Fitch af­firms Me­ce­nate RMBS Se­ries

The Pak Banker - - COMPANIES/BOSS -

Global rat­ing agency Fitch has af­firmed eight tranches of Me­ce­nate S.r.l. Se­ries 2007 (Me­ce­nate 2007), Se­ries 2009 (Me­ce­nate 2009) and Se­ries 2011 (Me­ce­nate 2011) RMBS deals.

Loans in ar­rears by more than three months in the se­ries have re­mained sta­ble, rang­ing from 0.6% to 1.8% of the cur­rent out­stand­ing bal­ance in the past 12 months.

Cu­mu­la­tive gross de­faults stood at 4.4%, 6.3% (3.74% if con­sid­er­ing the re­pur­chased EUR12.7m of de­faulted claims by the orig­i­na­tor in July 2011) and 1.2% of the ini­tial port­fo­lios of Me­ce­nate 2007, Me­ce­nate 2009 and Me­ce­nate 2011, re­spec­tively.

The three trans­ac­tions de­fine de­faults as loans in ar­rears be­tween six and 12 months, de­pend­ing on the pay­ment fre­quency or those loans that are clas­si­fied as such by the ser­vicer in ac­cor­dance with the Bank of Italy's reg­u­la­tions. Me­ce­nate 2009 was the worstper­form­ing trans­ac­tion in the se­ries as it cur­rently has the high­est level of ar­rears and cu­mu­la­tive de­faults.

Ex­cess spreads gen­er­ated by Me­ce­nate 2007 and Me­ce­nate 2009 were in­suf­fi­cient for pro­vi­sion­ing all de­faults, which has led to a de­lay in ac­cel­er­at­ing the prin­ci­pal pay­ments to the se­nior note­hold­ers ac­cord­ing to the PDL struc­ture. The out­stand­ing PDL bal­ances of the ju­nior notes are cur­rently at EUR1.9 mil­lion (Me­ce­nate 2007) and EUR5.1 mil­lion (Me­ce­nate 2009), 100% and 39.2% of the no­tional bal­ance of the re­spec­tive notes.

At present the credit sup­port avail­able to classes C and B of Me­ce­nate 2007 and Me­ce­nate 2009 is suf­fi­cient for th­ese tranches to main­tain their rat­ings, de­spite the out­stand­ing PDL bal­ances on the ju­nior notes in the two trans­ac­tions.

Due to a re­port­ing er­ror in Me­ce­nate 2007, EUR89,000 of un­pro­vi­sioned de­faults was mis­al­lo­cated on the class C PDL which should be in­stead fully cleared by draw­ing the re­serve fund, ac­cord­ing to the trans­ac­tion doc­u­ments.

The is­suer has pro­posed to cor­rect this on the next in­ter­est pay­ment date (IPD) in April 2013. Based on Fitch's es­ti­ma­tion, Me­ce­nate 2007 re­serve fund will be 99.5% of the tar­get amount in the April 2013 in­ter­est pay­ment date.

Fitch ex­pects the level of de­faults on the up­com­ing pay­ment dates to re­main at sim­i­lar lev­els seen in the past few quar­ters.

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