OREANDA-NEWS. Fitch Ratings has affirmed FCT Factoring Asset Securitisation Transaction's class A1 and A2-1 notes as follows:

Class A1 notes affirmed at 'AAAsf'; Outlook Stable
Class A2-1 notes affirmed at 'AAAsf'; Outlook Stable

The transaction is a securitisation of French trade receivables purchased from the seller, Natixis Factor, which in turn, acquires them in the context of factoring contracts with its clients. Natixis Factor is a factoring company 100% owned by Natixis (A/Stable/F1). The transaction has a three-year revolving period, with a maximum note issue amount of EUR1,150m. The securities are asset-backed floating rate notes, with final maturity in June 2016.

KEY RATING DRIVERS
The affirmation reflects the stable performance of the underlying receivables, as well as the transaction's dynamic credit enhancement (CE) mechanism and the CE floor outlined under the transaction documentation.

The notes benefits from a dynamic CE calculation, adjusted on a monthly basis, provided through (i) a default reserve, a re-transfer reserve and a dilution reserve which constitute the overcollateralisation (OC); (ii) a concentration excess amount - to take into account any possible industry concentration; and (iii) an interest and fees reserve. The CE floor is 18%. As of September 2015, CE was sized at 25.1%.

The dynamic interest and fees cash reserve is calculated on a monthly basis and sized to cover the interest and fees due and payable on the notes. The reserve is in line with Fitch's trade receivables criteria.

Specific debtor, client and industry concentration limits have been included in the calculation of the senior funding base. This mitigates their potential risk. The deal's performance has been fairly stable in the past 12 months with a three-month rolling average default ratio of 1.2% on average. Since closing, delinquency levels have been steady (ranging from 1.9% to 3%) and dilutions have remained stable at 0.3%.

Counterparty risks, and in particular commingling risk, are deemed to be adequately mitigated by the transaction's collection accounts being set up as specially dedicated accounts (SDAs), opened under French law in the name of the servicer and remote from any bankruptcy proceedings against the seller/servicer (Natixis Factor). As per the eligibility criteria, debtors must pay their invoices directly into the Natixis Factor SDA accounts.

RATING SENSITIVITIES
The ratings are sensitive to the creditworthiness of the originator.

Initial Key Rating Drivers and Rating Sensitivities are further described in the New Issue report published on 13 December 2012.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
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 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 transaction closing, Fitch did not review the results of a third party assessment conducted on the asset portfolio information.

Prior to the transaction's closing, Fitch conducted a review of a small targeted sample of Natixis Factor'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.

SOURCES OF INFORMATION
The information below was used in the analysis:
-Transaction reporting provided by by Euro Titrisation as at 30 September 2015

REPRESENTATIONS AND WARRANTIES
A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms to those typical for the asset class is available by accessing the appendix that accompanies the initial new issue report (see FCT Factoring Asset Securitisation Transaction - Appendix, dated 13 December 2012 at www.fitchratings.com). In addition refer to the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 12 June 2015 available on the Fitch website.