TEXT-Fitch affirms FCC Partimmo and FCC Zebre's ratings

(The following statement was released by the rating agency)

Oct 02 - Fitch Ratings has affirmed FCC Parimmo 07/02, FCC Partimmo 10/02, FCC Partimmo 05/03, FCC Partimmo 11/03, FCC Zebre One, FCC Zebre Two and FCC Zebre 2006-1 as follows:

FCC Partimmo 07/02 - CDE9 class A affirmed at 'AAAsf'; Outlook Stable FCC Partimmo 10/02 - CDE10 class A affirmed at 'AAAsf'; Outlook Stable FCC Partimmo 05/03 - CDE11 part P affirmed at 'AAAsf'; Outlook Stable FCC Partimmo 11/03 - CDE12 part P affirmed at 'AAAsf'; Outlook Stable FCC Zebre One class A affirmed at 'AAAsf'; Outlook Stable FCC Zebre Two part P affirmed at 'AAAsf'; Outlook Stable FCC Zebre 2006-1 part P affirmed at 'AAAsf'; Outlook Stable FCC Zebre 2006-1 part M1 affirmed at 'BBBsf'; Outlook Stable FCC Zebre 2006-1 part M2 affirmed at 'BBsf'; Outlook Stable

The ratings affirmations reflect the wide credit support available to the notes, as well as the stable performance the underlying pools have shown since inception. Notes issued in the FCC Partimmo (Partimmo) and FCC Zebre Series (Zebre) are backed by loans that have been originated by Credit Foncier de France (CFF; 'A+'/Negative/'F1+').

The Partimmo Series, Zebre One and Two comprise of senior class A notes, with credit enhancement provided by subordinated classes of unrated notes. Meanwhile, Zebre 2006-1 comprises three rated tranches and one subordinated, collateralised unrated note. The notes in the Partimmo Series and Zebre One redeem pro rata and are subject to a trigger that would switch the amortisation to sequential once the subordinated notes' factor falls below 2%. The note amortisation on Zebre Two and Zebre 2006-1 is purely sequential.

All the transactions have a reserve fund that can be used to cover for both principal and interest shortfalls and they all currently remain on target. Due to the transactions' high deleveraging, the support provided by the reserve funds is in the range of 23.0% and 40.0%, with the exception of Zebre 2006-1 which has a reserve fund that is at 5.6% of the note balance.

Loans with more than six missed instalments are classified as defaulted and their outstanding balance is fully provisioned for using gross excess spread generated by the underlying pool.

Transactions that were originated in 2002 are now highly deleveraged, with pool factors currently standing at 11.8% and 12.2% of the original balances of Partimmo 07/02 and 10/02 respectively. Due to the high seasoning of the underlying assets, cumulative gross defaults are increasing at a slow pace, with total defaults at 1.50% (Partimmo 07/02) and 1.29% (Partimmo 10/02) of the original portfolio balance. More recent transactions show slightly higher levels of cumulative defaults: 1.9%, 1.6%, 1.9%, 2.7% and 1.4% of initial balance of Partimmo 05/03, 11/03, Zebre One, Two and 2006-1 respectively. The excess spread generated by the pools has been sufficient to cover for period gross defaults that have occurred since close, thereby preventing reserve fund draws.

In late 2008, some of the securitised floating rate loans were subject to modifications, some of which included a cap on the increase in rates for variable rate loans. The modifications made to the portfolios led to the amendment of the documentation to ensure that the selected loans remain eligible. In order to limit the level of risk exposure on M1 and M2 junior notes of Zebre 2006-1, CFF committed to paying the FCC any capital loss incurred as a result of the loan modification in certain interest and inflation rate scenarios. As a result, the notes are deemed to be dependent on the credit-worthiness of CFF which is why in Fitch's analysis of the transaction, these tranches are subject to a rating cap linked to CFF's Long-term rating.

For all of Fitch's Eurozone Crisis commentary go to ((Bangalore Ratings Team, Hotline: +91 80 4135 5898, Bhanu.priya@thomsonreuters.com, Group id: BangaloreRatings@thomsonreuters.com, Reuters Messaging: Bhanu.Priya.reuters.com@reuters.net))