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Rating Action:

Moody's assigns definitive ratings to notes issued by Quarzo CQS S.r.l.

01 Apr 2015

Approximately EUR 738M of debt securities rated

Frankfurt am Main, April 01, 2015 -- Moody's Investors Service has assigned the following definitive ratings to notes issued by Quarzo CQS S.r.l. (the "Issuer"):

....EUR 738.0M Class A Asset Backed Floating Rate Notes due 2030; Definitive Rating Assigned Aa2 (sf)

In addition, unrated Class B notes are issued in an amount of EUR 82.0M.

RATINGS RATIONALE

The subject transaction is a static cash securitisation of Cessione del Quinto loans ("CDQ") and Delegazione di Pagamento loans ("DP") extended to borrowers resident in Italy by Futuro S.p.A. (not rated).

Under a CDQ Loan, the debtor assigns to the lender one fifth of his net monthly salary or pension to cover his loan obligations; loans are collateralised by a maximum of 20% of the monthly salary of the employee/pension (net of taxes), plus any eventual severance pay treatment (TFR). In addition, an obligatory insurance policy protects against loss of job, resignation and death of the debtor. DP loans are similar to CDQ loans, except for some fundamental differences including the following: (a) the monthly combined instalments for DP and CDQ loans can represent up to half of the borrower's net salary; (b) the lender has a direct claim towards the employer only if the employer expressly accepts the delegation of payment, which is the case for all loans to be securitized in this transaction, (c) the TFR is not automatically attached in favour of the lender unless the debtor and employer expressly provide their written consent, which is the case for all DP loans to be securitized in this transaction; (d) if the employer becomes insolvent, the payment delegation is automatically terminated, (e) the DP can be terminated in the event of insolvency of the originator, and (f) the quota of salary delegated does not benefit of the exemption from seizure and attachment proceedings as for CDQ loans.

The portfolio as of 28 February 2015 was made of 57,944 loans granted to 55,199 debtors, with a weighted average current loan amount equal to Euro 14,151 and total portfolio balance of approx. EUR 820.0 million.

The portfolio consists of CDQ loans (88.5%) and DP loans which account for 11.5% of the portfolio.

The portfolio is granular from an individual loan perspective with the top 1 and top 10 obligor exposures are 0.01% and 0.10%, respectively. The portfolio is highly concentrated in employees working for the Italian public sector, and specifically central governmental entities, as well as pensioners receiving payments from INPS (the Italian social security institute). At closing, 35.5% of the obligors are pensioners/retired receiving their pension from INPS, while 40.2% of the obligors work for other Italian public sector entities and the remaining 24.3% in the private sector.

The rating on the notes takes into account, among other factors, (i) an evaluation of the underlying portfolio of loans and insurance coverage; (ii) macro-economic information and historical performance information; (iii) the credit enhancement provided by the excess spread, subordination and the reserve fund; (iv) the liquidity support available in the transaction, by way of principal to pay interest, the reserve fund, and the liquidity reserve (v) the back-up servicer, the back-up servicing facilitator and the computation agent arrangements that mitigate operational risks; and (vi) the legal and structural integrity of the transaction.

This deal benefits from credit strengths, such as a high excess spread level, the low historical losses, loan protections through salary/TFR assignment, and insurance coverage, as well as certain structural features such as a computation agent able to estimate and make payments under the notes in case of a servicer disruption. Moody's however notes that the transaction features a number of credit weaknesses, as there is exposure to commingling risk as well as operational risk, which is mitigated by the appointment of a back up servicer and a back up servicer facilitator from day one. The portfolio concentration in terms of employers is higher than usually seen in a typical consumer loan transaction, especially that linked to one particular employer or sector as stated above. Moody's has treated this in its quantitative assessment.

One of the particular aspects of CDQ and DP products is that all the loans are partially guaranteed by insurance coverage. There are specific concentrations to insurance companies in the transaction. The top insurer provides coverage to 43.3% of the individual loans in the portfolio. Hence, the transaction would be exposed to potential default risk of insurance companies in honoring their claims. These characteristics, amongst others, were considered in Moody's quantitative analysis and ratings.

MAIN MODEL ASSUMPTIONS

In its quantitative assessment, Moody's assumed a mean default rate of 7.5% for the initial portfolio, with a portfolio credit enhancement of approximately 13.0% and a recovery rate of 75% (non-insurance default scenario-see explanation above) as the main input parameters to derive the lognormal portfolio loss distribution, in the scenario where the insurance companies fulfill their obligations. Moody's also considered the insurance company exposure in the transaction considering scenarios where one or more insurance companies default and its impact on the recovery figure above. This was weighted by the credit quality of the insurance entities to derive a joint loss distribution, then used in Moody's cash-flow model ABSROM.

METHODOLOGY

The principal methodology used in this rating was Moody's Approach to Rating Consumer Loan-Backed ABS published in January 2015. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:

Factors that may cause an upgrade of the rating include a significantly better than expected performance of the pool and/or significant positive overall credit quality of the public employer concentrations, together with an upgrade of the country ceiling in Italy. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool according to Moody's expectations or a significant deterioration of the credit profile of the counterparts including the insurance companies not covered due to structural features.

Provisional ratings were assigned on 06 March 2015. The portfolio amount and size of each tranche has not changed since the provisional ratings were assigned.

LOSS AND CASH FLOW ANALYSIS:

In rating this transaction, Moody's used ABSROM to model the cash flows and determine the loss for each tranche. The cash flow model evaluates all default scenarios that are then weighted considering the probabilities of the lognormal distribution assumed for the portfolio default rate. In each default scenario, the corresponding loss for each class of notes is calculated given the incoming cash flows from the assets and the outgoing payments to third parties and noteholders. Therefore, the expected loss or EL for each tranche is the sum product of (i) the probability of occurrence of each default scenario; and (ii) the loss derived from the cash flow model in each default scenario for each tranche.

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 bonds by legal final maturity. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed but may have a significant effect on yield to investors.

STRESS SCENARIOS:

Moody's tested various scenarios derived from different combinations of mean default rate (i.e. adding a stress on the expected average portfolio quality) and recovery rate. For example, Moody's tested for the mean default rate: 7.5% as base case ranging to 9.00% and for the recovery rate (non-insurance default-see explanation above): 75.0% as base case ranging to 65.0%. At the time the rating was assigned, the model output indicated that class A would have achieved Aa3 output even if the cumulative mean default probability (DP) had been as high as 9.00%, and the recovery rate as low as 65.0% (all other factors being constant). Moody's Parameter Sensitivities provide a quantitative / model-indicated calculation of the number of rating notches that a Moody's-rated structured finance security may vary if certain input parameters would change. 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 have differed if the two parameters within a given sector that have the greatest rating impact were varied.

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.

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 in this transaction.

Further information on the representations and warranties and enforcement mechanisms available to investors are available on http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF401507.

Moody's describes its loss and cash flow analysis in the section "Ratings Rationale" of this press release.

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 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 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 rating action, and whose ratings may change as a result of this 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.

Sebastian Schranz
Analyst
Structured Finance Group
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Yian Ning Loh
VP - Sr Credit Officer/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Releasing Office:
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's assigns definitive ratings to notes issued by Quarzo CQS S.r.l.
No Related Data.
© 2021 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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