OREANDA-NEWS. June 09, 2015. Fitch Ratings has affirmed Monviso 2014 S.r.l.'s class A notes (IT0005027393) at 'AA+sf' with Stable Outlook.

Monviso 2014 S.r.l. is a securitisation of Italian consumer loan receivables originated by Consel S.p.A., a member of Gruppo Banca Sella. The portfolio consists of loans financing the purchase of new cars (42.1% as of 28 February 2015), used cars (10.1%), other goods and services (17.9%) and loans without a known financing purpose, ie personal loans (29.9%). The transaction is still in its 12-month revolving period, which is scheduled to last until the payment date falling in June 2015.

KEY RATING DRIVERS
The affirmation reflects the transaction's performance, which is in line with Fitch's base case expectations.

During the revolving period, the overall pool features and the portfolio composition by sub-pools have changed, in line with Fitch's initial expectations. Concentration risks have remained below the limits envisaged by the transaction's documentation. As of 28 February 2015, the collateral composition by sub-pool was slightly better than Fitch's worst case portfolio composition assumed at closing (in July 2014).

As of 28 February 2015, additional potential losses, stemming from termination risk of loans financing services to be rendered in the future and/or from potential set-off of financed insurance premiums, are lower than those factored into Fitch's analysis at closing.

Since closing the deal has not reported any defaults. This is mainly due to the long default definition, which classifies as defaults loans in arrears by more than 240 days. The actual deal performance is marginally distorted by the buy back of loans from the originator, which reached 1.7% of the initial portfolio balance as at 28 February 2015. The servicer reports that the cumulative gross default rate, including repurchased defaulted loans, was 0.2% as at 28 February 2015.

As at 28 February 2015, 30+ and 90+ arrears were 0.6% and 0.1%, respectively. According to the servicer's report, 30+ arrears would increase to 1.3%, if repurchased assets were included. The transaction has benefited from healthy levels of gross excess spread, averaging 7% of the portfolio from closing in July 2014 to 23 March 2015. As of 23 March 2015, the class A credit enhancement was 35.8%, unchanged from closing.

As the transaction is still in its revolving period and the performance is in line with Fitch's initial expectations, we have maintained our lifetime base case expectations for defaults and recoveries at 7.7% and 10.4%, respectively.

The servicer is unrated and there is no back-up servicer in place. However, payment interruption risk is mitigated by a fully funded EUR2.4m cash reserve (1% of the class A notes). After the end of the revolving period, the cash reserve will amortise to 1% of the outstanding notes balance subject to a floor of EUR100,000 and the released amount will be used to accelerate the class A notes' amortisation.

RATING SENSITIVITIES
Changes to Italy's Long-term Issuer Default Rating (BBB+/Stable) and the rating cap for Italian structured finance transactions, currently 'AA+sf', could trigger rating changes on the class A notes.

The class A notes' rating is resilient to stressful assumptions on expected defaults and recoveries. For instance a 10% increase in the remaining base case default rate or a 25% decrease in the base case recovery rate would not result in a downgrade of the class A notes, while a 25% increase in the remaining base case default rate would result in a one-notch downgrade.

Initial Key Rating Drivers and Rating Sensitivities are further described in the Monviso 2014 S.r.l. - New Issue report dated 4 July 2014 at www.fitchratings.com.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

Prior to the transaction closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis.

Prior to the transaction closing, Fitch conducted a review of a small targeted sample of the originators' origination files and found the information contained in the reviewed files to be adequately consistent with the originators' policies and practices and the other information provided to the agency about the asset portfolio.

Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

SOURCES OF INFORMATION
The information below was used in the analysis.
- Servicer report dated 28 February 2015 and provided by Consel SpA.
- Investor report dated 23 March 2015 and provided by Bank of New York Mellon (the).
- Loan by loan data tape as of 28 February 2015 sourced from the European Data Warehouse
- Additional data as of 28 February 2015 provided by Consel SpA: share of the insurance premiums financed amount over the total portfolio balance and share of the loans financing services to be rendered in the future over the total portfolio balance.

REPRESENTATIONS AND WARRANTIES
A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms to those typical for the asset class is available by accessing the appendix that accompanies the initial new issue report (see Monviso 2014 s.r.l. - Appendix, dated 4 July 2014 at www.fitchratings.com). In addition refer to the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 26 March 2015 available on the Fitch website.