OREANDA-NEWS. Fitch Ratings has taken multiple rating actions on five Italian RMBS. The affected transactions are CR Firenze Mutui, Asti RMBS, Pontormo RMBS, Vela Mortgages S.r.l. - Series 1 and Vela Mortgages S.r.l. - Series 2.

CR Firenze Mutui S.r.l.
Class B (ISIN IT0003391478) affirmed at 'AA+sf', Outlook Stable
Class C (ISIN IT0003391486) upgraded to 'AA+sf' from 'Asf', Outlook Stable

Asti RMBS S.r.l.
Class A (IT0004883895): affirmed at 'AA+sf', Outlook Stable

Pontormo RMBS S.r.l.
Class A1 (IT0004867823): affirmed at 'AA+sf', Outlook Stable
Class A2 (IT0004867831): affirmed at 'AA+sf', Outlook Stable
Class A3 (IT0004867856): affirmed at 'AA+sf', Outlook Stable
Class A4 (IT0004867849): affirmed at 'AA+sf', Outlook Stable
Class A5 (IT0004867864): affirmed at 'AA+sf', Outlook Stable

Vela Mortgages S.r.l. - Series 1 (VM1):
Class A (ISIN IT0004364185): affirmed at 'AA+sf', Outlook Stable
Class B (ISIN IT0004364193): affirmed at 'AAsf', Outlook revised to Stable from Negative
Class C (ISIN IT0004364201): affirmed at 'BBB-', Outlook revised to Stable from Negative

Vela Mortgages S.r.l. - Series 2 (VM2):
Class A (ISIN IT0004550429): affirmed at 'AA+sf', Outlook Stable
Class B (ISIN IT0004550593): affirmed at 'AAsf', Outlook revised to Positive from Stable
Class C (ISIN IT0004550452): affirmed at 'Asf', Outlook Stable

KEY RATING DRIVERS
Adequate Credit Support
Credit support available to the notes has increased over the past 12 months as a result of portfolio redemption, which has averaged between 10.2% (Asti) and 27.3% (CR Firenze Mutui) per annum. Fitch analysis shows that current credit enhancement is sufficient to support the ratings, leading to today's affirmation.

In CR Firenze Mutui the underlying portfolio's overcollateralisation, equivalent to EUR6m, provides additional credit support and reduces reliance on the available cash reserve, supporting the upgrade of the junior notes to 'AA+sf'.

Asset Performance Within Expectations
The performance of the more recently originated pools (Asti and Pontormo) has remained within Fitch's expectations over the last 12 months. Loans in late-stage arrears, defined as loans with at least three monthly instalments overdue, range between 1.3% of the current pool in Pontormo to 3.8% in Asti. Meanwhile, the volume of defaulted mortgages, defined as loans with at least 15 unpaid instalments, ranges between 0.8% of the initial pool in Asti and zero for Pontormo.

Seasoned Deals Show Improving Performance
CR Firenze Mutui has shown solid performance as highlighted by a small pipeline of total arrears, equal to 3.6% of the current pool, as well as low gross cumulative defaults, 3.4% of the initial pool, 13 years after the transaction's closing.

Asset performance in the Vela series has improved slightly in the last 12 months. Late stage arrears remained stable, at between 1.2% (VM2) and 1.5% (VM1), while the volume of defaults (loans with seven unpaid instalments) increased slightly. The latter is currently 4.6% (VM2) and 6.3% (VM1), compared with 4.1% (VM2) and 5.9% (VM1) a year ago. Fitch believes that asset performance in the Vela series will remain stable, which has led to the revision of Outlooks on VM1's class B and C notes. At the same time, our expectation of stable performance and increasing credit support also contributed to the revision of the Outlook to Positive for VM2's class B notes.

RATING SENSITIVITIES

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 notes.

Deterioration in asset performance beyond Fitch's standard assumptions could also trigger negative rating actions.

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.

Applicable to Vela Series and CR Firenze Mutui
Fitch did not undertake a review of the information provided about the underlying asset pools ahead of the transactions' initial closing. The subsequent performance of the transactions 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.

Applicable to Asti RMBS and Pontormo RMBS
Prior to the transactions 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.

Applicable to Asti RMBS and Pontormo RMBS
Prior to the transactions 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 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:
-Loan-by-loan data provided by European Data Warehouse at end-February 2015 for Asti RMBS, beginning of April 2015 for VM1 and VM2 and end-June 2015 for Pontormo RMBS.
-Loan-by-loan data provided by Intesa-SanPaolo at end-June 2015 for CR Firenze Mutui.
-Transaction reporting provided by Intesa-SanPaolo at end-March 2015 for CR Firenze Mutui.
-Transaction reporting provided by CR Asti at end-June 2015 for Asti RMBS.
-Transaction reporting provided by Banca Nazionale del Lavoro at beginning of April 2015 for VM1 and VM2.
-Transaction reporting provided by KPMG at end-March 2015 for Pontormo RMBS.

MODELS

EMEA RMBS Surveillance Model.

REPRESENTATIONS AND WARRANTIES
Fitch's analysis of Representations, Warranties & Enforcement Mechanisms can be found in the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions dated 12 June 2015 at www.fitchratings.com. Individual Representations, Warranties and Enforcement Mechanism reports are available for all structured finance transactions initially rated on or after 26 September 2011 at www.fitchratings.com.