TEXT - Fitch affirms Arcobaleno Finance

Tue Feb 12, 2013 11:57am EST

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(The following statement was released by the rating agency)
    Feb 12 - Fitch Ratings has affirmed Arcobaleno Finance S.r.l.'s notes, as
follows:

EUR6.40m class A affirmed at 'AAA'; Outlook Negative 
EUR18.70m class B affirmed at 'A'; Outlook Stable 
EUR6.40m class C affirmed at 'BBB'; Outlook Stable

This transaction is a securitisation of unsecured loans granted to pharmacists 
in Italy for the purchase of licenses and premises established by Credifarma 
S.p.A. (Credifarma). The programme was executed in two stages. During the 
initial warehousing phase launched in March 2005, Nesaea Finance S.r.l (Nesaea) 
issued variable funding notes (VFNs) to fund the purchase of the initial and 
subsequent pools of receivables from Credifarma. The VFNs were then sold to 
Arcobaleno Finance, which in turn issued notes in the ABS term market. The 
transaction entered its term phase in March 2006 and is now amortising the notes
sequentially in order of priority.

The rating action reflects the notes' continued de-leveraging. The Negative 
Outlook on the class A notes reflects the Outlook on Italy's Long-Term Issuer 
Default Rating.

No delinquent and/or defaulted receivables have been reported to date, and the 
annualised excess spread stood at about 1.4% on the interest payment date (IPD) 
in January 2013. Following its 18-month revolving period, the transaction has 
continued to amortise, with the total outstanding rated notes as of January 2013
amounting to 15% of their initial balance. On the same IPD, the credit 
enhancement for the class A notes had significantly increased to 85.0% from 
57.2% as of January 2012, for the class B notes to 41.3% from 27.8% and for the 
class C notes to 26.4% from 17.8%. 

The transaction benefits from a EUR1m liquidity line provided by Banca Nazionale
del Lavoro (BNL, 'A'/Negative/'F1') which can be used to cover any shortfall on 
senior costs and/or interest on the Arcobaleno rated notes. Furthermore, BNL 
provides an additional EUR2m liquidity facility to Nesaea to cover for any 
shortfall in the expenses and interest payable on the Nesaea senior notes. In 
Fitch's view, the payment interruption risk is adequately mitigated.

The portfolio obligor concentration has increased since December 2011, with the 
exposure to the top 10 obligors increasing to 20.8% as of December 2012 from 
16.5% of the portfolio, while the exposure to the top regional healthcare 
authority (ASL) has slighlty decreased to 18.4% from 19.8% for the same period. 
At end-December 2012, 13.3% of the obligors in the pool accounted for more than 
0.5% of the portfolio balance.

The portfolio concentration is expected to further increase in the tail of the 
deal, as the top contracts have the longest maturities. However, in Fitch's 
view, the increasing concentration risk is mitigated by the short weighted 
average life of the pool (about 3.5 years) and by the expected additional 
de-leverage.

 (Caryn Trokie, New York Ratings Unit)
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