Moody's also downgrades one transaction with exposure to Italian state and public sector entities
London, 20 July 2012 -- Moody's Investors Service has today downgraded the ratings of six structured
credit securities that are linked to the ratings of Italy and Unicredit
Spa which were downgraded by Moody's respectively on July 13, 2012
and on July 17 2012. Moody's also downgraded one balance
sheet CLO exposed to Italian state and public sector entities.
LIST OF AFFECTED TRANSACTIONS
Issuer: Asset Repackaging Trust Six B.V.
....Series 15 EUR 181,734,000
Partly-Paid Pass-Through Credit-Linked Secured Notes
due 2028, Downgraded to Baa2; previously on Feb 17, 2012
Downgraded to A3
....Series 16 EUR 367,809,833
Partly-Paid Pass-Through Credit-Linked Secured Notes
due 2033, Downgraded to Baa2; previously on Feb 17, 2012
Downgraded to A3
....Series 25 EUR 65,500,000 Fixed
Rate Secured Notes due 2017, Downgraded to Baa2 (sf); previously
on Jul 2, 2012 Confirmed at Baa1 (sf)
....Series 26 EUR 45,000,000 Fixed
Rate Secured Notes due 2017, Downgraded to Baa2 (sf); previously
on Jun 25, 2012 Assigned Baa1 (sf)
Issuer: Entasi S.r.l.
....EUR160M Series 2001-1 Bond,
Downgraded to Baa3 (sf); previously on May 15, 2012 Downgraded
to Baa1 (sf)
....EUR160M Series 2001-2 Bond,
Downgraded to Baa3 (sf); previously on May 15, 2012 Downgraded
to Baa1 (sf)
Issuer: C.P.G. Società di Cartolarizzazione
a r.l.
....EUR787M Class A2 Notes, Downgraded
to Baa1 (sf); previously on Oct 6, 2011 Downgraded to A2 (sf)
For additional information on Structured Finance ratings, please
refer to the webpage containing Moody's related announcements http://www.moodys.com/eusovereign.
RATINGS RATIONALE
The reason for Moody's actions is the linkage between the ratings of the
structured finance securities and those of the sovereign or Unicredit
S.p.A.. This linkage is due to the exposure
of the structured finance securities to the declining credit quality of
the Republic of Italy which acts as the issuer of collateral securities
or to the declining credit quality of Unicredit S.p.A.,
which acts as the guarantor of the repack notes.
Moody's explained that five of the rating actions taken today are the
result of the downgrade of the government of Italy to Baa2 from A3 on
July 13, 2012. For further information on the underlying
action see the press release titled "Moody's downgrades Italy's government
bond rating to Baa2 from A3, maintains negative outlook" on www.moody.com.
The remaining two actions were driven by the downgrade to Baa2 from A3
of Unicredit S.p.A. For further information on the
underlying actions see the press releases titled "Moody's downgrades
Italian banks" issued on 17 July 2012 on www.moody.com.
ASSET REPACKAGING TRUST SIX B.V. SERIES 15 AND 16
Asset Repackaging Trust Six B.V. series 15 and 16 represent
the repackaging of a pool of bonds issued by the Republic of Italy (the
"Collateral"). Interest received on the Collateral is passed to
noteholders and amounts received upon any Collateral maturing will be
used to purchase substitute bonds or repay the notes. Each rating
is essentially a pass-through of the rating of the underlying security.
Noteholders are exposed to the credit risk of the underlying entity and
therefore the rating moves in lock-step in each case. No
additional cash flow, sensitivity analysis or stress scenarios have
been conducted as the rating was directly derived from the rating of Republic
of Italy.
ASSET REPACKAGING TRUST SIX B.V. SERIES 25 AND 26
Asset Repackaging Trust Six B.V. series 25 and 26 represent
the repackaging of bonds issued by the Republic of Italy (the "Collateral").
The Collateral will then be subject to an asset swap entered into between
the Issuer and Deutsche Bank AG, currently rated A2, whereby
the Issuer will swap interest proceeds from the Collateral for fixed interest
payment amounts due under the Notes. Moody's analysis utilizes
an expected loss calculation as described below.
Moody's quantitative analysis of Repacks is designed to estimate the expected
loss "EL" borne by the Repack investor, given the transaction structure,
the Collateral and any other credit risks arising under the transaction.
To this end, Moody's relies on an EL analysis in which we identify
and attach probabilities to events that might give rise to losses to Repack
noteholders. Moody's EL calculation assesses the probability and
severity of each possible loss-inducing event happening at discrete
(typically one-year) intervals through the life of the transaction.
The EL for each of these time points can then be aggregated to provide
a weighted-average EL for the rated notes. No additional
cash flow, sensitivity analysis or stress scenarios have been conducted
as the rating was directly derived from the rating of the Republic of
Italy and Deutsche Bank.
ENTASI S.r.l. SERIES 2001-1, SERIES
2001-2
These transactions are a repackaging of the unrated Trevi Finance N.3
class C notes guaranteed by Unicredit S.p.A. Unicredit
S.p.A. provides a complete guarantee on the transactions
because of the Entasi's right to sell back the collateral at a fixed price
that covers all the possible losses for the noteholders. However
in the event of default of Unicredit S.p.A. noteholders
will be exposed to a potential swap termination payment and the market
value of the collateral. In the structure of the deal, the
swap termination is senior to the payments to the noteholders.
Because of the potential additional losses to noteholders in case of Unicredit
default, Moody's applied stresses to the severity resulting
in a rating that is one notch below the current rating of Unicredit.
No additional cash flow, sensitivity analysis or stress scenarios
have been conducted as the rating was directly derived from the rating
of the Unicredit S.p.A.
C.P.G. SOCIETÀ DI CARTOLARIZZAZIONE S.r.l
SERIES 2003-1
C.P.G. Societa Cartolarizzazione S.r.l.
is a static CLO of loans to Italian public entities, which closed
in April 2003. The largest exposure in the portfolio is the Italian
government (46%), and this exposure fully covers the current
balance of the rated Class A2 notes. Moody's has revised the rating
of the Class A2 Notes to Baa1, a one-notch uplift from the
current rating of the Italian state, given the substantial over-collateralisation
thta exists in the transaction. No additional cash flow,
sensitivity analysis or stress scenarios have been conducted as the rating
was directly derived from the rating of the relevant affected entities.
Moody's notes that these transactions are subject to a high level of macroeconomic
uncertainty, which could negatively impact the ratings of the notes,
as evidenced by 1) uncertainties of credit conditions in the general economy
and 2) the acute sovereign and banking crisis in the euro area,
which is weakening the credit profiles of banks exposed to the currency
union. This crisis accentuates challenges facing banks globally.
For more information please refer to "Moody's: Global bank ratings
likely to decline in 2012" and "Key Drivers of Rating Actions on Firms
with Global Capital Markets Operations." and 3) the recent review
of European sovereigns reflecting their susceptibility to the growing
financial and macroeconomic risks emanating from the euro area crisis.
Moody's also discusses the relationship between sovereign and structured
finance ratings in its special report "Assessing the Impact of the Eurozone
Sovereign Debt Crisis on Structured Finance Transactions," published
in April 2011.
As the Euro area crisis continues, the rating of the structured
finance notes remain exposed to the uncertainties of credit conditions
in the general economy. The deteriorating creditworthiness of euro
area sovereigns as well as the weakening credit profile of the global
banking sector could negatively impact the ratings of the notes.
Furthermore, as discussed in Moody's special report "Rating Euro
Area Governments Through Extraordinary Times -- An Updated
Summary," published in October 2011, Moody's is considering
reintroducing individual country ceilings for some or all euro area members,
which could affect further the maximum structured finance rating achievable
in those countries.
The principal methodology used in these ratings was "Moody's Approach
to Rating Repackaged Securities" published in April 2010. Please
see the Credit Policy page on www.moodys.com for a copy
of this methodology.
REGULATORY DISCLOSURES
The ratings have been disclosed to the rated entities or their designated
agent(s) and issued with no amendment resulting from that disclosure.
Information source used to prepare the ratings is the following:
public information.
Moody's did not receive or take into account a third-party
assessment on the due diligence performed regarding the underlying assets
or financial instruments related to the monitoring of these transactions
in the past six months.
Moody's considers the quality of information available on the rated
entities, obligations or credits satisfactory for the purposes of
issuing these ratings.
Moody's adopts all necessary measures so that the information it
uses in assigning the ratings is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entities or their related third parties within
the two years preceding the credit rating action. Please see the
special report "Ancillary or other permissible services provided
to entities rated by MIS's EU credit rating agencies" on the
ratings disclosure page on our website www.moodys.com for
further information.
In addition to the information provided below please find on the ratings
tab of the issuer page at www.moodys.com, for each
of the ratings covered, Moody's disclosures on the lead rating
analyst and the Moody's legal entity that has issued each of the
ratings.
For ratings issued on a program, series or category/class of debt,
this announcement provides relevant regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides relevant regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides relevant regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
Please see the ratings disclosure page on www.moodys.com
for general disclosure on potential conflicts of interests.
Please see the ratings disclosure page on www.moodys.com
for information on (A) MCO's major shareholders (above 5%) and
for (B) further information regarding certain affiliations that may exist
between directors of MCO and rated entities as well as (C) the names of
entities that hold ratings from MIS that have also publicly reported to
the SEC an ownership interest in MCO of more than 5%. A
member of the board of directors of this rated entity may also be a member
of the board of directors of a shareholder of Moody's Corporation;
however, Moody's has not independently verified this matter.
Please see Moody's Rating Symbols and Definitions on the Rating Process
page on www.moodys.com for further information on the meaning
of each rating category and the definition of default and recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history.
The date on which some ratings were first released goes back to a time
before Moody's ratings were fully digitized and accurate data may not
be available. Consequently, Moody's provides a date that
it believes is the most reliable and accurate based on the information
that is available to it. Please see the ratings disclosure page
on our website www.moodys.com for further information.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Gabriele Gramazio
Associate Analyst
Structured Finance Group
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Neelam S. Desai
Senior Vice President
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Releasing Office:
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's downgrades European structured finance transactions exposed to Italian sovereign and banks
