Ratings Detail
This report does not constitute a rating action.
Ratings | ||||||||
---|---|---|---|---|---|---|---|---|
Tranche | Maturity date | Current rating |
Last review date |
|||||
A1 | Dec. 24, 2061 | AA (sf) | Jan. 16, 2025 | |||||
A2 | Dec. 24, 2061 | AA (sf) | Jan. 16, 2025 | |||||
J | Dec. 24, 2061 | NR | Jan. 16, 2025 | |||||
NR--Not rated. The ratings are unchanged since in Feb. 21, 2024. |
Transaction Profile
Fanes' series 2018-1 is an Italian RMBS transaction backed by a portfolio of mortgage loans granted to individuals and originated by Cassa di Risparmio di Bolzano. It closed in June 2018.
Table 1
General transaction details | ||||||||
---|---|---|---|---|---|---|---|---|
Collateral type(s) | RMBS PRIME | Pool factor | 38.63% | |||||
Domicile of assets | Italy | WA seasoning (in months) | 112.83 | |||||
Closing date | Jun. 18, 2018 | WA ELTV ratio | 58.04% | |||||
Currency | EUR | WA CLTV ratio | 36.24% | |||||
Original collateral balance | 498 mil. | Reserve fund | 4.22 mil. | |||||
WA--Weighted-average. N/A--Not applicable. ELTV--Effective loan-to-value calculated with a weighting of 80% of the OLTV and 20% of the CLTV (current loan-to-value). CLTV--Current loan-to-value. |
Table 2
Credit analysis results | ||||||||
---|---|---|---|---|---|---|---|---|
Rating level | WAFF (%) | WALS (%) | Credit coverage (%) | |||||
AAA | 12.03 | 2.91 | 0.35 | |||||
AA | 8.38 | 2.00 | 0.17 | |||||
A | 6.56 | 2.00 | 0.13 | |||||
BBB | 4.73 | 2.00 | 0.09 | |||||
BB | 2.90 | 2.00 | 0.06 | |||||
B | 2.46 | 2.00 | 0.05 | |||||
WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity. The credit analysis results are as of the current review. Source: S&P Global Ratings. |
Table 3
Credit enhancement | ||
---|---|---|
Tranche | Current review (%) | Previous review (%) |
A1 | 100.70 | 82.7 |
A2 | 53.9 | 43.3 |
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Supporting ratings | ||||||||
---|---|---|---|---|---|---|---|---|
Institution/role | Ratings | Replacement trigger | Collateral posting trigger | |||||
BNP Paribas, Italian branch, as Bank Account Provider | A+/Stable/A-1 | A- | N/A | |||||
Note: In case of any unrated bank branch, we apply our bank branch criteria that consider the ratings on the parent company and the branch host sovereign. ICR--Issuer credit rating. RCR--Resolution counterparty rating. N/A--Not applicable. |
Related Research
- New Issue: Fanes S.r.l. (Series 2018-1), June 18, 2018
Primary Credit Analyst: | Giuseppina Martelli, Milan + 39 02 72 111 274; giuseppina.martelli@spglobal.com |
Research Contributor: | Swati Choudhary, CRISIL Global Analytical Center, an S&P affiliate, Mumbai |
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