OREANDA-NEWS. Fitch Ratings has affirmed Cars Alliance Auto Loans Italy 2015 S. r.l.'s fixed-rate EUR955m class A notes, due in December 2031, at 'AA+sf' with a Stable Outlook.

The transaction is the fourth securitisation of performing auto loan receivables originated to Italian individuals and companies by RCI Italy, the fully owned Italian branch of RCI Banque S. A., a 100% subsidiary of France-based Renault SA (BBB-/Stable).

KEY RATING DRIVERS

The affirmation reflects the transaction's robust performance to date, as demonstrated by defaults and recoveries being in line with our expectations and sufficient excess spread. According to the June 2016 investor report, the observed cumulative default rate since closing is 0.2% of the initial pool balance including additional purchased assets. The cumulative loss rate for the same period is 0.1%. Overall delinquencies remain low. Accounts currently delinquent for 30+ days are 0.4% of the total pool balance.

The transaction features a 30-month revolving period unless early amortisation is triggered. To capture potential pool deterioration over the revolving period, Fitch constructed a "stressed" portfolio subject to the underlying pool at closing and the concentration limits. The current portfolio has shown minor changes in terms of features, composition and overall quality. Exposures towards less creditworthy borrowers (small businesses) or higher-risk products (balloon loans with residual value component) remain well below the limits envisaged by the transaction documentation.

The rated notes benefit from credit enhancement consisting of overcollateralisation through subordination (22.6%) and an amortising cash reserve funded at 1.0% of the outstanding note balance at closing. The credit enhancement has not changed as the transaction is still in its revolving period. The cash reserve is also intact at its target amount of EUR12.45m.

Fitch has maintained its lifetime base case assumptions at 2.4% for defaults and 22.2% for recoveries.

RATING SENSITIVITIES

Expected impact upon the note rating of increased defaults (Class A):

Original Rating: AA+sf

Increase base case default rate by 10%: 'AA+sf'

Increase base case default rate by 25%: 'AAsf'

Increase base case default rate by 50%: 'A+sf'

Expected impact upon the note rating of decreased recoveries (Class A):

Original Rating: 'AA+sf'

Reduce base case recovery by 50%: 'AA+sf'

Expected impact on the note rating of increased defaults and reduced recoveries (Class A)

Current ratings: 'AA+sf'

Increase base case default rate by 10%; reduce base case recovery by 10%: 'AA+sf'

Increase base case default rate by 25%; reduce base case recovery by 25%: 'AA-sf'

Increase base case default rate by 50%; reduce base case recovery by 50%: 'A+sf'

The class A notes' rating is capped by the highest achievable rating for structured finance transactions in Italy. Rating action, including an Outlook revision, on the Italian sovereign may result in rating action on the notes.

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 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.

- Monthly investor reports provided by Zenith Service S. p.A (acted as the master servicer) up to June 2016.

- Updated rating book dated June 2016 provided by RCI Banque.

- Update call with RCI Banque on 27 June 2016.

- Data provided by Eurotax on used car prices for the Italian market.

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 the initial new issue report (see Cars Alliance Auto Loans Italy 2015 S. r.l. - Appendix, dated 23 July 2015 available at www. fitchratings. com). In addition refer to the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 31 May 2016 available on the Fitch website.