RPT-Fitch Affirms Smile Securitisation Company 2007 B.V.

Fri May 30, 2014 4:55am EDT

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May 30 (Reuters) - (The following statement was released by the rating agency)

Fitch Ratings has affirmed Smile Securitisation Company 2007 B.V. notes, as follows:

Class A (NL0000169142): affirmed at 'BBBsf'; Outlook Stable

Class B (XS0288450736): affirmed at 'BBsf'; Outlook Negative

Class C (XS0288453599): affirmed at 'Bsf'; Outlook Negative

Class D (XS0288455370): affirmed at 'CCCsf'; Recovery Estimate (RE) 0%

Class E (XS0288455883): affirmed at 'CCsf'; RE 0%

The transaction is a cash flow securitisation of a static pool of originally EUR4.91bn of loans to SMEs, originated by ABN AMRO Bank N.V (A+/Negative/F1+) in the Netherlands.


The affirmation of the notes reflects increased credit enhancement for the class A to D notes over the last 12 months, as well as the transaction's switch to a sequential pay-down structure. During this period the transaction saw EUR214m being repaid, of which 97% was allocated to the class A notes. This has reduced its portfolio factor (defined as current portfolio balance/original portfolio balance) to 22.5% from 27.3%. Principal payments switched to sequential from pro rata after cumulative defaults (currently 2.36% of the transaction's initial balance) exceeded the closing trigger level (2.2%).

The portfolio's lowest-rated bucket (loans which the originator believes are or are close to defaulting on their obligations) increased marginally to 12.1% from 11.6%, although the weighted average recovery of defaulted assets remains high at 72% (down marginally from 75%). Cumulative net losses from worked out obligations remain low at 0.4%, up marginally from 0.29%, and continue to be covered by the reserve fund.

The uncapped reserve fund balance is currently reported at EUR6.7m, down from EUR10.1m a year ago and provides further subordinated protection to the senior notes. The principal deficiency ledger remains at zero as it has since closing in 2007.


A 0.75x recovery rate multiplier, or a 1.25x default rate multiplier, would lead to a two-notch downgrade for all note classes.

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