EUR 2,831.7 million of rated securities affected.
Frankfurt, September 18, 2009 -- Moody's Investors Service has today placed under review for possible downgrade
all classes of notes issued by the following Italian leasing asset-backed
securities (ABS) transactions (the affected transactions):
- Italease Finance S.p.A. Series 2005-1
(ITA 7)
- Italfinance Securitisation Vehicle S.r.l.
(ITA 8)
- Italfinance Securitisation Vehicle 2 S.r.l.
(ITA 9)
- Italfinance Securitisation Vehicle 2 S.R.L (ITA
10)
A complete list of all 12 affected tranches placed under review for possible
downgrade can be found at the end of this press release.
This rating action results from Moody's examination of all outstanding
ABS transactions originated by Banca Italease SpA (Baa3) including Italease
Finance S.p.A. Series 2004-1 (ITA 6) and Italfinance
Securitisation Vehicle S.r.l. (ITA J) which are not
affected by this rating action. The review was prompted by worse
than expected performance combined with the uncertainties surrounding
the restructuring of Banca Italease servicing units following the tender
offer from Banco Popolare (A2/P-1), which now owns 88%
of Banca Italease ordinary shares.
So far, the underlying portfolios of the affected transactions have
experienced higher defaults than Moody's expected and the number of defaulted
leasing contracts has increased steeply since the end of Q1 2009.
Italease Finance S.p.A. Series 2005-1 (ITA
7) reported a cumulative default rate of 3.99% of the securitised
pool balance as of Q2 2009, while Moody's mean default assumption
was in the range of 3.50%-3.90% of
the securitised pool balance over the life of the transaction as of its
last review in October 2008. Furthermore, the transaction
displays a high concentration in the real estate sub-pool which
is accounting for 92% of the outstanding principal balance as of
Q2 2009. Additionally, there is a high borrower concentration
in the real estate sub-pool with the top ten clients accounting
for over 18% of the outstanding real estate sub-pool.
The pool factor is currently 40%.
Italfinance Securitisation Vehicle S.r.l. (ITA 8)
reported a cumulative default rate of 6.07% of the securitised
pool balance as of Q2 2009 while Moody's mean default assumption
was 5.80% of the securitised pool balance over the life
of the transaction at the review in February 2009. The pool factor
is currently 41%.
Italfinance Securitisation Vehicle 2 S.r.l. (ITA
9) reported a cumulative default rate of 3.95% of the securitised
pool balance as of Q2 2009 while Moody's mean default assumption
at closing in March 2007 was 3.20% of the securitised pool
balance over the life of the transaction. The pool factor is currently
71%.
Italfinance Securitisation Vehicle 2 S.R.L (ITA 10) reported
a cumulative default rate of 3.34% of the securitised pool
balance as of Q2 2009, which is double that reported in Q1 2009.
Moody's mean default assumption was 3.75% of the securitised
pool balance over the life of the transaction at closing in May 2008.
The pool factor is currently 66%.
The reserve funds in these transactions have not suffered any drawing
since closing.
Moody's will reassess the cumulative default rate for the remaining life
of these transactions, reflecting the collateral performance to
date as well as the future macro-economic environment in Italy.
Furthermore, Moody's will consider in its analysis the fact
that recoveries on defaulted lease contracts have recently been primarily
derived from Banca Italease S.p.A.'s practice
of repurchasing defaulted receivables. This lowers the net cumulative
default amount and, hence, has a direct impact on the pro-rata
amortisation condition as well as the cash trapping trigger. Additionally,
Moody's will analyse the impact of the restructuring of Banca Italease
on its servicing capacity. Moody's expects to conclude the detailed
transaction reviews within the next six months.
The transactions that were placed on review for possible downgrade were
originated by Banca Italease between 2005 and 2008 and comprise receivables
derived from lease contracts excluding residual value and related cash
flows. The collateral portfolios comprise receivables deriving
from vehicle, equipment and real estate lease contracts.
Moody's ratings address the expected loss posed to investors by the legal
final maturity of the notes. Moody's ratings address only the credit
risks associated with the transactions. Other non-credit
risks have not been addressed, but may have a significant effect
on yield to investors. Moody's will continue to monitor closely
the above transactions. In Moody's opinion, these structures
allow for timely payment of interest and ultimate payment of principal
with respect to the notes by the legal final maturity.
The principal methodology used in rating these transactions was 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 are: "Let The Sun Shine:
Clearing The Air of Legal Issues In Italian Lease-Backed Transactions",
published in September 2002 and "Rejection Risk in Italian Lease-Backed
Securitisation "Passata e' la Tempesta": Moody's Rating Approach
Prior to and Following Recent Legislative Change", published in
September 2004 and 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 publishes
a weekly summary of structured finance credit, ratings and methodologies,
available to all registered users of our website, at www.moodys.com/SFQuickCheck.
DETAILED LIST OF AFFECTED RATINGS
Issuer: Italease Finance S.p.A. Series 2005-1
(ITA 7)
- Class A2 notes, Aaa Placed Under Review for Possible Downgrade;
previously on Oct 16, 2008 Confirmed at Aaa
- Class B notes, Aa3 Placed Under Review for Possible Downgrade;
previously on Oct 16, 2008 Confirmed at Aa3
- Class C notes, A3 Placed Under Review for Possible Downgrade;
previously on Oct 16, 2008 Confirmed at A3
Issuer: Italfinance Securitisation Vehicle S.r.l.
(ITA 8)
- Class A notes, Aa1 Placed Under Review for Possible Downgrade;
previously on Feb 13, 2009 Downgraded to Aa1
- Class B notes, A3 Placed Under Review for Possible Downgrade;
previously on Feb 13, 2009 Downgraded to A3
- Class C notes, Ba3 Placed Under Review for Possible Downgrade;
previously on Feb 13, 2009 Downgraded to Ba3
- Class D notes, B3 Placed Under Review for Possible Downgrade;
previously on Feb 13, 2009 Downgraded to B3
Issuer: Italfinance Securitisation Vehicle 2 S.r.l.
(ITA 9)
- Class A notes, Aaa Placed Under Review for Possible Downgrade;
previously on Mar 1, 2007 Definitive Rating Assigned Aaa
- Class B notes, A3 Placed Under Review for Possible Downgrade;
previously on Jul 11, 2007 Downgraded to A3
- Class C notes, Baa3 Placed Under Review for Possible Downgrade;
previously on Jul 11, 2007 Downgraded to Baa3
- Class D notes, Ba1 Placed Under Review for Possible Downgrade;
previously on Aug 17, 2007 Downgraded to Ba1
Issuer: Italfinance Securitisation Vehicle 2 S.R.L
( ITA 10)
- Class A notes, Aaa Placed Under Review for Possible Downgrade;
previously on May 13, 2008 Assigned Aaa
Frankfurt
Marie-Jeanne Kerschkamp
Managing Director
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Frankfurt
Olimpia da Silva
Associate Analyst
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's reviews certain Banca Italease leasing ABS transactions for possible downgrade