OREANDA-NEWS. Fitch Ratings says European SME CLO performance remained stable in March 2016 with average 90-day delinquencies in Spain only increasing marginally since October 2015 to 1.9% from 1.7%, whereas 90 day delinquencies in Italy are continuing their decreasing trend, dropping to 1.5% from 1.7% over the past month.
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These statistics are in the April edition of Fitch's SME CLO Compare, which tracks the performance of all SME CLO transactions monitored by the agency based on their investor reports. The report is updated on a monthly basis.

For Germany, Fitch said in a comment released in March that it expected SME CLOs to see falling default rates as a result of lower German corporate insolvencies in 2015 (see 'Fitch: Lower German Insolvencies Support Stable SME CLO Outlook' dated 15 March 2016 on www.fitchratings.com)

Throughout the month of March Fitch rated one new Italian SME CLO and reviewed nine transactions consisting of two Portuguese, two German and five Spanish SME CLOs. Two tranches were upgraded while only one was downgraded. Further, one transaction was called and another saw its rating being withdrawn.

Fitch assigned a final rating of 'A+sf' with Stable Outlook to BERICA PMI 2 S.R.L.'s class A notes on 30 March 2016. The transaction is a cash flow securitisation of a EUR1,042m static pool of loans granted to small and medium-sized enterprises (SME) and corporates located in Italy.

The Outlook on two Portuguese transactions, Sagres, STC S.A./Douro SME No. 2 and Sagres, STC S.A./Pelican SME No. 2, was revised to Stable from Positive, reflecting a similar action on Portugal (see Fitch Revises Portugal's Outlook to Stable; Affirms at 'BB+' dated 4 March 2016). Sagres, STC S.A. / Pelican SME No. 2 notes were subsequently affirmed given the transaction's overall stable performance.

Fitch upgraded the most junior rated notes of FTPYME TDA CAM 2, FTA and IM Cajamar Empresas 5, FTA, while affirming their senior notes, whose ratings are capped at current levels by counterparty risks. The upgrades reflected significant increases in credit enhancement as a result of deleveraging of the senior notes, while delinquencies remained at low and moderate levels, respectively.

FONCAIXA LEASINGS 2, FTA's ratings were affirmed, as higher credit enhancement offset volatile delinquencies and increased portfolio concentration.

Fitch also reviewed AyT Colaterales Global Empresas, FTA, Serie Caja Granada I and concluded that no rating action was necessary.

Fitch also affirmed PYME Bancaja 5, FTA and revised the Outlook on the transaction's class B notes to Stable from Negative as a result of significant decreases in delinquencies, increased credit enhancement and moderate defaults.

All notes of S-CORE 2007-1 GmbH were affirmed at 'Csf' with 0% Recovery Estimates. The transaction reached its scheduled maturity in April 2014 and according to the manager no further repayments will be received.

On 21 March 2016 IM Grupo Banco Popular EMPRESAS 1, FTA was called with all notes being paid in full.

Fitch also downgraded FORCE TWO Limited Partnership class D notes to 'Csf and affirmed class E notes at 'Csf' and has simultaneously withdrawn the ratings for commercial reasons. The transaction reached its maturity in January 2014 with class D and E notes not having been paid in full.