Oct 9 - Fitch Ratings has affirmed Stanton MBS I plc, as follows:
Class A1 (ISIN XS0202635040): affirmed at 'Asf', Outlook Stable Class A2 (ISIN XS0202637418): affirmed at 'BBsf', Outlook Negative Class B (ISIN XS0202637848): affirmed at 'Bsf', Outlook Negative Class C (ISIN XS0202638499): affirmed at 'CCCsf' Class D (ISIN XS0202639208): affirmed at 'CCsf'
The affirmation reflects the stable performance of the transaction since the last review in October 2011. Class A-1 is deleveraging due to natural portfolio amortisation and also the interest diversion mechanism. The latter results from the overcollateralisation tests, which have been breached since 2008. Since the last review, the class A-1 notes have been repaid by EUR27m, representing around 12% of their original size.
The deleveraging of the transaction has offset the negative rating migration in the portfolio. The portfolio has been impacted by the downgrade of several Spanish RMBS assets. The transaction exposure to the peripheral eurozone countries represents approximately 22%.
Stanton MBS I is a securitisation of European structured finance assets, mainly mezzanine RMBS and CMBS assets of sub-investment grade quality. The portfolio is actively managed by Cambridge Place Investment Management LLP, a specialist manager, focused on asset-backed securities and related instruments.
Additional information is available at
. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.
Source of information: Transactions trustee reports.
Applicable criteria "Global Structured Finance Rating Criteria", dated 06 June 2012; "Global Rating Criteria for Structured Finance CDOs", dated 03 October 2012; "Counterparty Criteria for Structured Finance Transactions", dated 30 May 2012 are available at
. Applicable Criteria and Related Research: Global Structured Finance Rating Criteria Global Rating Criteria for Structured Finance CDOs Counterparty Criteria for Structured Finance Transactions (New York Ratings Team)