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I AGREE
01 Jun 2018
Madrid, June 01, 2018 -- Moody's Investors Service ("Moody's") has today placed on review
for downgrade 3 tranches in 3 Italian Healthcare ABS deals (POSILLIPO
FINANCE II S.R.L. SERIES 2007-1, POSILLIPO
FINANCE S.R.L. and D'Annunzio S.r.l.)
following the recent action taken on transactions' obligors, the
regions of Campania and Abruzzo, respectively. At the same
time, Moody's also placed on review for downgrade the underlying
ratings of the two tranches in POSILLIPO FINANCE II S.R.L.
SERIES 2007-1 and affirmed the rating of the tranche A2 wrapped
by Assured Guarantee (Europe) Ltd.
Issuer: D'Annunzio S.r.l.
....EUR327.4M (Current outstanding
amount of EUR65.5M) Class A Notes, Baa3 (sf) Placed Under
Review for Possible Downgrade; previously on Jul 3, 2015 Upgraded
to Baa3 (sf)
Issuer: POSILLIPO FINANCE II S.R.L. SERIES
2007-1
....EUR870M (Current outstanding amount of
EUR680.4M) Class A1 Notes, Ba1 (sf) Placed Under Review for
Possible Downgrade; previously on Jun 6, 2013 Downgraded to
Ba1 (sf)
........Underlying
Rating: Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 6, 2013 Downgraded to Ba1 (sf)
....EUR870M (Current outstanding amount of
EUR680.4M) Class A2 Notes, Affirmed A2 (sf); previously
on Jun 6, 2013 Affirmed A2 (sf)
........Underlying
Rating: Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 6, 2013 Downgraded to Ba1 (sf)
Issuer: POSILLIPO FINANCE S.R.L.
....EUR452.7M (Current outstanding
amount of EUR348.1M) Series 2007-1 Asset-Backed Floating
Rate Notes due 2035, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on May 24, 2016 Upgraded to Ba1 (sf)
RATINGS RATIONALE
Today's rating action reflects the weakening credit quality of the transactions'
obligors, the Region of Campania (for POSILLIPO FINANCE S.R.L.
and POSILLIPO FINANCE II S.R.L. SERIES 2007-1)
and Abruzzo (for D'Annunzio S.r.l.), which
the rating agency placed on review for downgrade (see http://www.moodys.com/viewresearchdoc.aspx?docid=PR_384086).
The ratings of the notes placed on review for downgrade are fully linked
to the rating of the Italian regions acting as obligors in each transaction.
Counterparty exposure:
Today's rating action took into consideration the notes' exposure to relevant
counterparties, such as servicer, account banks or swap providers.
Moody's considered how the liquidity available in the transactions and
other mitigants support continuity of notes payments, in case of
servicer default, using the CR Assessment as a reference point for
servicers.
Moody's also assessed the default probability of the account bank providers
by referencing the bank's deposit rating.
Moody's assessed the exposure to the swap counterparties. Moody's
considered the risks of additional losses on the notes if they were to
become unhedged following a swap counterparty default by using CR Assessment
as reference point for swap counterparties.
The principal methodology used in these ratings was "Moody's Approach
to Rating Repackaged Securities" published in June 2015. Please
see the Rating Methodologies page on www.moodys.com for
a copy of this methodology.
Factors that would lead to an upgrade or downgrade of the ratings:
Factors or circumstances that could lead to an upgrade of the ratings
include: (1) performance of the underlying collateral that is better
than Moody's expected, (2) deleveraging of the capital structure,
(3) improvements in the credit quality of the transaction counterparties,
and (4) reduction in sovereign risk.
Factors or circumstances that could lead to a downgrade of the ratings
include: (1) performance of the underlying collateral that is worse
than Moody's expected, (2) deterioration in the notes' available
credit enhancement, (3) deterioration in the credit quality of the
transaction counterparties, and (4) an increase in sovereign risk.
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 quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
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
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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.
Angel Jimenez
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
Client Service: 44 20 7772 5454
Mehdi Ababou
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 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
Client Service: 44 20 7772 5454
No Related Data.
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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.
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