(The following statement was released by the rating agency)
Sept 26 - Fitch Ratings has affirmed Zoo ABS IV plc’s notes, as follows:
EUR150.0m Class A-1A (ISIN XS0298493072): affirmed at ‘BBBsf’; Outlook Stable
EUR87.3m Class A-1B (ISIN XS0298495523): affirmed at ‘BBBsf’; Outlook Stable
EUR100.0m Class A-1R (no ISIN): affirmed at ‘BBBsf’; Outlook Stable
EUR27.0m Class A-2 (ISIN XS0298496505): affirmed at ‘BBsf’; Outlook Stable
EUR30.0m Class B (ISIN XS0298496927): affirmed at ‘B+sf’; Outlook Stable
EUR35.0m Class C (ISIN XS0298497495): affirmed at ‘B-sf’; Outlook Stable
EUR28.0m Class D (ISIN XS0298498386): affirmed at ‘CCCsf’
EUR8.5m Class E (ISIN XS0298498972): affirmed at ‘CCsf’
EUR5.3m Class P (ISIN XS0298626564): affirmed at ‘B-sf’; Outlook Stable
The affirmation reflects the notes’ levels of credit enhancement relative to the portfolio credit quality. The portfolio credit quality has remained stable since the last review in November 2011, with assets rated ‘CCCsf’ or below representing 3.7% of the portfolio, down from 6.7% in November 2011. Assets rated ‘BBB-sf’ or above account for 69.7% of the portfolio, down from 75.1% in November 2011. The decline in investment-grade assets was mainly driven by downgrades of peripheral euro zone RMBS.
The reinvestment period ended in May 2012. The portfolio manager has used available funds to purchase investment-grade core and peripheral euro zone RMBS, with prices ranging from 90 to 100 cents on the euro. The transaction documentation stipulates a minimum price of 90 cents on the euro for all purchases. Fitch notes that in the current economic environment investment grade structured finance assets are generally trading noticeably below this threshold.
All overcollateralisation (OC) tests are passing. OC test cushions have remained stable since the last review. The interest coverage (IC) test has never been breached. The IC test cushion has increased since the last review.
Zoo ABS IV plc (the issuer) is a managed cash arbitrage securitisation of structured finance assets, primarily RMBS and CLOs. The portfolio is managed by P&G SGR S.p.A.
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