATING DRIVERS
Solid Performance of Underlying Assets
The affirmation reflects the strong asset performance of BRED transactions. The level of loans in arrears by more than three months for all three transactions has remained low since their respective issuances. As of September 2015, this ratio stood at 0.03% for Elide 2011, 0.06% for Elide 2012 and 0.06% for Elide 2014. The sound performance is also reflected by the levels of cumulative defaults, which have remained low since inception and amount to 0.75%, 0.35% and 0.10% for Elide 2011, 2012 and 2014, respectively.
Loans Originated in French Overseas Territories
Elide 2011, Elide 2012 and Elide 2014 contain 17.6%, 17.4% and 11.8% of loans backed by properties located in French overseas territories. In its analysis, Fitch applied an additional default probability (x2) and a supplementary haircut (-25%) on recoveries for these loans. The agency's analysis showed that available credit enhancement is sufficient to withstand these stresses.
Non-Transfer of Guarantee
For loans benefiting from a guarantee and included in the Elide 2011's (54.7%) and Elide 2012's (40.8%) portfolios, the guarantee itself is not transferred to the issuer. No credit was given to recoveries from these loans, in line with the analysis at closing.
The three underlying pools have amortised by 55.3%, 45.7% and 11.9%, respectively, since the notes' issuance, implying increased credit enhancement available for the senior notes. Credit enhancement, provided through the subordination of junior class of notes and overcollateralisation of the notes, now amounts to 20.7% for Elide 2011's class A2 notes, compared with 10.5% in April 2011; 22.9% for Elide 2012's class A notes, compared with 13.5% in June 2012; and 10.9% for Elide 2014's class A1 and A2 notes, compared with 9.7% in November 2014.
While Fitch expects the deleveraging of the transactions to continue, asset performance may suffer from economic factors, in particular should unemployment increase. Furthermore, BRED performs various roles in all three transactions, including those of servicer, account bank and swap counterparty. Deterioration of BRED's credit profile could affect the operational performance of each transaction.
The Elide 2014 documentation references rating triggers regarding counterparty risk that are commensurate with a maximum 'AAsf' category. Unless the documentation is amended, the class A1 and A2 notes' ratings are implicitly capped at 'AA+sf'.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed 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 pools and the transactions. There were no findings that were material to this 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 transactions closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis. Prior to the transactions closing, Fitch conducted a review of a small targeted sample of BRED'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, 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.