OREANDA-NEWS. Fitch Ratings has affirmed Infinity 2006-1 "Classico" as follows:

EUR138.3m class A (FR0010379347) affirmed at 'Asf'; Outlook Stable

EUR33.7m class B (FR0010379354) affirmed at 'Asf'; Outlook Stable

EUR64.9m class C (FR0010379362) affirmed at 'Asf'; Outlook Stable

EUR66.5m class D (FR0010379370) affirmed at 'BBBsf'; Outlook Stable

EUR9.6m class E (FR0010379388) affirmed at 'BBBsf'; Outlook Stable

Infinity 2007-1 "Classico" is a fully funded synthetic securitisation of a single loan originated by Natixis, whose Issuer Default Ratings are aligned with those of its parent, Groupe BPCE (GBPCE; A/Stable/F1). The loan is backed by a portfolio of Italian commercial real estate assets.

KEY RATING DRIVERS

The note ratings of classes A to C are capped at the rating of Natixis, since all note collateral is held as bank deposits. This represents excessive counterparty exposure as, in spite of downgrade triggers, a "jump to default" of Natixis would lead to note default. Ratings on class D and E notes are constrained by loan credit quality, which has not materially changed over the last 12 months given performance and composition of the underlying property portfolio have been stable.

The portfolio comprises 24 office and retail assets, with the majority located in the north of Italy. In December 2015 a new valuation was provided to the closed-ended Italian real estate fund that owns the properties. It showed an almost 2% decline in value over the previous six months, which pushed the loan-to-value ratio (LTV) above the LTV covenant level of 60%. Instead of curing the breach with cash sweep, the borrower prepaid the loan by EUR20m from its own funds, thereby bringing LTV down to 57%. Seven properties (two office and five retail) are reportedly in early stages of a sales process with bids received and due diligence ongoing.

With the loan maturing this month, the borrower has requested a formal loan extension to March 2017. Fitch expects a standstill to be granted, however. This may allow the borrower to execute on its business plan involving lease re-gears and capex works on properties in San Donato, Milan. Fitch believes that a standstill would cause all disposal proceeds (not just the allocated loan amount) to be trapped, unless pre-specified conditions have been met.

The real estate fund has already had a three-year extension request to its closed end date granted by the Bank of Italy, moving it to December 2019. Note maturity is in 2024, leaving time for formal liquidation of the fund if it is unable to return capital by December 2019.

Fitch estimates 'Bsf' proceeds of EUR445m

RATING SENSITIVITIES

A downgrade in the Long-Term IDR of Natixis would lead to a corresponding downgrade of the senior note classes. Ratings on the junior notes are sensitive to investor demand and refinancing appetite for the property portfolio.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY

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.