FITCH PLACES 9 GREEK SF TRANCHES ON RATING WATCH POSITIVE; UPGRADE
Fitch Ratings-Madrid/London-22 August 2018: Fitch Ratings has placed nine Greek structured finance tranches on Rating Watch Positive (RWP) and upgraded Aeolos S.A.’s floating rate notes. A full list of rating actions is at the end of this commentary.
KEY RATING DRIVERS
Sovereign Upgrade
The rating actions follow the upgrade of Greece’s Long-Term Issuer Default Rating (IDR) to ‘BB-‘/Stable from ‘B’ and the revision of its Country Ceiling to ‘BBB-‘ from ‘BB-‘ (see ” Fitch Upgrades Greece to ‘BB-‘ from ‘B’; Outlook Stable” dated 10 August 2018 at www.fitchratings.com). Fitch may upgrade the tranches placed on RWP after a detailed analysis of each transaction’s current portfolio, and after calibrating credit assumptions up to the new Country Ceiling, which is also the maximum achievable rating for structured finance transactions in Greece.
Aeolos S.A. Credit-linked to Sovereign Rating
Aeolos S.A.’s floating-rate notes are linked to the Greek sovereign IDR due to the unconditional and irrevocable undertaking by the Hellenic Republic to provide any shortfall amounts due by the issuer on the notes and expenses. As a result, the upgrade of the notes to ‘BB-‘/Stable reflects the August 2018 action on the Greek sovereign.
RATING SENSITIVITIES
Fitch may upgrade the tranches placed on RWP after a detailed analysis of the current portfolio of each transaction, and after calibrating credit assumptions up to the new Country Ceiling that is also the maximum achievable rating for structured finance transactions in Greece.
Changes to Greece’s sovereign rating could affect the rating of Aeolos’s floating-rate notes.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10
Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.
DATA ADEQUACY
Fitch has not conducted any checks on the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. 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
Not applicable
MODELS
Not applicable
Fitch has taken the following rating actions:
Estia Mortgage Finance Plc
Class A (XS0220978737): ‘BB-sf’; placed on RWP
Class B (XS0220978901): ‘BB-sf’; placed on RWP
Estia Mortgage Finance II Plc
Class A (XS0311458052): ‘BB-sf’; placed on RWP
Grifonas Finance No. 1 Plc
Class A (XS0262719320): ‘BB-sf’; placed on RWP
Class B (XS0262719759): ‘BB-sf’; placed on RWP
Class C (XS0262720252): ‘BB-sf’; placed on RWP
Kion Mortgage Finance Plc
Class A (XS0275896933): ‘BB-sf’; placed on RWP
Class B (XS0275897311): ‘BB-sf’; placed on RWP
Class C (XS0275897741): ‘BB-sf’; placed on RWP
Aeolos S.A.
Floating rate notes (XS0140322743): upgraded to ‘BB-‘ from ‘B’; Outlook Stable
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