Fitch Affirms Provide VR 2003-1 Plc
OREANDA-NEWS. 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): paid in full
Class C (ISIN DE000A0AAZ37): paid in full
Class D (ISIN DE000A0AAZ45): affirmed at 'CCsf'; Recovery Estimate (RE) 75%
Class E (ISIN DE000A0AAZ52): affirmed at 'Csf'; RE 0%
Class F: not rated
The transaction is a synthetic securitisation backed by residential mortgages originated by several institutions belonging to the German Cooperative Banking group.
KEY RATING DRIVERS
The portfolio currently consists of mostly non-performing loans. Cumulative losses since closing in December 2003 currently stand at 2.3% of the original pool balance. The class F notes balance has been completely absorbed by loss allocation (EUR6.1m). The class E notes have also incurred EUR4.3m of losses. Of their initial balance (EUR4.4m), currently only EUR0.1m is outstanding (based on the latest investor report as of September 2015).
Overall, the deal is performing worse than Fitch's initial expectations and we expect the class E notes balance to be reduced to zero through further loss allocation, as outstanding foreclosures 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 at 'CCsf' and 'Csf'.
The transaction remains exposed to further loss allocation, as outstanding credit events in the portfolio translate into losses. We expect additional losses to be allocated to the class E notes (thus fully eliminating them) and the class D notes.
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.
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 Deutsche Genossenschafts-Hypothekenbank AG (DG Hyp) as of end-June 2015
-Transaction reporting provided by DG Hyp as of end-September 2015
The model below was used in the analysis. Click on the link for a description of the model.