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Rating Action:

Moody's Investors Service has assigned provisional ratings to the notes to be issued by ICCREA SME CART 2016 S.r.l.

02 Aug 2016

Madrid, August 02, 2016 -- Moody's Investors Service ("Moody's") has assigned the following provisional ratings to ABS notes to be issued by ICCREA SME CART 2016 S.r.l. (the "Issuer"):

....EUR 202,300,000 Class A1 Asset-Backed Floating Rate Notes due 2042, Assigned (P)Aa2 (sf)

....EUR 480,000,000 Class A2 Asset-Backed Floating Rate Notes due 2042, Assigned (P)Aa2 (sf)

....EUR 65,000,000 Class B Asset-Backed Floating Rate Notes due 2042, Assigned (P)A1 (sf)

In addition the Issuer will issue EUR 9,400,000 Class C Asset-Backed Floating Rate Notes due 2042 and the EUR 617,460,000 Class D Asset-Backed Notes due 2042. Moody's has not assigned rating to these notes.

ICCREA SME CART 2016 S.r.l. is a revolving cash securitisation of lease receivables originated by Iccrea BancaImpresa S.p.a. (IBI, Baa3/P-3, Baa3(cr)/P-3(cr)) and granted to small and medium-sized enterprises (SME) and corporates domiciled in Italy. Assets are represented by receivables belonging to different sub-pools: real estate (67.8%), equipment (24.1%), motor-vehicles (1.8%) and industrial motor-vehicles (6.3%). The securitized portfolio does not include the so-called "residual value instalment", i.e. the final instalment amount to be paid by the lessee (if option is chosen) to acquire full ownership of the leased asset.

RATINGS RATIONALE

According to Moody's, the rating takes into account, among other factors, (i) the loan-by-loan evaluation of the underlying portfolio, also complemented by the historical performance information as provided by the originator and available for previous transactions; (ii) the criteria for the pool replenishments during the 2 years revolving period (ending in September 2018) and the possibilities for renegotiations on some terms of the lease contracts; (iii) the structural features of the transaction, with the inclusion of, inter alia, (a) an amortising debt service reserve equal to 2% of rated notes, funded at closing, designed to provide liquidity coverage over the life of the transaction and to cover portfolio losses at the maturity of the transaction and (b) early amortisation performance triggers designed to terminate the revolving period hence limiting the potential deterioration of the portfolio quality; and (iv) the sound legal structure of the transaction.

Moody's notes as credit strengths of the transaction the granularity of the portfolio, which effective number is 1,922 by lessee group. Moody's also underlines that the originator and servicer of the deal (IBI) is a Baa3 rated entity and that a back-up servicer and a back-up servicer facilitator have been appointed at closing to mitigate operational risk in the transaction.

Moody's notes that the transaction also features a number of credit weaknesses, such as: the significant exposure (27.8%) to the highly cyclical Construction and Building sector (in terms of Moody's industry classification), as well as high exposure (67.8%) to leases on real estate assets, which have shown historically higher default rates. In addition, the portfolio replenishments criteria allow up to 6% exposure to renewable energy assets where lessees may consist of SPVs, rather than standard SMEs. Moreover, the portfolio has rather long portfolio weighted average life of 4.5 years according to Moody's calculations, which may increase given the portfolio replenishment criteria. Moody's also considered a limited exposure to fixed-floating interest rate risk (4.5% of the pool reference a fixed interest rate) as well as basis risk given the discrepancy between the interest rates paid on the leasing contracts compared to the rate payable on the notes and no hedging arrangement being in place for the structure. Finally, Moody's notes that Accounting Partners S.r.l., being an unrated entity, will perform the role of computation agent in the transaction without a back-up computation agent being appointed. Moody's considers that such operational risk is mitigated by the servicer being able to prepare the required reports, should the computation agent fail to do so.

Portfolio characteristics and key collateral assumptions:

As of the valuation date (July 2016), the portfolio principal balance amounted to EUR 1,364,760,850.25. The portfolio is composed of 13,078 leasing contracts granted to 9,777 lessees (9,509 when accounting for lessees belonging to the same group), mainly small and medium-sized companies. The leasing contracts were originated between 2000 and 2016, and have a weighted average seasoning of 5 years and a weighted average remaining life of approximately 7.9 years. The interest rate is floating for 95.5% of the pool while the remaining part of the pool bears a fixed interest rate. The weighted average spread on the floating portion is 2.5%, while the weighted average interest on the fixed portion is 5.1%.

In its quantitative assessment, Moody's assumed an inverse normal default distribution for this securitised portfolio due to its level of granularity. The rating agency derived the default distribution, namely the relevant main inputs such as the mean default probability and its related standard deviation, via the analysis of: (i) the characteristics of the loan-by-loan portfolio information, complemented by the available historical vintage data; (ii) the potential fluctuations in the macroeconomic environment during the lifetime of this transaction; and (iii) the portfolio concentrations in terms of industry sectors and single obligors. Moody's assumed the cumulative default probability of the initial portfolio to be equal to 18.3% (equivalent to B2) with a coefficient of variation (i.e. the ratio of standard deviation over mean default rate) of 42.75%. To account for a potential deterioration in the credit quality of the portfolio through the pool replenishments, Moody's assumed that the default probability of the portfolio will increase gradually, reaching 25.8% at the end of the revolving period. The rating agency has assumed stochastic recoveries with a mean recovery rate of 50%, a standard deviation of 20%, and a 12.5% stressed recovery rate mean upon insolvency of the originator. In addition, Moody's has assumed the prepayments to be 3% per year. The base case mean loss rate and the CoV assumption correspond to a portfolio credit enhancement of 26%.

The ratings address the expected loss posed to investors by the legal final maturity of the notes. In Moody's opinion, the structure allows for timely payment of interest and ultimate payment of principal with respect to the Notes by the legal final maturity. Moody's ratings address only the credit risk associated with the transaction, other non-credit risks have not been addressed but may have a significant effect on yield to investors.

Factors that would lead to an upgrade or downgrade of the ratings:

Factors or circumstances that could lead to a downgrade of the rating affected by today's action would be (1) the worse-than-expected performance of the underlying collateral; (2) deterioration in the credit quality of the counterparties, especially IBI acting as servicer; and (3) an increase in Italy's country risk.

Factors or circumstances that could lead to an upgrade of the ratings affected by today's action would be (1) the better-than-expected performance of the underlying collateral and (2) a decline in Italy's country risk.

Stress Scenarios:

Moody's also tested other set of assumptions under its Parameter Sensitivities analysis. At the time the rating was assigned, the model output indicated that the Class A1 would have achieved Aa2 even if the mean default rate was as high as 23.8% with a recovery rate assumption of 40% (all other factors unchanged), while Class A2 would have achieved A3. Additionally Moody's observes that under the same stressed assumptions Class B would have achieved a Baa3 rating.

Parameter Sensitivities provide a quantitative, model-indicated calculation of the number of notches that a Moody's-rated structured finance security may vary if certain input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. It is not intended to measure how the rating of the security might migrate over time, but rather, how the initial rating of the security might differ as certain key parameters vary.

Principal Methodology:

The principal methodology used in these ratings was "Moody's Approach to Rating ABS Backed by Equipment Leases and Loans" published in December 2015. Please see the Ratings Methodologies page on www.moodys.com for a copy of this methodology.

REGULATORY DISCLOSURES

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions of the disclosure form.

The analysis relies on an assessment of collateral characteristics to determine the collateral loss distribution, that is, the function that correlates to an assumption about the likelihood of occurrence to each level of possible losses in the collateral. As a second step, Moody's evaluates each possible collateral loss scenario using a model that replicates the relevant structural features to derive payments and therefore the ultimate potential losses for each rated instrument. The loss a rated instrument incurs in each collateral loss scenario, weighted by assumptions about the likelihood of events in that scenario occurring, results in the expected loss of the rated instrument.

Moody's describes the stress scenarios it has considered for this rating action in the section "Ratings Rationale" of this press release.

For ratings issued on a program, series or category/class of debt, this announcement provides certain 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 certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain 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.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

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.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Gaston Wieder
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Carole Gintz
Associate Managing Director
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Javier Vidal
Associate Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Andrea Tortora
Associate Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Releasing Office:
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

No Related Data.
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