The FINANCIAL — London-26 September 2011: Fitch Ratings has affirmed Sagrantino Italy S.r.l.'s notes as follows:
EUR67.3m class B (IT0004294838) affirmed at 'AAsf'; Outlook Stable
EUR48m class C (IT0004294846) affirmed at 'Asf'; Outlook Stable
EUR24.5m class D (IT0004294853) affirmed at 'BBBsf'; Outlook Negative
EUR32.7m class E (IT0004295025) affirmed at 'Bsf'; Outlook Negative
The affirmation reflects the performance reported since the last rating action. Recovery rates on secured claims (41.2%) remain in line with Fitch's expectations, while delays experienced in the recovery process have already been taken into account in past rating actions. However, cumulative collections remain approximately 40% lower than the amount anticipated at closing (December 2007) by the servicer, Prelios Credit Servicing ('RSS2+IT'/'CSS2+IT'), which is also lower than Fitch's original base case projection. Net collections recorded in the past two interest payment dates (IPD) have worsened compared to the previous 12-month period (EUR51m versus EUR79m), although not so much as to warrant a negative rating action.
As of the July 2011 IPD, the portfolio's reported gross book value (GBV) was EUR1,214m, down from EUR2,576m at closing. Since closing, the total recovery on fully closed claims amounts to EUR260m on a GBV of EUR1,000m. Meanwhile, recoveries on unsecured loans amount to only 5.2%, although the proportion of unsecured loans remaining in the portfolio by GBV has fallen to 10%, from 28% at closing.
The transaction is a securitisation of 11 portfolios of non-performing loans (NPLs) originated in Italy by a number of banks and financial institutions, most of which had been securitised under public deals with some private deals. The portfolio is mainly concentrated in central and southern Italy, with the majority of claims backed by loans advanced to corporate borrowers.
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