(Repeat for additional subcribers)
Feb 4 (The following statement was released by the rating agency)
Fitch Ratings has affirmed Provide VR
2003-1 Plc, as follows.
Senior credit default swap: paid in full
Class A+ (ISIN DE000A0AAZ03): paid in full
Class A (ISIN DE000A0AAZ11): paid in full
Class B (ISIN DE000A0AAZ29): affirmed at 'AAsf'; Outlook Stable
Class C (ISIN DE000A0AAZ37): affirmed at 'BBBsf'; Outlook Stable
Class D (ISIN DE000A0AAZ45): affirmed at 'CCsf'; Recovery Estimate (RE) 70%
Class E (ISIN DE000A0AAZ52): affirmed at 'Csf'; RE 0%
Class F: NR
The transaction is a synthetic securitisation backed by residential mortgages
originated by several institutions belonging to the German Cooperative Banking
KEY RATING DRIVERS
Since the last review in February 2013, additional losses of EUR0.6m have been
realised and allocated to the class E notes. Cumulative losses since closing in
December 2003 currently stand at 2.2% of the original pool balance. The class F
notes (not rated) have been completely eliminated by loss allocation (EUR6.1m).
The class E notes have also incurred EUR4m losses. Of their initial balance of
EUR4.4m, currently only EUR0.4m are outstanding (based on the latest investor
report as of December 2013).
Overall, the deal is performing worse than Fitch's initial expectations and we
expect the class E notes to be reduced to zero through further loss allocation,
as outstanding foreclosures currently in the portfolio turn into losses. Given
the small outstanding balance of the class E notes, losses are also likely to be
allocated to the class D notes. This expectation is factored into the notes'
ratings and REs and consequently their affirmation.
The class B and C notes have built up substantial credit enhancement through
amortisation. The portfolio has amortised to approximately 8% of its initial
balance. As a result, they are able to withstand losses commensurate with their
current ratings, as reflected in their affirmation.
The transaction remains exposed to further loss allocation, as outstanding
foreclosures in the portfolio (currently approximately EUR2m) translate into
losses. We expect additional losses to be allocated to the class E notes (thus
fully eliminating them) and also to the class D notes. At the same time, we
expect the relative credit enhancement for the class B and C notes to further
increase via amortisation, resulting in additional protection.
Fitch assigns REs to all notes rated 'CCCsf' or below. REs are forward-looking,
taking into account Fitch's expectations for principal repayments on a
distressed structured finance security.