London, 24 July 2012 -- Moody's Investors Service has today downgraded the ratings of 12 notes
from five commercial mortgage-backed securities (CMBS) exposed
to assets located in Italy. This action was prompted by Moody's
decision to lower the Italian country ceiling to A2 from Aaa on 13 July
2012 and the increased risk of asset performance deterioration.
For additional information on Structured Finance ratings, please
refer to the webpage containing Moody's related announcements http://www.moodys.com/eusovereign.
Issuer: FIP Funding S.r.l.
....EUR600M A1 Certificate, Downgraded
to Baa2 (sf); previously on Feb 22, 2012 Downgraded to A3 (sf)
....EUR1393.56M A2 Certificate,
Downgraded to Baa2 (sf); previously on Feb 22, 2012 Downgraded
to A3 (sf)
Issuer: Imser Securitisation 2 S.r.l.
....EUR186.02M Class A2a Notes due
September 2025 Notes, Downgraded to A2 (sf); previously on
Aug 3, 2011 Confirmed at Aa3 (sf)
....EUR35M Class A2b Notes due September 2025
Notes, Downgraded to A2 (sf); previously on Aug 3, 2011
Confirmed at Aa3 (sf)
....EUR53.555M Class A3a Notes due
2025 Bond, Downgraded to A2 (sf); previously on Aug 3,
2011 Confirmed at Aa3 (sf)
....EUR75M Class A3b Notes due September 2025
Notes, Downgraded to A2 (sf); previously on Aug 3, 2011
Confirmed at Aa3 (sf)
Issuer: Island Refinancing S.r.l.
....EUR257M Class A - 2007 Notes due
2025 Certificate, Downgraded to A2 (sf); previously on Sep
9, 2011 Confirmed at Aa2 (sf)
Issuer: TAURUS CMBS No.2 S.r.l.
....EUR239M A Notes, Downgraded to A2
(sf); previously on Mar 20, 2012 Downgraded to Aa2 (sf)
....EUR45.3M B Notes, Downgraded
to A2 (sf); previously on Mar 20, 2012 Downgraded to Aa3 (sf)
....EUR24.8M C Notes, Downgraded
to A3 (sf); previously on Mar 20, 2012 Downgraded to A1 (sf)
....EUR29M D Notes, Downgraded to Baa2
(sf); previously on Mar 20, 2012 Downgraded to A3 (sf)
Issuer: Infinity 2006-1 Classico
....EUR261.9M Class A Notes Certificate,
Downgraded to A2 (sf); previously on Oct 21, 2011 Downgraded
to Aa3 (sf)
RATINGS RATIONALE
Today's rating action follows:
(1) Moody's decision to lower the Italian country ceiling, and therefore
the maximum rating that Moody's will assign to a domestic Italian issuer
including structured finance transactions backed by Italian receivables,
to A2 from Aaa. This decision followed the weakening of the Italian
government's credit profile, as captured by Moody's downgrade of
Italy's government bond rating to Baa2 from A3 on 13 July 2012.
(2) The increased risk that the factors driving the downgrade of Italy
will lead to a significant and uniform deterioration in asset performance.
In particular, the default probabilities of the underlying loans
at the point of refinancing, are driven by constrained commercial
real estate lending and low investor demand for assets in Italy.
For more details on the rationale for the sovereign and country ceiling
downgrades, refer to the press release (http://www.moodys.com/research/Moodys-downgrades-Italys-government-bond-rating-to-Baa2-from-A3--PR_250567).
--HIGHEST ACHIEVABLE RATING IS NOW A2(SF)
Moody's lowered to A2 from Aaa the Italian country ceiling, which
signifies the maximum rating that Moody's will assign to a domestic issuer,
including structured finance transactions backed by Italian receivables
(http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_143384).
As a consequence, the highest achievable rating for Italian structured
finance transactions is now A2(sf), down from Aa2(sf) previously.
--RISK OF ECONOMIC AND FINANCIAL INSTABILITY HAS RISEN
Italy's new country ceiling reflects Moody's assessment that the risk
of economic and financial instability in the country has increased.
The weakness of the economy and the increased vulnerability to a sudden
stop in funding for the sovereign constitute a substantial risk factor
to other (non-government) issuers in Italy, as income and
access to liquidity and funding could be sharply curtailed for all classes
of borrowers.
Further deterioration in the financial sector cannot be excluded and could
lead to potentially severe systemic economic disruption and reduced access
to credit.
--COUNTRY CEILING COULD BE LOWERED AGAIN
The country ceiling reflects the risk of exit and redenomination in the
unlikely event of a default by the sovereign. If the Italian government's
rating were to fall further from its current Baa2 level, the country
ceiling would be reassessed and likely lowered at that time.
Structured finance and covered bond securities benefit from revenue diversification,
credit enhancement and other structural features. As a result they
can achieve higher ratings than other non-structured issuers and
may, where certain conditions are met, exceed the sovereign
by a limited number of notches, subject to the constraint of the
relevant country ceiling.
The purpose of the country ceiling (or 'guideline') is described in the
Rating Implementation Guidance "The Local Currency Deposit Ceiling" (http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_98554).
Moody's is considering reintroducing individual country ceilings for other
euro area members, which could affect further the maximum structured
finance rating achievable in those countries, as discussed in Moody's
special report "Rating Euro Area Governments Through Extraordinary Times
-- An Updated Summary" (http://http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_142756).
The rating considerations described in this press release complement the
principal rating methodologies applicable to each transaction affected
by today's downgrade action.
The principal methodology used in this rating was Moody's Approach to
Real Estate Analysis for CMBS in EMEA: Portfolio Analysis (MoRE
Portfolio) published in April 2006. Please see the Credit Policy
page on www.moodys.com for a copy of this methodology.
Other Factors used in this rating are described in "How Sovereign Credit
Quality May Affect Other Ratings" published in February 2012.
Key modelling assumptions, sensitivities, cash-flow
analysis and stress scenarios for the affected transactions have not been
updated as the rating actions has been primarily driven by the downgrade
of Italy's government bond rating .
REGULATORY DISCLOSURES
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.
The ratings have been disclosed to the rated entities or their designated
agent(s) and issued with no amendment resulting from that disclosure.
Information sources used to prepare each of the ratings are the following:
parties involved in the ratings, public information, and confidential
and proprietary Moody's Investors Service 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.
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.
Deniz Yegenaga
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
Christophe de Noaillat
Associate Managing Director
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Viola Karoly
Asst Vice President - Analyst
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 ratings of 12 CMBS notes exposed to Italy
