Grifonas class C notes outlook cut to negative as Fitch affirms ratings

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Grifonas class C outlook cut

Highlights

Fitch cuts outlook on Grifonas Finance No. 1 Plc’s class C notes to Negative from Stable due to ongoing reserve depletion, affirming ratings across all tranches.
Class C notes' reserve fund stood at 97% of target as of August 2026, remaining below target since February 2026, increasing risk in the tail period amid rising weighted average note cost.
Credit enhancement ratios improved to 66% for class A, 45% for class B, and 21% for class C, but class C ratings constrained by insufficient loan-level data and reserve shortfall.

Reserve pressure drives outlook change

As reported by Fitch Ratings, the agency revises the outlook on Grifonas Finance No. 1 Plc’s class C notes to Negative from Stable while affirming the ratings on the class A, B and C notes after its periodic review.

The agency says the class C notes rely entirely on the cash reserve for credit enhancement, and that reserve was drawn on the last two semi-annual payment dates. As of the August 2026 payment date, the reserve stands at 97% of its target and has remained below target since February 2026. Fitch says this leaves the junior notes more vulnerable as the deal enters its tail period, when the weighted average cost of the notes rises and reduces funds available to rebuild the reserve because of its junior position in the waterfall.

Fitch also notes that class C interest payments have been deferred to a more junior item in the waterfall since February 2023 after a cumulative default trigger breach of 5%, a move designed to protect the class A and B notes. The structure also includes a facility that remains non-amortising because triggers are breached, with the related commitment fee reducing available funds and being treated as a senior expense in Fitch’s cash flow analysis.

Stable mortgage performance offsets some risk

Underlying asset performance remains broadly stable since Fitch’s previous review in December 2025, supported by continued deleveraging of the mortgage pool. At the August 2026 payment date, cumulative defaults are 5.4%, broadly unchanged from the prior review.

The sequential amortisation of the notes has increased credit enhancement to about 66% for class A, 45% for class B and 21% for class C, up from roughly 54%, 37% and 17% respectively at the last review. Even so, Fitch says the class C notes cannot move higher because the servicer cannot provide loan-level data fully aligned with the agency’s requirements due to earlier group loan substitutions.

For the senior tranche, Fitch says the class A notes remain capped at 'AAsf', the highest achievable rating for Greek structured finance transactions under its country risk criteria, six notches above Greece’s Long-Term IDR. The agency says further reserve depletion could hurt the class C rating, while any negative action on Greece’s sovereign rating would pressure the class A notes; upgrades for class B and C would depend on fully matching loan-level data and the reserve fund returning to target.

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