OREANDA-NEWS. Fitch Ratings has affirmed Venus-1 Finance S. r.l.'s floating rate notes due 2019 as follows:

EUR15.1m class A (IT0004148026) affirmed at 'Csf'; Recovery Estimate (RE) revised to 20% from 10%

EUR8.2m class B (IT0004148034) affirmed at Csf'; RE 0%

EUR6.3m class C (IT0004148042) affirmed at Csf'; RE 0%

EUR9.1m class D (IT0004148059) affirmed at Csf'; RE 0%

EUR6.5m class E (IT0004148067) affirmed at 'Csf'; RE 0%

The transaction is the securitisation of two portfolios of non-performing loans (NPLs), Monviso 1 and Monviso 2, both originated by Sanpaolo IMI Group (now Intesa Sanpaolo S. p.a.; BBB+/Stable) and acquired in 2005 by ABN Amro Bank N. V. (A+/Stable). At the cut-off date in June 2006, the two portfolios comprised 21,911 borrower positions for a total gross book value (GBV) of EUR303.2m. The aggregate portfolio consisted mainly of unsecured NPLs (86% of GBV), with the remaining 14% made up of mortgage secured NPLs.

KEY RATING DRIVERS

The affirmation reflects the inevitable write-off of the class B, C, D and E notes, and the significant write-down likely on the class A notes. The remaining collateral is in the process of being sold and the issuer is preparing to unwind the transaction, after payment of costs and application of recoveries. In arriving at the 20% RE on the class A notes, Fitch assumes unsecured loans are sold at 2% of GBV and secured loans at 10%, in line with observations on highly seasoned Italian NPL pools (also subject to negative selection and declining collection rates).

An event of default occurred in the underlying Monviso transactions when the existing servicer agreements expired in December 2015. This was due to an oversight when the transactions were re-packaged into the Venus-1 Finance S. r.l. transaction, as the agreements should have been extended to match the new final legal maturity in 2019. Fitch understands that no default occurred under the Venus-1 documents and that short term bridging agreements have been put in place to enable a fire-sale to take place.

RATING SENSITIVITIES

Fitch will downgrade all remaining notes to 'Dsf' once all recoveries have been applied to the notes and losses determined. The ratings will then be withdrawn.

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.

Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transaction's initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

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.

-Transaction reporting provided by Securitisation Services S. p.A. as at end-January 2016