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