OREANDA-NEWS. Fitch Ratings has assigned Vela Consumer S.r.l.'s fixed-rate notes ratings as follows:

EUR837.8m Class A, due April 2032: 'AAsf'; Outlook Stable
EUR346.6m Class J, due April 2032: not rated

Vela Consumer S.r.l. is a EUR1.2bn securitisation of personal loans originated by Banca Nazionale del Lavoro S.p.A. (A-/Stable/F1, BNL), an Italian bank that is fully owned by BNP Paribas (A+/Stable/F1).

KEY RATING DRIVERS

Only Personal Loans Securitised
The securitised pool contains only personal loans with no stated purpose. This product typically has higher default rates than other consumer loan products in the Italian market. However, as loans are originated exclusively through the bank's branch network, historical default rates have been low compared with peers, as reflected by Fitch's default base case of 7%.

Solid Performance despite Adverse Features
The loan features are somewhat different from the typical personal loans found in Italian ABS. The weighted-average (WA) original balance of the loans (EUR31,155) is considerably higher than peers' and the WA tenor is longer at 104 months. However, the borrowers are lower-risk, as reflected in firmer historical performance and lower interest rates charged by the bank. Fitch believes this is because the originator's main target borrowers are existing clients.

High Excess Spread
The transaction benefits from a high excess spread of 6.7% (net of ongoing fees and gross of defaults) even though the WA interest rate of the portfolio is low (7.4%) for a personal loans pool. In addition to a standard principal deficiency ledger (PDL) mechanism providing credit enhancement, the transaction will capture the entire remaining excess spread once certain performance triggers have been reached.

Operational Risks Adequately Mitigated
Fitch believes that servicer disruption risks are mitigated by the size (EUR4m) of the non-amortising liquidity reserve available to cover senior expenses and interest on the rated notes. Moreover, Fitch believes that the transaction exposure to commingling risk is lower than in peer transactions due to the lack of concentration in loan instalment payment dates.

RATING SENSITIVITIES

Rating sensitivity to increased default rate assumptions
Current rating: 'AAsf'
Increase in default rate by 10%: 'AA-sf'
Increase in default rate by 25%: 'Asf'
Increase in default rate by 50%: 'A-sf'

Rating sensitivity to reduced recovery rate assumptions
Current rating: 'AAsf'
Decrease in recovery rate by 10%: 'AAsf'
Decrease in recovery rate by 25%: 'AA-sf'
Decrease in recovery rate by 50%: 'AA-sf'

Rating sensitivity to multiple factors
Current rating: 'AAsf'
Increase in default rate by 10%, decrease in recovery rate by 10%: 'AA-sf'
Increase in default rate by 25%, decrease in recovery rate by 25%: 'Asf'
Increase in default rate by 50%, decrease in recovery rate by 50%: 'BBB+sf'

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

DATA ADEQUACY
Fitch did not receive a third party assessment conducted on the asset portfolio information.
Fitch conducted a review of a small targeted sample of BNL'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 asset pool 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 BNL as at 17 October 2015
-Historical performance data provided by BNL up to end-June 2015
-Transaction legal documentation

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 this rating action commentary and the initial new issue report available at www.fitchratings.com. In addition refer to the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 12 June 2015 available on the Fitch website.