OREANDA-NEWS. Fitch Ratings has affirmed four Electricite de France (EDF; A/Stable/F1) & Gaz de France (GDF) originated RMBS transactions, as follows:

Electra 1
Class A4 (FR0000504227): affirmed at 'AAAsf'; Outlook Stable
Class B (FR0000504235): affirmed at 'Asf'; Outlook revised to Positive from Stable

Loggias 2001-1
Class A (FR0000488462): affirmed at 'AAAsf'; Outlook Stable
Class B (FR0000488470): affirmed at 'BBBsf'; Outlook Stable

Loggias 2003-1
Class A (FR0010029231): affirmed at 'AAAsf'; Outlook Stable
Class B (FR0010029256): affirmed at 'Asf'; Outlook Stable

FCC Minotaure Compartment 2004-1
Class A (FR0010302687): affirmed at 'AAAsf'; Outlook Stable
Class B (FR0010302794): affirmed at 'BBBsf'; Outlook Stable
Class C (FR0010302802): affirmed at 'BBsf'; Outlook Stable

The transactions were set up to refinance portfolios of residential loans jointly granted by EDF, GDF (rating withdrawn following the merger with Suez and now Engie) and their subsidiaries to their employees. The majority of the loans do not benefit from any security (e.g. a mortgage or death/invalidity insurance) but loan instalments are deducted directly from the salaries of employees. Defaults are recorded in case of death, temporary or permanent disability of a borrower, and when over-indebtedness, bereavement or a change in family status leads to early termination.

Given the non-standard features of the risk in the transaction, Fitch has not applied its standard approach as defined under the EMEA RMBS Rating criteria, but assessed the exposure of borrowers to mortality risk in function of their age and gender. Fitch based its analysis on statistical data provided by the INSEE (French National Institute of Statistics and Economic Studies).

KEY RATING DRIVERS
Sound Asset Performance
Electra 1, the most seasoned deal, has the highest cumulative default rate at 1.46% of the initial pool balance. Loggias 2001 reported cumulative defaults of 1.44% compared with 1.37% last year. Cumulative defaults follow a similar evolution for Loggias 2003 and FCC Minotaure at 1.05% and 0.84% (vs. 0.98% and 0.73% as of October 2014), respectively. As of October 2015, the pool factor - deleveraging of the portfolio - had reached 2.2% for Electra 1, 9.4% for Loggias 2001, 16.3% for Loggias 2003 and 27.3% for FCC Minotaure, which is explained by the high seasoning of the transactions. The affirmation and the revision of the outlook to positive from stable of Electra's class B notes takes into account potential concentration resulting from tail risk.

For all transactions, the issuers purchased the underlying pools at discount, thereby providing overcollateralisation (OC), with a view to diverting excess principal to interest payments during the transaction's life. This was to ensure that the yield on the loans is sufficient to cover the interest due on the notes. Prepayments reduce the remaining collateral balance of the portfolio faster than scheduled, and so reduce the impact of the structural negative excess spread carried by the transactions. They have remained stable at around 4% in all transactions.

Amortisation Accelerating Note Redemption
Under normal amortisation (pro-rata amortisation of the rated notes), a fixed portion of principal receipts (resulting from the discount mentioned above) were diverted as excess spread into the interest account. All transactions have now moved to accelerated amortisation, hence all the available funds are now used to pay in priority senior expenses, interest on the notes and then principal due on the most senior notes until full redemption.

OC Deemed Sufficient
A specific focus has been given to tail risk for these deals. Fitch deems the current OC for each transaction sufficient to cover the corresponding tail risk.

RATING SENSITIVITIES
Although the transaction is not sensitive to real estate and macro-economic changes, defaults and consequently losses are directly dependent on death, disability, over-indebtedness and change in family status within the portfolio. An increase in any of these factors could result in faster OC erosion and negative rating action.

Conversely, higher prepayments could be a driver of positive rating actions for all transactions.

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 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.

Fitch did not undertake a review of the information provided about the underlying asset pools ahead of the transactions' initial closing. The subsequent performance of the transactions over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

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.
- Loan-by-loan data provided by France Titrisation as at 30 October 2015
- Transaction reporting provided by France Titrisation as at 30 October 2015

MODELS
Fitch's standard RMBS models are not applicable to the analysis of this type of mortgage. Projections of mortality timing, scheduled note amortisation and senior fees payments were undertaken using simple spreadsheets.