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TEXT - Fitch affirms Securitisation S.r.l.
January 15, 2013 / 3:32 PM / in 5 years

TEXT - Fitch affirms Securitisation S.r.l.

(The following statement was released by the rating agency)
    Jan 15 - Fitch Ratings has affirmed Securitisation S.r.l.'s
( EUR1,127m asset-backed fixed-rate notes, due September 2025, as

EUR587,162,768 class A notes: affirmed at 'A-sf'; Outlook Stable
EUR540,000,000 class B notes: affirmed at 'A-sf'; Outlook Stable 

Delinquencies are currently high, however since closing, the Fitch cumulative 
gross default rate has performed better than the agency's base case. The ratings
also reflect the notes' continued de-leveraging coupled with the increase in the
credit enhancement (CE) available to the noteholders, as well as the consistent 
gross excess spread level (5% on average since closing) which has been trapped 
into the structure to make up for delinquencies and defaults. 

In spite of that, the ratings mainly reflect the application of Fitch's 
counterparty criteria for the transaction's risk of dependence on Banca Monte 
dei Paschi di Siena's (BMPS; 'BBB'/Stable/'F3') creditworthiness.

Since closing, the Fitch cumulative gross default rate has performed better than
the agency's base case (3.26% as of December 2012, compared to a base case of 
7.88%). In addition, even if at a limited extent, the recoveries have started to
come through before Fitch assumed they would in its initial analysis, even if at
a lower level than the original assumption (about 2% as compared to 6%).

The personal loan pool now accounts for 89% of the portfolio and this percentage
will only further increase over time due to the longer tenor compared to the 
auto loans (11%).

As of January 2013, CE had increased to 75% for the class A notes and to 46% for
the class B notes. The current CE comprises the transaction cash reserve equal 
to 6.4% of the outstanding balance of the class A, B and C notes.

The transaction also benefits from EUR144m of commingling reserve available to 
make up for commingling losses related to the servicer and the collection 
account bank and it can also be used to make up for interest shortfalls on class
A, B and C notes. Securitisation S.r.l. is the first securitisation of assets originated
by, a specialised consumer lender fully owned by BMPS. is 
the originator and servicer of the portfolio; BMPS is the Italian account bank; 
BNP Paribas Securities Services ('A+'/Stable/'F1+') is the transaction account 

 (Caryn Trokie, New York Ratings Unit)

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