OREANDA-NEWS. Fitch Ratings has published the May edition of its SME CLO Compare which tracks the performance of all SME CLO transactions monitored by Fitch based on their investor reports. The report is updated on a monthly basis.

Performance of European SME CLOs was stable in April. In Spain, average 90 day delinquencies were 2.6% across 40 monitored transactions. This was marginally higher than March 2015 (2.57%) but down significantly from April 2014 (4.04%). In Italy, average 90 day delinquencies were 2.23% across 13 monitored transactions. This was largely unchanged from the 2.22% recorded in March 2015 but down from 2.4% in April 2014.

During April, Fitch reviewed nine SME CLO transactions consisting of 26 rated tranches. As a result of these reviews, Fitch upgraded eight tranches and affirmed the other 18. The main driver of the positive rating performance was continued portfolio amortisation, which resulted in higher levels of credit enhancement. Fitch did not downgrade any rated note in April. Fitch also published its quarterly EMEA Securitisation Update in April.

On 2 April 2015 Fitch upgraded two tranches of AyT Colaterales Global Empresas, FTA, Serie Caja Granada I and affirmed the third. The upgrades were a result of stable performance combined with significant growth in credit enhancement as a result of amortisation.

On 7 April 2015 Fitch affirmed both S-Core 2007-1 and Prime 2006-1. Both of these transactions have passed their scheduled maturity date and repayments are dependent on recoveries from defaulted assets prior to the legal maturity.

On 13 April 2015 Fitch upgraded one tranche of AyT FTPYME II, F.T.A. and affirmed the other two. The affirmations were at the Country Ceiling (AA+sf) while the junior tranche was upgraded as a result of increased credit enhancement.

On 14 April 2015 Fitch affirmed the rated tranche of SME Lion B.V. despite negative rating migration in the underlying portfolio during the year due to rising credit enhancement following amortisation of the notes.

On 24 April 2015 Fitch reviewed two transactions, IM Grupo Banco Popular Empresas 1, FTA and BBVA Hipotecario 3, F.T.A.. These two transactions contain eight rated tranches, four of which were affirmed at the Country Ceiling (AA+sf). Of the remaining tranches not currently at the Country Ceiling, three were upgraded and one was affirmed. The upgrades were a result of increased credit enhancement due to portfolio amortisation.

On 29 April 2015 Fitch affirmed two tranches of FTPYME Bancaja 2 while revising the Outlook on the senior note to Positive from Stable and revising the Recovery Estimate on the junior note to 95% from 40%. The Outlook and Recovery Estimate revisions were driven by the growth in credit enhancement during the year.

On 29 April 2015 Fitch upgraded two tranches of FTA, Santander Empresas 2 and affirmed the other three. The upgrades were a result of increased credit enhancement following amortisation in the underlying portfolio.

In addition to rating actions in April, Fitch also published its EMEA Securitisation Update on 2 April 2015. In this quarterly report Fitch commented that the refined version of the 2012 liquidation proceeding known as concordato preventivo in continuita, introduced by Italian legislators, will implicitly improve recovery prospects across transactions, while creating small performance distortions that will in most cases be immaterial. The agency also elaborates on the continued pace of early liquidations of SME CLOs in 2015.

The spreadsheet, entitled 'SME CLO Compare', is available at www.fitchratings.com or by clicking the link above.