Fitch Affirms 4 Italian RMBS; Revises Outlook on 2 Tranches
BPM Securitisation 2 S.r.l.
Class A2 (ISIN IT0004083025) affirmed at 'AA+sf'; Outlook Stable
Class B (ISIN IT0004083033) affirmed at 'AAsf'; Outlook revised to Positive from Stable
Class C (ISIN IT0004083041) affirmed at 'BBBsf'; Outlook Stable
Castoro RMBS S.r.l.
Class A (ISIN XS0218205473) affirmed at 'AA+sf'; Outlook Stable
Class B (ISIN XS0218206364) affirmed at 'AA+sf'; Outlook Stable
CR Volterra Finance S.r.l.
Class A (IT0004538085): affirmed at 'AA+sf'; Outlook Stable
Estense Finance Srl
Class A (ISIN IT0004513542) affirmed at 'AA+sf'; Outlook Stable
Class B (ISIN IT0004513559) affirmed at 'Asf'; Outlook revised to Positive from Stable
KEY RATING DRIVERS
Solid Credit Enhancement
The affirmation reflects the strong credit enhancement available to the rated notes, which is mainly due to the smooth amortisation of the underlying portfolio at an average annual rate between 15.1% (CR Volterra Finance) and 20.8% (Castoro RMBS).
In its analysis the agency found that the available credit enhancement is adequate to support current ratings and associated rating stresses.
Diverging Asset Performance
BPM Securitisation 2, Castoro and Estense Finance have reported stable asset performance over the last 12 months, with the proportion of late stage arrears (loans with three or more monthly payment overdue) having remained broadly stable between 0.5% (Estense Finance) and 3% (BPM Securitisation 2) of the current pool. Meanwhile, gross cumulative defaults have been reported between 2.6% (BPM Securitisation 2) and 5.5% (Castoro) of the original portfolio, compared with between 2.4% (BPM Securitisation 2) and 5.3% (Castoro) 12 months ago. Fitch's expectation of stable performance and increasing credit support for BPM Securitisation 2 and Estense Finance also contributed to the revision of the Outlook to Positive the class B notes.
CR Volterra has shown a weaker performance with late-stage arrears at 7.8% of the current pool and gross cumulative defaults at 4.8% of the initial pool. In Fitch's view the weaker performance reflects a larger exposure towards semi-annual loans, at 24% of the current pool, and to loans granted to SMEs, 7.5% of the current portfolio. The agency has applied greater severe default assumptions to these loans and stressed market value decline assumptions on the underlying properties.
Changes to Italy's Long-term Issuer Default Rating (BBB+/Stable) and hence the rating cap on Italian structured finance transactions could trigger changes to the notes that are rated at the 'AA+sf' cap.
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.
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 BPM Securitisation 2, Castoro RMBS and CR Volterra Finance
Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transaction's initial closing. The subsequent performance of the transaction 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 Estense Finance
Prior to the transaction closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated errors or missing data related to the lien position, ipoteca (value of guarantee) size and property values. These findings were not considered in this analysis as they are immaterial.
Applicable to Estense Finance
Prior to the transaction closing, Fitch conducted a review of a small targeted sample of the originator's origination files and found inconsistencies or missing data related to the lien position, ipoteca size and property values. These findings were not considered in this analysis as they are immaterial.
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.
- Transaction reporting provided by Banca Popolare di Milano (BPM Securitisation 2) as of end-June 2015, Banca Popolare dell'Emilia Romagna (Estense Finance) as of 24 August 2015, Unipol Banca as of end-September 2015 and CR Volterra (CR Volterra Finance) as of beginning-July 2015.
- Loan-by-loan information provided by European Data Warehouse as of end-September 2015 (BPM Securitisation 2), end-July 2015 (Estense Finance), end-June 2015 (CR Volterra Finance) and provided by Unipol Banca as of end-March 2015 (Castoro).