Fitch Affirms Monviso 2014 S.r.l's Notes at 'AA+sf'; Stable Outlook
OREANDA-NEWS. 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 (55.9% as of 29 February 2016), used cars (7.9%), other goods and services (11.3%) and personal loans (24.8%). The transaction ended its 12-month revolving period on the payment date in June 2015, and is now amortising.
KEY RATING DRIVERS
Available Credit Enhancement
The affirmation reflects the substantial increase in credit enhancement after the end of the revolving period and the transaction's satisfactory performance, which is in line with Fitch's expectations.
The class A notes' credit enhancement was 57.7% at the last payment date of March 2016, up from 35.6% at closing in July 2014.
Since closing no defaults have been reported. However, performance has been distorted by the buyback of loans from the originator, which reached 4% of the initial portfolio balance as at 29 February 2016.
The servicer reports that the cumulative gross default rate - which includes also loans repurchased and defaulted after the buy-back date - was 1.7% as at 29 February 2016, lower than Fitch's base case expectations at the same point of seasoning (2.6%). As at 29 February 2016, 30+ and 90+ arrears were 0.7% and 0.1%, respectively, excluding repurchased loans.
As performance is distorted by repurchases, Fitch has maintained its lifetime base case expectations for defaults and recoveries at 7.7% and 10.4%, respectively.
The transaction has benefited from healthy levels of gross excess spread, averaging 6.9% of the portfolio from closing to 29 February 2016.
Improved Portfolio Composition
The two sub-pools that Fitch considers as higher-risk - personal loans and used cars loans - were reduced in size during the revolving period, leading to a portfolio composition with improved credit quality compared with Fitch's worst case composition assumed at closing. Personal Loans and used auto loans represented 24.8% and 7.9% of the portfolio as of 29 February 2016 (down from 31% and 11.2% at closing).
Servicer-Related and Additional Losses Risk
The servicer is unrated and there is no back-up servicer in place. However, payment interruption risk is mitigated by a fully funded EUR1.4m cash reserve. The cash reserve amounted to EUR2.4m at closing, or 1% of the class A notes and is now amortising to the required amount, subject to a floor of EUR100,000. The released amounts are used to accelerate the class A notes' amortisation.
As of 29 February 2016, potential additional losses stemming from the risk of loans financing services being terminated or from potential set-off of financed insurance premiums, are lower than those factored into Fitch's analysis at closing.
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 25% increase in the base case default rate or a 25% decrease in the base case recovery rate would have no rating impact on the class A notes.
Initial Key Rating Drivers and Rating Sensitivity are further described in the Monviso 2014 s.r.l. - New Issue report dated 4 July 2014 and available at www.fitchratings.com.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
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 29 February 2016 and provided by Consel spa.
-Investor report dated 23 March 2016 and provided by Bank of New York Mellon.
-Loan-by-loan data tape dated 29 February 2016 sourced from Edwin (European Data Warehouse)
-Additional data as of 29 February 2016 provided by Consel spa: share of the insurance premia financed amount over the total portfolio balance & share of the loans financing services to be rendered in the future over the total portfolio balance.