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TEXT-Fitch affirms TS One GmbH
September 13, 2012 / 10:10 AM / 5 years ago

TEXT-Fitch affirms TS One GmbH

(The following statement was released by the rating agency)

Sept 13 - Fitch Ratings has affirmed TS One GmbH, as follows:

EUR4.4m class D secured notes (ISIN: XS0261662091): affirmed at ‘CCsf’; assigned Recovery Estimate (RE) of ‘RE80%’

EUR8.9m class E secured notes (ISIN: XS0261662174): affirmed at ‘Csf’; assigned ‘RE0%’

EUR5.0m class F secured notes (ISIN: XS0261662257): affirmed at ‘Csf’; assigned ‘RE0%’

The affirmation reflects Fitch’s view of the high levels of credit risk for the outstanding classes of notes. Fitch notes that the outstanding notes were not fully redeemed on the scheduled maturity date in June 2011 due to insufficient cash from the asset pool. Instead, the outstanding notes were carried forward until the legal final maturity in June 2013.

As of the June 2012 reporting date, 30 loans with total amount of EUR36.4m were outstanding. However, almost 88.5% of them (by balance) are in the lowest-rated bucket, i.e. assets with a high risk profile.

The current pool factor is 7.2% of the initial pool balance of EUR503m. The total defaults are unchanged from the last rating action in September 2011 (EUR49.9m).

In the agency’s view, given the high-risk profile of the outstanding asset pool, the cash flows will be insufficient to redeem the class E and class F notes. Fitch believes that the remaining period of less than one year up to legal final maturity is too short to generate sufficient cash flows to fully redeem these notes. Furthermore, a default on these classes appears inevitable. Since the class D notes are senior to the class E and F notes, they will receive cash flows from the asset pool first, however, in the agency’s view, default of the class D note appears probable.

Fitch assigned Recovery Estimates (RE) to all classes rated ‘CCCsf’ or below. REs are forward-looking, taking into account Fitch’s expectations for principal repayments on a distressed structured finance security.

The transaction is a cash securitisation of certificates of indebtedness (Schuldscheindarlehen) of German SMEs. The portfolio companies were selected by Commerzbank, the originator and servicer of the transaction.

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