OREANDA-NEWS. February 16, 2015. Fitch Ratings has affirmed PREPS 2006-1 plc and PREPS 2007-1 plc, as follows:

PREPS 2006-1 plc (PREPS 2006-1)
EUR13,189,648 class B1 notes (ISIN: XS0261125677): affirmed at 'Csf'; RE: 0%
EUR2,967,671 class B2 notes (ISIN: XS0261127376): affirmed at 'Csf'; RE: 0%

PREPS 2007-1 plc (PREPS 2007-1)
EUR29,593,176 class A1 notes (ISIN: XS0289620709): affirmed at 'Csf'; RE: 0%
EUR35,000,000 class B1 notes (ISIN: XS0289620881): affirmed at 'Csf'; RE: 0%

The transactions are cash securitisations of subordinated loans to medium-sized enterprises located in up to eight jurisdictions: Germany, Austria, Switzerland, Italy, Belgium, Luxembourg, the Netherlands and the UK.

KEY RATING DRIVERS
PREPS 2006-1
The affirmation of the class B1 and B2 notes at 'Csf' reflect Fitch's view that default is inevitable. The class A1 and A2 notes were fully repaid at the transaction's scheduled maturity date in July 2013.

Since the companies' subordinated loans securitised in the pool are bullet loans with the same tenor, they all became due on the same scheduled maturity date. As of the last payment date, 12 companies are still listed as constituents of the portfolio. Of these, 11 have defaulted and so their aggregate notional loan amount of EUR55m does not constitute part of the portfolio. The agency also does not expect any recoveries from these defaulted assets.

One company with valid, on-going loan contract but missed payments has an aggregate outstanding portfolio loan amount of EUR0.98m. Fitch lacks information on the recovery prospects of this company. Therefore, the agency does not expect any further payments to the benefit of the noteholders from this loan.

PREPS 2007-1
The affirmation of the class A1 and B1 notes at 'Csf' reflect Fitch's view that default is inevitable.

PREPS 2007-1 reached scheduled maturity in March 2014. Since the companies' subordinated loans securitised in the pool are bullet loans with the same tenor, they all became due on the same scheduled maturity date. The senior class A1 notes were not repaid in full. Beyond the scheduled maturity date, nine companies are still listed as constituents of the portfolio. Eight companies are insolvent and one has defaulted and so their aggregate notional loan amount of EUR61m does not constitute as part of the portfolio. The agency does not expect any recoveries from defaulted assets through to their legal final maturity in March 2016.

PREPS 2007-1 announced in December 2014 that it will receive an additional purchase price of EUR1.25m from an earlier sale of a subordinated loan agreement representing only 4.2% of the most senior class of notes outstanding. However, we have maintained the Recovery Estimate (RE) on the class A1 notes at 0% as the use for interest payments rather than for principal payments on the notes can be material.

Fitch assigns REs to all notes rated 'CCCsf' or below. REs are forward-looking recovery estimates, taking into account Fitch's expectations for principal repayments on a distressed structured finance security.

RATING SENSITIVITIES
After scheduled maturity, the transactions are primarily sensitive to the recoveries from defaulted agreements (e.g. via sales of rights and obligations arising from securitised subordinated loans). Fitch does not expect any recoveries due to the junior, unsecured nature of the loans. These risks are reflected in the notes' ratings.