Majority of transactions performing in line with expectations
Paris, August 01, 2011 -- Moody's Investors Service has reviewed, as part of its periodic
performance review process, the performance of 20 Italian lease
transactions backed by pools of assets made up of a mix of real estate,
equipment and vehicle lease contracts. The review concluded that
13 of the transactions are performing in line with expectations.
As a result, Moody's took no actions on these transactions.
For a full list of these transactions, please see below.
REVIEW PROCESS
As part of its review, Moody's focused on: (i) comparing asset
performance with the latest expectations, as measured by the default
performance indicator (DPI); (ii) delinquency rates, as a dynamic
measure of performance used to project
future defaults; and (iii) comparing credit enhancement levels with
future expected defaults or losses.
CONCLUSION OF THE REVIEW
Today's review concluded that:
- Thirteen transactions are performing in line with expectations
and Moody's did not take any action on these transactions.
The DPI ratio is equal to or below 100% for 11 transactions.
The remaining two transactions have a DPI of 102% and 103%
respectively. Notes outstanding in these two transactions benefit
from high credit enhancement. This indicates that the performance
of these 13 transactions are in line with the rating agency's performance
expectations. The DPI compares the actual performance of the transaction's
collateral against Moody's assumed expected cumulative default rate.
The DPI also assumes that defaults are linearly distributed over time.
- Moody's updated its mean default assumptions in four transactions.
In these transactions, the reported amount of cumulative defaults
that have already occurred were higher than the current mean default assumption.
Moody's has taken no rating action following these assumption updates
in consideration of the sufficient level of credit enhancement present
in the structures, some of them with very low pool factor have deleveraged
in a very significant manner.
- Moody's maintains on review for downgrade the Aaa(sf) rating
of the A-Leasing transaction's senior tranche. This
tranche was placed on review for downgrade on 2 March 2011 following Moody's
initial assessment of this transaction under the rating implementation
guidance entitled "Global Structured Finance Operational Risk Guidelines:
Moody's Approach to Analyzing Performance Disruption Risk". During
its performance review, Moody's also identified that the DPI
ratio is in excess of 100% for this transaction, meaning
that the current mean default assumption needs to be updated. The
review process, which focuses on both operational risk concerns
and performance, should be completed by the beginning of September.
- The rating agency placed the senior tranche of Medioleasing Finance
S.r.l under review for downgrade due to: (i) worse-than-expected
performance of the collateral; (ii) credit enhancement levels below
those required to absorb higher-than-expected losses on
the assets; and (iii) a long revolving period, which can last
until April 2017. For more details on the reason for this action,
please refer to the separate press release published on 4 July 2011 "Moody's
reviews for downgrade Medioleasing Finance S.r.l.
class A notes, Italian leases ABS".
- Finally, Moody's downgraded to A2(sf) from Aaa(sf)
the class A2 tranche of Zephyros Finance S.r.l. following
the placement of this transaction on review for downgrade on 2 March 2011.
The downgrade review followed Moody's initial assessment of this transaction
under the rating implementation guidance entitled "Global Structured Finance
Operational Risk Guidelines: Moody's Approach to Analyzing Performance
Disruption Risk". During the performance review of the Italian
leases transactions, Moody's also identified performance issues,
which ultimately led to the downgrade. For more details on this
rating action, please refer to the separate press release published
on 5 July 2011 "Moody's downgrades to A2(sf) from Aaa(sf) Zephyros
Finance S.r.l. class A2 notes, Italian leases
ABS".
Over the past 12 months, most of the transactions have shown relatively
stable performance. Moody's net default index increased slightly
to 2.6% in April 2011 from 2.5% in April 2010,
while the total delinquencies index dropped to 4% in April 2011from
5% in April 2010. Moody's regularly publishes index for
Italian leasing ABS transactions (see Italian leasing ABS Indices -
April 2011 published on www.moodys.com). Moody's
outlook for the leasing ABS sector in Italy is negative as published on
26 July 2011 in the report entitled "EMEA ABS & RMBS Asset Performance
Outlooks -- July 2011 Update".
PREVIOUS RATING ACTIONS & PRINCIPAL METHODOLOGIES
Moody's principal methodology used in monitoring and rating these transactions
is described in Moody's Approach to Rating Multi-Pool Financial
Lease-Backed Transactions in Italy, published in June 2006.
Please see the Credit Policy page on www.moodys.com for
a copy of this methodology .
List of Transactions Reviewed:
- Intesa Lease Sec. S.r.l.
- F-E Green S.r.l.
- Italease Finance S.p.A. Series 2004-1
(ITA 6)
- Locat Securitisation Vehicle 2 S.r.l.
- Split 2 S.r.l.
- Italease Finance S.p.A. Series 2005-1
(ITA 7)
- Tricolore Funding S.r.l.
- Lombarda Lease Finance 4 S.r.l.
- Vela Lease S.r.l.
- Italfinance Securitisation Vehicle S.r.l.
(ITA 8)
- Locat Securitisation Vehicle 3 S.r.l.
- Pharma Finance 2 S.r.l.
- F-E Gold S.r.l.
- Leasimpresa Finance S.r.l. (LF 2)
- Locat SV S.r.l. - Serie 2006 (LSV4)
- Italfinance Securitisation Vehicle 2 S.r.l.
(ITA 9)
- Italfinance Securitisation Vehicle 2 S.R.L ( ITA
10)
- Medioleasing Finance S.r.l.
- Zephyros Finance S.r.l.
- A-Leasing Finance S.r.l
The lead analyst and rating office for each of the transactions affected
are generally different from the contact and office listed at the end
of this press release. For each transaction, the lead analyst
name is available on the issuer page and the rating office is available
on the ratings tab of the issuer on www.moodys.com.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history.
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
Paris
Anne-Sophie Spirito
Asst Vice President - Analyst
Structured Finance Group
Moody's France SAS
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Paris
Carole Gintz
VP - Senior Credit Officer
Structured Finance Group
Moody's France SAS
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's France SAS
96 Boulevard Haussmann
Paris 75008
France
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's examines 20 Italian lease transactions in periodic performance review