The Italian real estate transaction - SCIP 2 - faced further collection shortages, exposing the transaction to downgrade risk. Last week, Fitch Ratings placed the class A5 and class B2 notes on ratings watch negative following reports of lower than expected cash collections, which have fallen behind the agency's base case assumptions.

"Fitch's main concern referred to the average sale price of tenanted residential units," explained analysts at Societe Generale. "Adding to the uncertainty, last month also saw a near 10 million ($12.8 million) adjustment, increasing collections from earlier periods. It is therefore not entirely clear if the revenues from sales to tenants quoted are later increased by further revenues."

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