Oct 26 - Fitch Ratings has revised the Outlook on Zenesis SPC Series 2007-10 floating-rate notes due 2014 to Positive from Stable. The notes have been affirmed at ‘BBB-sf’. The transaction is a synthetic corporate CDO referencing corporate obligations mainly in the U.S. and Europe.
Zenesis SPC Series 2007-10
USD17,186,534 notes due September 2014 affirmed at ‘BBB-sf’; Outlook revised to Positive from Stable
The Positive Outlook reflects shortened horizon risk as the transaction approaches its maturity. As a result, the rating may be upgraded if the portfolio performs in line with Fitch’s base case expectation over the next 12 months.
The affirmation reflects stable portfolio quality since the last rating action in December 2011. Credit enhancement (CE), at 3.8% of outstanding portfolio balance, is adequate to absorb six asset defaults in a ‘BBBsf’ category stress with a recovery estimate of about 26%. The transaction has not experienced any credit events since October 2008.
The portfolio had 6.3% assets rated at sub-investment grade in October 2012, down from 8.6% in December 2011. Out of the 128 equally weighted assets in the outstanding portfolio, there was only one asset in the ‘B’ category and one asset in the ‘CCC’ category, while none was in the ‘CC’ or below bracket.