OREANDA-NEWS. Fitch Ratings has affirmed Grecale RMBS 2011 (ISIN IT0004764251) class A2 notes at 'AA+sf'. The Outlook is Stable. The transaction is a prime Italian RMBS originated and serviced by Unipol Banca, .

KEY RATING DRIVERS
Solid Credit Support
The credit enhancement available to the rated notes has continued to accrue over the past year and is currently 32.4%, compared with 28.7% as of March 2014. The main drivers of the increase are the swift collateral repayment, at an annualised rate of 10.7%, and the amortisation of the liquidity reserve, the proceeds of which have been used for the repayment of the senior notes, as per the transaction documents.

The available credit enhancement supports the current asset performance, which has remained volatile over the past year. The pipeline of defaulted loans (defined as loans with more than six monthly instalments overdue) has increased to 3.7% of the initial pool from 2.5% in March 2014. The portion of late stage arrears (loans with three or more monthly instalments overdue) increased slightly to 0.9% of the current pool. This is reflected in the affirmation and Stable Outlook.

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 notes.

Deterioration in asset performance beyond Fitch's standard assumptions would also trigger negative rating action.

An abrupt increase in reference interest rates would harm borrowers with constant instalment/variable maturity loans and loans originated after 2008, under low interest rates, without structural protection.

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 originator's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's 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.
- Loan-by-loan data provided by European Data Warehouse as at 31 March 2015
- Transaction reporting provided by Unipol Banca as at 31 March 2015
- Discussions with Unipol as of 02 July 2015