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

EUR2,712.3m Class A, due October 2040, 'AA-sf'; Outlook Stable
EUR500.8m Class B, due October 2040, 'A-sf'; Outlook Stable
EUR1,043.2m Class J, due October 2040, 'NR'

Florence SPV is an Italian consumer ABS transaction backed by personal loans originated by Findomestic Banca S.p.A. (Findomestic, belonging to the BNP Paribas group) which closed in 2013. The deal was restructured in December 2015 to extend the revolving period for approximately another two years and to issue new fungible notes to fund the one-off purchase of a EUR1,442.2m additional portfolio of personal and vehicle loans bought on 3 November 2015.

KEY RATING DRIVERS
Mostly Unsecured Personal Loans
Most of the portfolio is personal loans (89% as of end-October 2015, and limited to 85% of each subsequent portfolio during the revolving period), which have a higher historical loss rate than other consumer loan products. As is standard for the Italian consumer lending market, the originator (and issuer) only has unsecured recourse against the obligor upon default.

Performance in Line with Peers
Fitch expects a weighted-average (WA) lifetime portfolio default rate of 9.9% and a WA recovery rate of 15.3%. The assumptions - derived over Fitch estimated worst portfolio composition at the end of the revolving period - are based on the originator's historical performance, which is comparable to Italian peers.

Revolving Period Risk Mitigated
Fitch has applied a WA stress multiple of 3.7x at 'AA-sf' and 2.8x at 'A-sf' to the expected default rate. The assumed recovery haircut was 42.3% at 'AA-sf' and 31.7% at 'A-sf'. Fitch considers the concentration limits on each subsequent pool and the purchase termination events in the documentation adequately address the risks posed by the revolving period of about two years. In Fitch's view, the pool mix will not materially deviate from that at end-October 2015.

High Excess Spread
Based on Fitch's estimated worst pool composition at the end of the revolving period, the transaction will benefit from minimum positive excess spread, net of contractual servicing fees, of 7.1% per year, firstly used to pay interest on the rated notes and provision for defaults and then paid out to the originator.

Commingling Risk Mitigated
As of 31 October 2015, 87% of the portfolio pays on the same calendar day of the month and 10% also pays by postal bulletin. The commingling exposure, assessed by Fitch in about 4% of the portfolio, is covered by the available credit enhancement.

Insurance-Related Counterparty Risk
The securitised loans also finance the purchase of insurance policies offered with the loan. The issuer could be exposed to claims by borrowers if both Findomestic and an insurer default. Fitch analysed the exposure against available credit enhancement, taking into account the maximum permitted exposure of each subsequent portfolio under the transaction documentation.

RATING SENSITIVITIES
Rating sensitivity to increased default rate assumptions (class A / class B)
Current rating: 'AA-sf' / 'A-sf'
Increase in default rate by 10%: 'A+sf' / 'BBB+sf'
Increase in default rate by 25%: 'Asf' / 'BBBsf'
Increase in default rate by 50%: 'BBB+sf' / 'BB+sf'

Rating sensitivity to reduced recovery rate assumptions (class A / class B)
Current rating: 'AA-sf' / 'A-sf'
Decrease in recovery rate by 25%: 'AA-sf' / 'A-sf'
Decrease in recovery rate by 50%: 'AA-sf' / 'BBB+sf'

Rating sensitivity to multiple factors (class A / class B)
Current rating: 'AA-sf' / 'A-sf'
Increase in default rate by 10%, decrease in recovery rate by 10%: 'A+sf' / 'BBB+sf'
Increase in default rate by 25%, decrease in recovery rate by 25%: 'Asf' / 'BBBsf'
Increase in default rate by 50%, decrease in recovery rate by 50%: 'BBB+sf' / 'BB+sf'

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

DATA ADEQUACY
Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated errors or missing data related to the payment method information. These findings were immaterial to this analysis, as set out more fully in the new issue report.

Fitch conducted a review of a small targeted sample of Findomestic'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 Findomestic as at 31 October 2015
-Historical performance data provided by Findomestic up to end-March 2015
-Transaction legal documentation
-Performance information from the investor reports of Florence SPV S.r.l. up to September 2015