OREANDA-NEWS. Fitch Ratings has assigned Sinepia D. A.C. asset-backed floating-rate notes final ratings as follows:

EUR150m Class A1: 'B-sf'; Outlook Stable

EUR35m Class A2: 'B-sf'; Outlook Stable

EUR50m Class A3: 'B-sf'; Outlook Stable

EUR88.8m Class A4: 'B-sf'; Outlook Stable

EUR259.1m Class M: Not rated

EUR64.9m Class Z: Not rated

The transaction is a granular cash flow securitisation of a EUR648m static pool of fully drawn floating-rate loans to Greek SMEs, originated and serviced by National Bank of Greece S. A. (NBG).

KEY RATING DRIVERS

Sovereign Cap

The class A notes are capped at 'B-sf', driven by sovereign dependency, in accordance with Fitch's Criteria for Sovereign Risk in Developed Markets for Structured Finance and Covered Bonds.

Significant Amount of Protection

The rated notes (EUR323.8m) benefit from solid credit enhancement, provided by: 100% over-collateralisation (OC) from the EUR647.8m portfolio; strictly sequential amortisation during the life of the transaction; an initial gross excess spread of about 2.4% provided by the difference between the weighted average (WA) margin of the loans (4.2% at closing) and the WA margin of the rated notes; and a short portfolio weighted average life (WAL) of 2.3 years.

Positive Portfolio Selection

Against a backdrop of exceptionally high levels of credit risk, due to the severe economic crisis, the portfolio has been positively selected from the originator's balance sheet. This was mainly achieved via the removal of refinanced and delinquent loans. Based on internal ratings, Fitch has assigned a one-year probability of default (PD) to the securitisation portfolio of 7.7%, which implies an average five-year PD of 5.1% and a lifetime portfolio default probability of 26.4% at the 'B-sf' stress level.

Limited Recoveries

Given the limited amount of historically data available on recovery rates, Fitch has assumed a lifetime base case recovery rate of 15% on defaulted receivables. The portfolio comprises 82.5% secured loans, mainly secured by commercial real estate property. Fitch has given no credit to real estate collateral in the portfolio, given that secured recoveries remain depressed due to various factors such as government moratoriums on repossessions, drop in real estate valuations and a dysfunctional secondary market.

RATING SENSITIVITIES

The structure is resilient to the potential variability of key model assumptions, given the large OC buffer provided to the rated notes and that limited recoveries are already captured in Fitch's base case assumption.

The model-implied ratings on stressed defaults and recovery rates as follows:

Current ratings: Class A notes: 'B-sf'

Increase in default rates by 50% and decrease in recovery rates by 50%

Class A notes: 'B-sf'

DUE DILIGENCE USAGE

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

DATA ADEQUACY

Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis.

Overall, Fitch's assessment of the asset pool 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 the servicer as at 7 July 2016

Originator's observed default rates for the period 2011-2015

Dynamic arrears and prepayment for the period 2011-2015

Static recovery data for the period 2007-2015