Fitch Affirms Mercurio RMBS Series
OREANDA-NEWS. Fitch Ratings has affirmed the Mercurio RMBS series, as follows:
Mercurio Finance S.r.l. - Series 2008-3 (Mercurio 3)
Class A (ISIN IT0004372303): affirmed at 'AA+sf'; Outlook Stable
Mercurio Mortgage Finance S.r.l. - Series 2008-4 (Mercurio 4)
Class A (ISIN IT0004438542): affirmed at 'AA+sf'; Outlook Stable
Mercurio Mortgage Finance S.r.l. - Series 2009-5 (Mercurio 5)
Class A (ISIN IT0004516313): affirmed at 'AA+sf'; Outlook Stable
Mercurio Mortgage Finance S.r.l. - Series 2012-7 (Mercurio 7)
Class A (ISIN IT0004791981): affirmed at 'AA+sf'; Outlook Stable
The four Italian prime RMBS transactions were originated and are serviced by the Italian branch of Barclays Bank Plc (A/Stable/F1).
KEY RATING DRIVERS
Solid Credit Enhancement
The affirmation reflects the solid available credit support, which is currently between 18.5% (Mercurio 5) and 27.6% (Mercurio 4). Over the past year, the credit support has increased due to the smooth portfolio repayment, at an annual rate between 15% (Mercurio 4) and 57.6% (Mercurio 7). The spike in Mercurio 7's annual repayment rate is a result of a partial portfolio buyback (see "Fitch: No Rating Impact on Mercurio 2012-7 from Partial Buyback", dated 20 November 2015 at www.fitchratings.com).
Stable Asset Performance
Over the past 12 months, the proportion of late stage arrears, defined as loans with at least three unpaid monthly instalments, remained stable at between 1.1% (Mercurio 7) and 2.3% (Mercurio 5) of the current pool, compared with between 1% (Mercurio 7) and 2.7% (Mercurio 5) one year ago. At the same time, the volume of gross defaults is now between 1.0% of the initial pool (Mercurio 7) and 2.7% (Mercurio 5) while it was between 0.6% (Mercurio 7) and 2.1% (Mercurio 5) 12 months ago. The agency believes that the asset performance will remain stable.
In its analysis, Fitch applied a maximum recovery rate of 100% of the defaulted balance despite the relatively low current loan-to-value of the portfolios, to factor in the typically subdued recoveries for Italian RMBS. The robust credit support meant there was no impact on the rated notes.
RATING SENSITIVITIES
Changes to Italy's Long-term Issuer Default Rating (BBB+/Stable) and the rating cap for Italian structured finance transactions, currently 'AA+sf', could trigger rating action on the notes.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.
Applicable to: Mercurio 3, Mercurio 4 and Mercurio 5
Fitch did not undertake a review of the information provided about the underlying asset pools ahead of the transactions' initial closing. The subsequent performance of the transactions over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.
Applicable to: Mercurio 7
Prior to the transaction closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis.
Prior to the transaction closing, Fitch conducted a review of a small targeted sample of the originator's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio.
Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.
SOURCES OF INFORMATION
- Loan-by-loan data provided by the European Data Warehouse as at November 2015 for Mercurio 5 and January 2016 for the other transactions.
- Transaction reporting provided by Barclays Bank as of August 2015 for Mercurio 5 and January 2016 for the other transactions.
MODELS
The model below was used in the analysis. Click on the link for a description of the model.
- EMEA RMBS Surveillance Model
Комментарии