OREANDA-NEWS. Fitch Ratings has published the August 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.

The performance of European SME CLOs was stable in July. Average 90-day delinquencies in Spain declined to 2.3% from 2.4% in June while 90-day arrears in Italy remained stable at 1.7%. During July, Fitch reviewed four SME CLO transactions consisting of 12 rated tranches, and as a result upgraded one tranche, downgraded five tranches and affirmed the other six. The downgrades reflected counterparty risk while the upgrade was driven by a significant increase in credit enhancement (CE). The remaining affirmations reflected stable underlying portfolio performance.

On 6 July 2015 Fitch downgraded the class C, D, and E notes of TDA SA Nostra Empresas 1 and the class C and D notes of TDA SA Nostra Empresas 2 to 'BBsf' from 'BB+sf', while affirming the remaining notes in both transactions. CE for the downgraded notes is partially or fully provided by a reserve fund held at Banco Mare Nostrum (BMN; BB/Stable/B) and the notes' ratings are therefore capped at BMN's rating.

On 13 July 2015 Fitch upgraded the class B notes of BBVA 6 FTPYME to 'B-sf' from 'CCCsf' and assigned a Stable Outlook. The agency also affirmed the class C notes at 'Csf'. The upgrade of the class B notes reflected a significant increase in CE over the past 12 months due to the realisation of additional recoveries. The class C notes remain undercollateralised and Fitch considers a default of these notes to be inevitable.

On 23 July 2015 Fitch affirmed the class A notes of UBI Finance 3. The affirmation reflected an increase in CE since the last review, which offset a slight deterioration in portfolio performance.

During July one transaction, IM Banco Popular FTPYME 1, was called by the originator and repaid in full.