Fitch Downgrades Talisman-6 Finance plc's Class D and E Notes; Affirms Others
OREANDA-NEWS. Fitch Ratings has downgraded Talisman-6 Finance plc's class D and E notes and affirmed the rest as follows:
EUR53.1m class C (XS0294188882) affirmed at 'Csf'; revised Recovery Estimate (RE) to 55% from 0%
EUR40.7m class D (XS0294189005) downgraded to 'Dsf'; from 'Csf'; RE 0%
EUR0m class E (XS0294189427) downgraded to 'Dsf'; from 'Csf'; RE 0%
EUR0m class F (XS0294189690) affirmed at 'Dsf'; RE0%
The transaction is the securitisation of nine commercial mortgage loans originated by ABN AMRO Bank NV. Only one property (Dresden) remains in the portfolio, valued in 2013 at EUR27.3m.
KEY RATING DRIVERS
Higher-than-expected sales proceeds have led to the full repayment of the class A and B notes. The RE on the class C notes reflects the prospect of further funds being paid upon the sale of the last property in the portfolio, as well as after the unwinding of the remaining borrower structures. The downgrade of the class D and E notes reflects the loss allocation at the October 2015 IPD of the Cherry loan.
The class C notes are expected to be downgraded to 'Dsf' at or soon after legal final maturity in October.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.
Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transaction's initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.
Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.
SOURCES OF INFORMATION
The information below was used in the analysis.
-Loan-by-loan data provided by Hatfield Philips as at 22 April 2016
-Transaction reporting provided by US Bank as at 22 April 2016
-Investor presentation provided by Hatfield Philips as at 12 May 2016