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21 May 2010
EUR498.7 million of rated securities affected
Paris, May 21, 2010 -- Moody's Investors Service has today downgraded the ratings of the following
classes of notes issued by Ducato Consumer S.r.l.:
- EUR461.5 million Class A notes, downgraded to Aa1
from Aaa; previously on 17 February 2010 placed under review for
- EUR28.1 million Class B notes, downgraded to Baa2
from A1; previously on 17 February 2010 placed under review for possible
- EUR9.1 million Class C notes, downgraded to B2 from
Baa2; previously on 17 February 2010 placed under review for possible
Today's rating actions conclude the review process initiated on
17 February 2010, which was prompted by worst-than-expected
performance. The magnitude of the downgrade reflects the current
credit enhancement levels, which combined with revised assumptions,
lead to a higher expected loss on the rated notes.
In April 2010, the level of defaults equalled 5.3%
of the total securitised pool compared with 3.2% one year
ago. Despite the high level of defaults, performance has
stated to improve over the past two periods. Indeed, in January
2010, the level of 90+ delinquencies over the current balance
was 6.33% compared with the current level of 4.57%.
However, the transaction has recorded under-collateralisation,
which equalled EUR8.3 million or 3.65% of the notes
balance as of the last reporting date in April. As per the transaction
structure, the reserve fund cannot be used to repay principal on
the notes before the legal maturity and can only be used as a source of
liquidity in the structure before that date. As a result,
the reserve fund has been at its target level since closing and stands
at EUR22.5 million in April. However, it will decrease
to EUR10 million when 50% of the sum of the initial amount of the
Class A and Class B notes is repaid, which will occur on the next
payment date. The EUR12.5 million reserve fund amortisation
will be used as available fund in the waterfall to make payment on the
As of April 2010, the pool factor was 43.6%.
In its analysis, Moody's considered various information such as
macro-economic indicators, portfolio characteristics and
performance data made available from Agos Ducato S.p.A.
and the trustee. Moody's took into account the key macro-economic
drivers behind collateral deterioration, in particular, unemployment.
During Q1 2010, the unemployment rate in Italy stood at 8.8%
compared with 6% in 2007. Moody's considered the geographic
concentration of the borrowers, the vintages of the year the loans
were originated, the loan purpose and the origination channels.
In particular, the securitised portfolio has a high concentration
of borrowers living in the South of Italy as well as a large portion of
personal loans which were originated with no specific purpose for the
Moody's sector outlook for Italian consumer loan ABS is negative ("EMEA
ABS & RMBS: 2009 Review and 2010 Outlook", published in
Moody's Assumptions on Cumulative Default and Volatility
Moody's took the current amount of defaults into account and conducted
a roll rate analysis for the delinquent pool portion. Moody's concluded
on a cumulative default rate of 10% of the outstanding portfolio
amount. This translates into a cumulative default number of 7.5%
of total securitised pool compared with the initial assumption of 4.5%.
Moody's maintained the volatility at 30% (the volatility is defined
as the standard deviation divided by the cumulative default rate).
Moody's Assumptions on Recovery and Prepayment Rate
The recovery rate was decreased to 25% from 35% taking into
account the decreasing trend noticed by Moody's on historical data
recoveries. In addition, Moody's tested various sensitivity
scenarios on cumulative default, recovery rate and volatility.
Moody's also ran sensitivities on prepayment rate assumption in its cash
flow model. Due to the actual CPR performance reported for this
transaction, the CPR remains unchanged at 15%.
Ducato Consumer S.r.l. closed in October 2006. The originator was Ducato S.p.A. (not rated), which was at the time of closing owned by Banco Popolare Societa Cooperativa. At the end of 2009, Ducato S.p.A. was incorporated by Agos S.p.A. which was renamed Agos Ducato S.p.A. This new entity is owned 61% by Credit Agricole Consumer Finance (which is the non-rated consumer entity of Credit Agricole SA rated Aa1/P-1) and 39% by Banco Popolare Societa Cooperativa (rated A2/P-1). The transaction is backed by a portfolio of loans to individuals for the purpose of financing the acquisition of a new car (10.11% of the current pool), used car (11.88%), personal loan (71.58%) or other purpose loan (6.42%). The geographical concentration has not changed significantly from the initial portfolio and still has a major focus on South of Italy and islands (around 63% of current pool).
The ratings address the expected loss posed to investors by the legal
final maturity date (August 2019). In Moody's opinion, the
structure allows for timely payment of interest and ultimate payment of
principal at par on or before the final maturity date.
The principal methodologies used in rating this transaction were Moody's
"The Lognormal Method Applied to ABS Analysis" published in July 2000
and "Revising Default/Loss Assumptions Over the Life of an ABS/RMBS Transaction"
published in December 2008 and available on www.moodys.com
in the Rating Methodologies sub-directory under the Research &
Ratings tab. Other methodologies and factors that may have been
considered in the process of rating this issue can also be found in the
Rating Methodologies sub-directory on Moody's website. Further
information on Moody's analysis of this transaction is available on www.moodys.com.
In addition, Moody's published a weekly summary of structured finance
credit, ratings and methodologies, available to all registered
users of our website, at www.moodys.com/SFQuickCheck.
VP - Senior Credit Officer
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's downgrades Ducato Consumer S.r.l. Italian consumer loan ABS
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
No Related Data.
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