(The following statement was released by the rating agency)
Jan 03 - Fitch Ratings has published an updated version of its SME CLO Compare. The report is updated on a monthly basis.
Italy led the SME CLO issuance in Europe over 2012. 25 new SME CLOs were issued accounting for EUR33.5bn with an overall underlying portfolio of around EUR45bn. 14 of the 25 transactions originated from Italy totalling EUR11.5bn. All the new transactions in Europe were retained by the originators with the only exceptions being the Sandown Gold 2012-1 Plc and the Promise Neo transactions.
Fitch commented that bond investors remain cautious on taking exposure to European corporate risk via SME CLOs. This is due partly to regulatory capital treatment, since SME leasing transactions are placed with investors, which suggests there is appetite for securitised SME corporate risk but only for deals with short tenors that attract less punitive capital charges. The agency expects new CLO issuance in Europe to remain constrained in 2013 due to the punitive regulatory treatment in terms of capital charges compared to other forms of corporate debt, the continued availability of central bank liquidity and the higher cost of issuing compared to RMBS or unsecured bank debt. For details see “Capital Treatment is Still Muting European CLO Supply”, dated 5 December 2012, available on www.fitchratings.com.
Fitch assigned an expected ‘AA(EXP)’ rating to Commerzbank AG’s (CBK, ‘A+'/Stable/‘F1+') first issuance of SME structured covered bonds. This is the first SME covered bond to be issued in Germany as part of CBK’s EUR5bn SME structure covered bond programme. The covered bonds will be directly issued by CBK and have to be repaid by the bank, benefiting from an unconditional and irrevocable guarantee by a German SPV, SME Commerz SCB GmbH. The guarantee is backed by cash flows from the underlying portfolio which has been transferred to the SPV making use of the Refinancing Register (see “Fitch Assigns Commerzbank AG’s SME Structured Covered Bonds Expected ‘AA(EXP)’ Ratings”, dated 6 December, available on www.fitchratings.com.)
Fitch also assigned ratings to a new SME CLO transaction in December 2012, 2012 Popolari Bari SME Srl. Classes A1 and A2 were rated at ‘A+sf’, Outlook Stable. 2012 Popolari Bari Srl is a multi-originator cash flow securitisation of a static portfolio of secured and unsecured loans granted to small- and medium-sized enterprises in Italy, originated by Banca Popolari di Bari S.c.p.A. (BPB, not rated) and its subsidiary Cassa di Risparmio di Orvieto S.p.A (CRO, not rated).
Delinquency levels continued to rise in Spain and Italy reaching new peaks during 2012, and Fitch expects those levels to rise further in 2013 due to the expected continuation of the economic contraction. The effect of the increasing arrears level has been generally offset by the accumulation of credit enhancement in SME CLOs due to deleveraging. For details see “2013 Outlook: European Structured Finance”, dated 19 December 2012, available on www.fitchratings.com.
Fitch reviewed the ratings of six SME CLOs deals during December 2012: GC FTPYME Sabadell 5 FTA, Claris SME 2011 Srl, Empresas Hipotecario TDA CAM 3 FTA., Empresas Hipotecario TDA CAM 5 FTA., BBVA Empresas 6 FTA and PYME Valencia 1 FTA.
The spreadsheet, entitled ‘SME CLO Compare’, is available at www.fitchratings.com or by clicking the link above.
Link to Fitch Ratings’ Report: SME CLO Compare January 2013