TD Waterhouse/Fitch Research - December 23, 2010
Fitch Ratings has assigned Casaforte S.r.l.'s EUR1,536.64m class A notes, due June 2040, a final 'A-sf' rating with Stable Outlook. The final rating addresses the timely payment of interest and ultimate repayment of principal. Fitch gave consideration to the legal and financial structures in assigning the final rating to the issue.
The transaction is a securitisation of rental income derived from 683 bank branches and offices in Italy. These real estate assets are let to Banca MPS ('A-'/Stable/'F2') and its subsidiaries until July 2033.
The class A notes are scheduled to fully amortise by their expected maturity date in December 2030. Banca MPS is responsible for about 86.5% of the initial rental payment. The remaining portion is paid by Banca MPS's subsidiaries, but Banca MPS is also jointly and severally liable for these obligations (if the relevant subsidiary does not make any payment or there is any payment shortfall).
Consequently, the final rating is fully credit-linked to Banca MPS's rating. Any change in Banca MPS's Long-term Issuer Default Rating is likely to result in a corresponding change in the rating of the notes. The transaction has an initial class A-to-portfolio value ratio of 89% and an initial class A-to-vacant possession value ratio of 107%, although these ratios are scheduled to amortise to zero by the class A expected maturity in December 2030.
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