This is a translation of the press 'Fitch Atribui Rating a Proposta de Emissao de Cotas do FIDC Sumitomo' published on
Fitch Ratings has assigned a National Long-Term Rating of '
Fitch also assigned a 'A-(EXP)sf(bra)' rating to the proposed issuance of mezzanine quotas, which should total
The ratings reflect the expectation of full payment of principal and interest until the final maturity of the notes, in
RATING ACTIONS
Entity / Debt
Rating
FIDC Sumitomo
Junior
Natl LT
NR(EXP)sf(bra)
Expected Rating
Mezzanine
Natl LT
A-(EXP)sf(bra)
Expected Rating
Senior
Natl LT
Expected Rating
Page
of 1
VIEW ADDITIONAL RATING DETAILS
Transaction Summary
FIDC Sumitomo is a securitization of trade receivables from the agribusiness sector originated by
FIDC Sumitomo will have three classes of quotas-senior, mezzanine and junior. The senior will yield CDI plus a maximum rate of 2.5% per year. The mezzanine notes will have a CDI yield plus a maximum rate of 6.5% per year. The payment of principal will be a bullet payment at the expected maturity date, while interest will be paid semiannually. Both quotas will have an expected maturity in
Junior subordinate series, which will total
Minimum credit enhancement (CE) is provided by a minimum subordination of 15% for senior quotas and 5% for mezzanine quotas. In addition, the transaction has a put option on defaulted credit receivables on which
KEY RATING DRIVERS
Dynamic Reserve Supported by Minimum Overcollateralization: Stresses of the dynamic reserve are supported by minimum CEs of 15% to the senior quotas and 5% of mezzanine quotas. The dynamic reserve considers only losses, derived from the obligor concentration. Dilution is mitigated by the nature of the receivables and the repurchase obligation by
Strong Reliance on Originator:
Structural Mechanisms Provide Adequate Protection: The transaction structure will have the main mechanisms for monitoring the performance of the assets. They are adequate for revolving transactions with fixed CE, as they minimize the risk of large performance deviations. The key structural features include eligibility criteria, performance triggers, evaluation events and liquidity reserve.
Interest Mismatch Mitigated by Hedge: Eligible receivables will be discounted at a fixed rate at the time of assignment, while the quotas will have a yield linked to CDI. Hedges (DI options or swap) will mitigate possible mismatches. These instruments will have counterparties with a minimum rating of 'AA+(bra)' and an expected replacement within 30 days upon becoming ineligible. This is in line with Fitch's criteria.
Counterparty Exposure in Line with Fitch's Criteria: Transaction will have collection and transaction bank accounts domiciled at
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative rating action/downgrade:
Ratings would be downgraded if the CE is not able to support the largest obligors or if loss performance deteriorates;
The ratings are also sensitive to the credit quality of
Factors that could, individually or collectively, lead to positive rating action/upgrade:
A positive rating action for the senior notes is not possible as the notes are rated at the highest of Fitch's National Rating Scale;
A positive rating action for the mezzanine notes is not possible, as the CE available for this class is not sufficient to cover stresses consistent with a higher rating level.
Fitch has revised its Global Economic Outlook forecasts as a result of the war in
More information can be found in the report 'What a Stagflation Scenario Would Mean for Global Structured Finance', published
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.
PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS
The assigned ratings are capped at the credit quality of
Additional information is available on www.fitchratings.com
PARTICIPATION STATUS
The rated entity (and/or its agents) or, in the case of structured finance, one or more of the transaction parties participated in the rating process except that the following issuer(s), if any, did not participate in the rating process, or provide additional information, beyond the issuer's available public disclosure.
(C) 2022 Electronic News Publishing, source