OREANDA-NEWS. Fitch Ratings has published the January 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.

European SME CLO performance was stable in December 2015 with average 90 day delinquencies in Spain having been flat since October 2015 at 1.73% and on a par with those of Italy (1.73%), which have been stable of over the course of 2015. Spanish transactions PYME Santander 4 and 5 were both removed from the index as the notes have been fully redeemed, taking the Spanish index down to its current level of 1.73%, from 1.97% in November 2015.

In December Fitch reviewed five transactions and rated one new SME CLO. Two transactions were also called.

Fitch assigned a final rating of 'Asf with Stable Outlook to Rosenkavalier 2015 UG's class A notes on 18 December 2015. The securitised pool of EUR2.52bn contains loans granted to small and medium-sized enterprises (SMEs), mid-caps and large corporate borrowers located in Germany.

Fitch upgraded Gate SME CLO 2006-1, Sandown Gold 2012-1 and IM Cajamar Empresas 4, driven by deleveraging for all three transactions. In Sandown Gold 2012-1 and IM Cajamar Empresas 4 the upgrades were limited to the junior notes as the senior notes of the former are already rated 'AAAsf' and the senior notes of the later are capped at 'A+sf'.

Fitch affirmed Cart 1 Limited and Douro SME 2. The Douro SME 2 affirmation considered the modification of transaction documents, which extended the revolving period for another three years and altered some of the portfolio covenants. Cart 1 Limited's remaining class E notes were affirmed at 'CCsf' as part of a surveillance review.

CM Bancaja 1 was liquidated on 22 December 2015 in accordance with the provisions of the funds deed of incorporation. Liquidation proceeds were sufficient to pay the class A, B, C and D notes in full but not the E notes on which a loss of 12.2% was realised. Fitch downgraded the notes to 'Dsf' from 'CCsf' and withdrew the rating. UBI Finance 3 S.r.l. was called on 17 December 2015 and all notes were fully repaid.

On 1 December 2015 Fitch published its Structured Finance Outlook for 2016 report which noted the robust performance of SME deals. An improved macro-economic landscape with increased consumer confidence and a more competitive lending environment will continue to support performance in the European structured finance market this year.