OREANDA-NEWS. Fitch Ratings has affirmed 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: not rated

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

Portfolio Still Revolving

The transaction is still in its revolving period, which is scheduled to end in January 2018. Subsequent portfolios purchased by the issuer so far have been well within the replenishment covenants set in the transaction legal documentation, resulting in each new pool composition being better in quality than the stressed portfolio mix assumed by Fitch in its initial rating analysis.

Performance as Expected

The portfolio quarterly default rate and the 30+ delinquency ratio (calculated as the ratio between all instalments classified as 30+ delinquent and the average outstanding portfolio), standing at 0.66% and 0.12%, respectively, as of end-June 2016, have been consistently below the triggers halting the revolving period (1.55% and 0.55%, respectively).

As of end-June 2016, cumulative defaults, taking into consideration defaults that occurred after the restructuring date, accounted for 1.6% of the portfolio balance at the restructuring date in December 2015 plus all the subsequent portfolios purchased so far. In assessing the portfolio performance, Fitch has considered the annualised quarterly default rate, the expected weighted average life of the portfolio at the end of the revolving period and the resulting projected cumulative default rate and found it broadly in line with its life-time default assumption of 9.9% set at closing. Given that the portfolio is still revolving, we have maintained our initial life-time portfolio assumptions.

Substantial Excess Spread

Based on Fitch's estimated stressed pool composition at the end of the revolving period, the transaction will benefit from minimum positive gross excess spread, after deducting contractual servicing fees, of 7.1% per year. This will be used to pay interest on the rated notes and provision for defaults before being paid out to the originator. As of end-June 2016, the weighted average yield of the portfolio was equal to 8.5%, higher than the stressed case portfolio yield (7.2%) assumed by Fitch in its initial rating analysis, with a reported net excess spread equal to 5.4% at end-June.

RATING SENSITIVITIES

Rating sensitivity to increased default rate assumptions (class A and 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 and 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 and 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'

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch 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 affected the rating 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 and concluded that there were no findings that affected the rating analysis.

Prior to the transaction closing, Fitch conducted a review of a small targeted sample of Findomestic Banca S. p.A.'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 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 as of 30 June 2016 provided by Findomestic Banca S. p.A.

-Investor report as of 25 July 2016 provided by Securitisation Services S. p.A.

-Payments report as of 25 July 2016 provided by Securitisation Services S. p.A.