Fitch Affirms Infinity 2007-1 (Soprano)
OREANDA-NEWS. Fitch Ratings has affirmed Infinity 2007-1 (Soprano)'s commercial mortgage-backed floating rate notes due 2019 as follows:
EUR194.5m class A (FR0010478420) affirmed at 'BBsf'; Outlook Negative
EUR36m class B (FR0010478438) affirmed at 'CCCsf'; Recovery Estimate (RE) 50%
EUR28.1m class C (FR0010478446) affirmed at 'CCsf''; RE 0%
EUR22.5m class D (FR0010478453) affirmed at 'Csf''; RE0%
EUR28.1m class E (FR0010478479) affirmed at 'Csf'; RE0%
The transaction is a securitisation of the monetary rights arising in favour of the protection seller under originally 15 credit default swaps referencing 15 commercial mortgage loans. Four loans now remain, secured by collateral located in Germany and France.
KEY RATING DRIVERS
The affirmation reflects broadly unchanged repayment prospects from the pool, in Fitch's view.
The bulk of eventual losses will stem from the specially-serviced EUR277.8m EHE 1A loan, which reports collateral market value (MV) of EUR147.8m. The loan is backed by 23 retail assets throughout Germany. Only one asset was disposed of last year - the logistics warehouse (located in Gallin) sold in excess of the latest MV (EUR32.5m vs EUR25m) - and Fitch would caution against extrapolating this level of outperformance across the portfolio given the scope for positive selection. However, preliminary signs would suggest MV is achievable.
Fitch understands from investor notices that a sub-portfolio of 12 assets is currently in the process of being sold, one of which was completed this month for total gross proceeds of EUR16.25m. The other 11 are subject to notarised sale and purchase agreements totalling EUR49.3m. Provided these transactions complete in line with this sum (which is marginally above MV), this would indicate improving market appetite for the portfolio. Fitch will monitor developments in its review of the rating of the class A notes and the RE of the class B notes.
The EUR30.8m Massy loan also presents risk, albeit of a different kind. It is secured on a multi-tenanted retail park/shopping centre 20 kilometres south of Paris. Although the reported loan-to-value ratio is only 55%, uncertainty exists over the refurbishment works planned for this year, in part because a considerable proportion of space is being held vacant to accommodate the redevelopment.
Since Fitch's last rating action in February 2015 the EUR11m Paul Langevin - Alterea and the EUR64.1m San Cugat - Alterea loans have repaid in full, with redemption proceeds applied to the notes (sequentially) on the February interest payment date. The EHE 1B loan is in special servicing after it failed to repay on its extended loan maturity date in October 2013. Nevertheless the loan has continued to de-risk and now presents minimal risk in Fitch's view.
Fitch estimates 'Bsf' proceeds of EUR220m.
Ratings on the class A notes are sensitive to how much will be fetched from the notarised sales forthcoming on the EHE 1A properties. Should Massy repay in full, this could lead to a positive revision of the class A Outlook from Negative; however, a default of the Les Tanneurs - Alterea loan on maturity could prompt negative rating action.
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.
SOURCES OF INFORMATION:
The information below was used in the analysis.
- Asset and transaction reporting provided by Capita Asset Services as at 25 November 2015