OREANDA-NEWS. Fitch Ratings has affirmed Noria 2009 Compartment Noria 2009-A's class A notes at 'AAAsf' with a Stable Outlook.

The transaction is a revolving securitisation of consumer loans originated by BNP Personal Finance (not rated, owned by BNP Paribas; A+/Stable/F1). As of end-April 2016, the portfolio comprised 142,412 loans with an average current balance of EUR5,854. The portfolio consists of personal loans (79%) and equipment sale loans (21%).

KEY RATING DRIVERS

The affirmation reflects the transaction's adequate performance over the last 12 months. The transaction benefits from a healthy level of gross excess spread, representing approximately 6.0% for the class A notes over the last 12 months. Cumulative gross defaults since closing stand at 2.8% of the initial portfolio balance plus additional receivables purchased during the revolving period.

The transaction was revolving until May 2015. Since the end of the revolving period, credit enhancement for the class A notes, mainly provided by the subordination of the class B notes, has increased from 21.6% to 43.6%. The transaction also benefits from a general reserve aimed at covering senior fees and interest payments on the class A notes. The non-liquidity portion of the reserve fund may provide credit enhancement to the extent that while amortising along with the notes, the excess of the reserve fund will flow through the relevant priority of payments and provide additional excess spread, available to cure any amount registered on the principal deficiency ledger.

RATING SENSITIVITIES

Fitch has revised its original base case default expectation to 4.0% from 5.2%.

The expected impact upon the notes' rating of increased defaults and decreased recoveries by both 25%:

Class A Notes current rating: 'AAAsf'; expected impact: 'AAAsf'