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01 Oct 2010
EUR 87,5 million of debt securities affected
Frankfurt am Main, October 01, 2010 -- Moody's Investors Service has today placed on review for possible upgrade
the class B and C notes issued by Asset-Backed European Securitisation
Transaction Two S.r.l. (ABEST 2):
- EUR37.5 million B Notes, Aa3 (sf) Placed Under Review
for Possible Upgrade; previously on Nov 4, 2005 Definitive
Rating Assigned Aa3 (sf)
- EUR50 million C Notes, Baa1 (sf) Placed Under Review for
Possible Upgrade; previously on Nov 4, 2005 Definitive Rating
Assigned Baa1 (sf)
Today's rating action follows Moody's periodic performance review of European
auto loan and lease asset-backed securities (ABS) outside of Germany
and Austria (which have been reviewed separately). The rating action
reflects the low delinquency and default levels observed in the affected
transaction despite the stressful economic environment over the past two
As part of the performance review, Moody's considered the following
four indicators when evaluating the portfolio performance of auto loan
and lease ABS:
(i) The amount of cumulative defaults or losses that have already occurred
compared with the latest default or loss assumptions
(ii) The evolution of credit enhancement since closing
(iii) Projections of future defaults and losses in a stressed scenario
(iv) The comparison between these projected defaults or losses and the
credit enhancement level over time.
Moody's notes that the overall portfolio performance is --
on average -- in line with the rating agency's expectations.
However, Moody's identified one positive outlier clearly exceeding
the expectations based on the performance indicators mentioned above.
TRANSACTION PERFORMANCE AS OF THE DATE OF THE REVIEW
ABEST 2 closed in November 2005 and securitised Italian auto loan receivables
originated by FGA Capital S.p.A. (rated Baa3),
a joint venture between Credit Agricole S.A (rated Aa1/P-1).
and Fiat S.p.A. (rated Ba1). The initial three-year
revolving period ended in January 2009. As of the last performance
report (July 2010), cumulative defaults reached 0.77%
of total securitized assets compared with an initial assumption of 2.25%.
The pool factor of the total securitized assets is 11%.
Moody's has not observed any reduction of credit enhancement since closing
in the form of negative excess spread or principal deficiencies.
Moreover, the initial credit enhancement levels of the class B and
class C notes provided by subordination have almost tripled since closing
to reach 23.58% and 11.79%, respectively,
as of last reporting date compared with 8.67% and 4.54%
at closing. In Moody's opinion the combination of a low level of
cumulative defaults and deleveraging reflects the transaction's greater
capacity to suffer relatively higher future losses compared with the original
In addition to the transaction specific analysis, Moody's also analysed
the macroeconomic factors that influence a borrower's ability to repay
its debt, such as: GDP growth, the unemployment rate
or household indebtedness. Taking the moderate recovery,
the slightly decreasing unemployment rate and the low level of household
indebtedness in Italy into account, Moody's believes that the current
macroeconomic environment should not have a strong negative effect on
the asset performance of ABEST 2's portfolio.
As part of the detailed transaction review, Moody's will reassess
the cumulative default and loss rate for the remaining life of the transaction,
reflecting the collateral performance to date as well as the future macroeconomic
environment. Moody's will also request, whenever not already
available, updated data on pool characteristics such as geographic
concentration, origination vintage of the loans and product type.
Where necessary, the rating agency will also seek to keep abreast
of current servicing and collection procedures. Moody's expects
to conclude the detailed transaction reviews over the next six months.
The principal methodology used in rating and monitoring the transactions
is "The Lognormal Approach 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 these transactions
can also be found in the Rating Methodologies sub-directory on
In addition, Moody's publishes a weekly summary of structured finance
credit, ratings and methodologies in "Structured Finance Quick Check"
Frankfurt am Main
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
VP - Senior Credit Officer
Structured Finance Group
Moody's France SAS
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Deutschland GmbH
Moody's places two notes of ABEST Two S.r.l., Italian auto ABS, on review for possible upgrade
An der Welle 5
Frankfurt am Main 60322
No Related Data.
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