OREANDA-NEWS. Fitch Ratings has placed Italfinance Securitisation Vehicle 2 S.r.l. Series 2007-1 on Rating Watch Evolving as follows:

EUR107.4m Series 1-A: 'AAsf'; placed on Rating Watch Evolving
EUR21.1m Series 1-B: 'BBBsf'; placed on Rating Watch Evolving
EUR14.3m Series 1-C: 'BBsf'; placed on Rating Watch Evolving
EUR4.7m Series 1-D: 'B+sf'; placed on Rating Watch Evolving

The transaction is a securitisation of receivables arising from Italian finance lease contracts. While the pool initially contained mixed leases, it is now for more than 99% composed of real estate leases. The leases were originated by Banca Italease, which in April 2015 was merged into parent Banco Popolare (BB/Stable/B).

KEY RATING DRIVERS
The Rating Watch Evolving reflects delays in obtaining updated loan-by-loan information needed to assess the creditworthiness of the remaining pool. Since the collateral portfolio is composed of lease receivables granted to SMEs, Fitch uses its Criteria for Rating Granular Corporate Balance-Sheet Securitisations (SME CLOs), which is based on a loan-by-loan analysis, to carry out the periodic surveillance review of the transaction. However, in the context of this periodic review, Fitch was not able to analyse an updated loan-by-loan data tape of the transaction, as required by its criteria.

The most updated loan-by-loan pool that can be found on the European Data Warehouse is dated June 2014 and the agency deemed it too outdated to perform a meaningful performance review of the transaction. As the servicer and payments reports which are regularly provided to Fitch do not contain any loan-by-loan information such as, for instance, the list of loans arrears or in default, they are not enough for the surveillance review of the transaction.

Being in the tail of the transaction, the pool is now much more concentrated than at closing, with the top 50 borrowers accounting for 40% of the overall portfolio (less than 20% at closing). In the presence of this high concentration level and lack of updated loan-by-loan information, the agency could not form a forward-looking view on the performance of the remaining collateral, especially on the evolution of the obligor concentration risk and whether the rated notes, which currently are being repaid on a pro rata basis, are exposed to tail risk. Therefore, Fitch is placing all ratings in Rating Watch Evolving as it awaits updated loan-by-loan information from the originator.

RATING SENSITIVITIES
Should no updated loan-by-loan information be available in the near future, the agency would withdraw all ratings due to lack of information.

Should updated loan-by-loan information be received by Fitch, the agency would review the transaction in line with its criteria. The resulting rating actions would depend on the findings of the analysis.

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.

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 Banco Popolare and Securitisation Services S.p.A as at 7 October 2015