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By clicking “I AGREE” [at the end of this document], you indicate that you understand and intend these terms and conditions to be the legal equivalent of a signed, written contract and equally binding, and that you accept such terms and conditions as a condition of viewing any and all Moody’s inform​ation that becomes accessible to you [after clicking “I AGREE”] (the “Information”).   References herein to “Moody’s” include Moody’s Corporation, Inc. and each of its subsidiaries and affiliates.

 

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2.            You acknowledge and agree that Moody’s credit ratings: (i) are current opinions of the future relative creditworthiness of securities and address no other risk; and (ii) are not statements of current or historical fact or recommendations to purchase, hold or sell particular securities.  Moody’s credit ratings and publications are not intended for retail investors, and it would be reckless and inappropriate for retail investors to use Moody’s credit ratings and publications when making an investment decision.  No warranty, express or implied, as the accuracy, timeliness, completeness, merchantability or fitness for any particular purpose of any Moody’s credit rating is given or made by Moody’s in any form whatsoever.          

 

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Related Issuers
Rating Action:

Moody's assigns definitive ratings to notes issued by UBI Finance 2 S.r.l

24 Feb 2011

EUR 1,559.5 million of debt securities rated

Frankfurt am Main, February 24, 2011 -- Moody's Investors Service has assigned definitive ratings to Notes issued by UBI Finance 2 S.r.l.:

Aaa (sf) to the Class A Euro 1,559,500,000 Asset Backed Floating Rate Notes due 2046

RATINGS RATIONALE

According to Moody's, the ratings take account of, among other factors, the (i) simple and strong transaction structure defining that all cash collections (reduced by senior fees) are paid as interest and principal to the Class A notes and only after the repayment of Class A notes the Class B notes will receive interest and principal amounts and (ii) the increase in credit enhancement built-up below the Class A notes since closing date in February 2009 due to the static nature of the transaction combined with the portfolio amortization. Moody's valued also positively the financial strength and securitization experience of Unione di Banche Italiane S.c.p.A. ("UBI Banca") as 100% parent company of the originator (Banco di Brescia S.p.A.) and servicer, swap counterparty and calculation agent in this transaction. Similarly, Moody's considers the rating triggers to (i) appoint a back-up servicer (upon loss of Baa1 of UBI Banca) and (ii) to re-direct the obligor payments directly to an issuer's account (upon loss of Baa2 or P-3 of UBI Banca) tighter than in comparable transactions. Finally, Moody's would like to note that the issuer has entered into several interest rate swap agreements with UBI Banca (A1 / P-1). These swaps are drafted to comply with Moody's standard swap de-linkage criteria. However, we are advised that, if the swap counterparty becomes subject to insolvency proceedings, the swaps will terminate by operation of law. This gives rise to additional linkage to the rating of the swap counterparty.

Moody's assigned a Composite V Score of "Medium" to this transaction, which is in line with the Italian SME ABS sector. Nonetheless, for four sub-categories Moody's considers this transaction better than the market. First, the originator will disclose a comprehensive set of performance data for this transaction. Second, Moody's believes that the transaction complexity is lower than for comparable transactions because it is a static transactions with a single waterfall, no reserves included and all cash use dto pay interest and principal on Class A before any amount is paid to Class B noteholders. Thirdly, the back-up servicing arrangement is stronger as a back-up servicer is appointed upon UBI Banca losing a minimum Baa1 rating. Finally, since it is a transaction undertaken for ECB repo purposes and UBI Banca as well as Banco di Brescia S.p.A. retaining all notes the interests are strongly aligned.

Moody's main modeling assumption for this transaction is a normal inverse default distribution which was used because of the granularity of the portfolio. The parameter of the default distribution, namely the mean default probability and its related standard deviation, were derived via the analysis of (i) the characteristics of the loan-by-loan portfolio information and the historical vintage data, (ii) the potential fluctuations of the macroeconomic environment during the lifetime of this transaction and (iii) the portfolio concentrations in terms of industry sectors and single obligors via the Monte Carlo simulation in CDOROM (v2.8). We expect the average default probability of the pool to be a Ba2 / Ba3 Moody's equivalent (translating into 8.5% cumulative default rate over the weighted average life of 4 years of the portfolio). The coefficient of variation (i.e. the ration between standard deviation over mean default rate) was assumed to be 52%, which leads to an implied asset correlation of 7.55%. Moody's assumed stochastic recoveries with a mean recovery rate at 55% (which is slightly higher than recoveries assumed in Italian lease transactions). The prepayments are assumed to be at a level of 8% p.a.

The principal methodologies used in this rating were Refining the ABS SME Approach: Moody's Probability of Default Assumptions In The Rating Analysis of Granular Small and Mid-sized Enterprise portfolios in EMEA published in March 2009, Moody's Approach to Rating Granular SME Transactions in Europe, Middle East and Africa published in June 2007, and V Score and Parameter Sensitivities in the EMEA Small-to-Medium Enterprise ABS Sector published in June 2009.

Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments in this transaction.

For rating this transaction Moody's used the following model. (i) ABSROM (v.2.2.9) to model the cash flows and determine the loss for each tranche and (ii) CDOROM (V.2.8) to estimate the standard deviation for the default distribution.

The transaction was closed in February 2009 and has accumulated some defaults since then. Because Moody's was only asked to rate this transaction at the beginning of 2011, Moody's modeled the outstanding performing portfolio as of the cut-off date from 31.12.2010 in the cash flow model. At the same time Moody's assumed that the note balance outstanding as of the payment date 14.01.2011 would have been reduced by the app. 805mn EUR cash accumulated in the issuer's principal account since the closing date, whereas in reality this cash will only be applied on next payment date in July 2011 to reduce the class A note balance. Furthermore, Moody's considered the following aspects in its cash flow model: (i) the cumulative defaults in an amount of app. 72.4mn EUR, (ii) an amortization and yield vector of the portfolio as derived from the loan-by-loan data file as of the 30.11.2010, (ii) an artificial timing of default vector equaling a sinus curve starting immediately reaching the peak after 2 years and finishing after 4 years. In combination with the above described default distribution and the other model parameters, which are applied to the portfolio, these parameters determine the cash flows for the portfolio in each period and the so-determined cash flow is used to pay the senior costs as well as interest and principal on Class A notes.

Finally, in certain scenarios Moody's assumed that the issuer will lose some cash flow portions of the portfolio due to the potential risk that - in case of a potential insolvency of the originator - borrowers might set-off their obligations towards the issuer against their claims against the originator resulting from current account balances, deposits or positive market values in derivative transactions. Because no concrete information is available we assumed a set-off exposure of 20% that might potentially be lost in case of the originator's insolvency, which we estimated with a probability associated to an A3 rating equivalent.

Before Moody's decided on the ratings assigned to the class A notes some parameter sensitivities were tested for this transaction. The model sensitivity output indicated that Class A would have achieved an Aaa rating even when testing the following 16 stressed scenarios derived from different combinations of mean default rate (i.e. adding a stress on the expected average portfolio quality) and recovery rate. Specifically, we tested for the mean default rate: 8.5% base case, 9.0%, 9.5% and 10.0% mean default probability, and for the recovery rate: 55% as base case, 25.0%, 45.0% and 40.0%. 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.

REGULATORY DISCLOSURES

The rating has been disclosed to the rated entity or its designated agents and issued with no amendment resulting from that disclosure.

Information sources used to prepare the credit rating are the following: parties involved in the ratings, confidential and proprietary Moody's Investors Service information, and confidential and proprietary Moody's Analytics information.

Moody's Investors Service considers the quality of information available on the issuer or obligation satisfactory for the purposes of assigning a credit rating.

Moody's Investors Service may have provided Ancillary or Other Permissible Service(s) to the rated entity or its related third parties within the three years preceding the Credit Rating Action. Please see the ratings disclosure page www.moodys.com/disclosures on our website for further information.

Moody's adopts all necessary measures so that the information it uses in assigning a credit rating 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.

Please see ratings tab on the issuer/entity page on Moodys.com for the last rating action and the rating history.

The date on which some Credit Ratings were first released goes back to a time before Moody's Investors Service's Credit Ratings were fully digitized and accurate data may not be available. Consequently, Moody's Investors Service 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 the Credit Policy page on Moodys.com for the methodologies used in determining ratings, further information on the meaning of each rating category and the definition of default and recovery.

Frankfurt am Main
Silvia Baumann
Asst Vice President - Analyst
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Frankfurt am Main
Thorsten Klotz
MD - Structured Finance
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

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 UBI Finance 2 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.

CREDIT RATINGS ISSUED BY MOODY'S CREDIT RATINGS AFFILIATES ARE THEIR CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY’S (COLLECTIVELY, “PUBLICATIONS”) MAY INCLUDE SUCH CURRENT OPINIONS. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE APPLICABLE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS (“ASSESSMENTS”), AND OTHER OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. AND/OR ITS AFFILIATES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES ITS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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