OREANDA-NEWS. Fitch Ratings has assigned FCT LAFFITTE 2016-1's notes a final rating as follows:

EUR2,590.0m Class A: 'AAAsf'; Outlook Stable
EUR410m Class B: not rated

FCT LAFFITTE 2016 is a 25-month revolving securitisation of French unsecured consumer loans originated in France by BNP Paribas (BNPP) through its French retail banking. The securitised portfolio consists of general purpose loans, auto loans, debt consolidation loans and student loans granted to individuals. All loans bear a fixed interest rate and are amortising with constant instalments.
This is the first consumer loans securitisation transaction conducted by BNPP. The rating on the class A notes addresses timely payment of interest and payment of principal by the final maturity date, in accordance with transaction documents.

KEY RATING DRIVERS
Underlying Receivables' Credit Risk
Fitch analysed obligor credit risk by forming base case default expectations (4.25%) and recovery assumptions (55.0%), stressing these assumptions according to the rating level of each note. The agency reviewed default and recovery data on the total consumer loan book of the originator. Fitch deemed aggregate data adequate to assign its base case as the securitised portfolio is representative of the originator's consumer loan book and the mix of loan types originated has remained stable over time.

Revolving Period Risk Mitigated
The transaction has a maximum 25-month revolving period. The early amortisation triggers, along with eligibility criteria and available credit enhancement, adequately mitigate the risk introduced by the revolving period.

Servicing Continuity Risk
BNPP is the servicer. No back-up servicer was appointed at closing. However, servicing continuity risks are mitigated by, among other things, the monthly transfer of borrowers' details after six calendar months from closing, a commingling reserve (funded below a certain rating trigger), a reserve fund to cover liquidity, and the management company being responsible for appointing a substitute servicer within 30 calendar days upon the occurrence of a servicer termination event.

Absence of Interest Rate Risk
The fund receives fixed interest rate on the consumer loans and pays fixed interest rate on the notes. The cash swap ensures fixed revenues on issuer's invested cash. Therefore, the transaction is not sensible to the interest rate environment.

Asset Outlook
Fitch has a stable outlook for French consumer ABS assets. Although the agency forecasts French economic activity to remain weak over the next two years, characterised by high unemployment, Fitch believes defaults are likely to remain within expectations, as these already incorporate our short-term macroeconomic expectations.

RATING SENSITIVITIES
Fitch tested the rating sensitivity of the notes to various scenarios, including an increase in the base case default rate and/or decrease in the base case recovery rate for the portfolio. The model-implied sensitivities indicate that an increase in the base case default rate by 50% and a decrease in the base case recovery rate by 50% may result in a three-notch downgrade of the class A notes to 'AA+sf' from 'AAAsf'.

A new issue report, including further information on transaction related stress, key rating drivers and rating sensitivities, as well as material sources of information that were used to prepare the credit rating, is available at www.fitchratings.com

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

DATA ADEQUACY
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.

Fitch conducted a review of a small targeted sample of BNPP'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 asset pool 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.
- Pool stratification data provided by BNPP as at 31 March 2016
- Portfolio amortisation profile provided by BNPP as at 31 March 2016
- Monthly origination volumes, dynamic delinquency data, prepayment data, data on cumulative defaults by vintage of origination and data on cumulative recoveries by vintage of default. Data provided by BNPP as at end 2015 covered at least a period from 2008 to 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 LAFFITTE 2016 - Appendix, dated 24 May 2016 at www.fitchratings.com). In addition refer to the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 2 March 2016 available on the Fitch website.