Approximately EUR 3,822 million of debt securities affected
Frankfurt, May 10, 2010 -- Moody's Investors Service has today placed certain classes of notes issued
by the following Italian asset-backed securities (ABS) leasing
transactions on review for possible downgrade:
F-E Gold S.r.l.
Leasimpresa Finance S.r.l.
Locat SV -- Series 2008
Locat SV S.r.l.
Locat Securitisation Vehicle 2 S.r.l.
Locat Securitisation Vehicle 3 S.r.l.
A complete list of the 14 affected tranches can be found at the end of
this press release.
In identifying the six Italian ABS-Leasing transactions for review,
Moody's has taken into account the performance of the collateral
to date, its deviation from Moody's expectations and the levels
of credit enhancement available to absorb losses on the respective portfolios.
Within the Italian ABS-Leasing sector, these transactions
have shown a material negative deviation from Moody's performance
expectations. For more information on the transactions' credit
performance and market comparable data, please refer to their respective
performance overview reports and Moody's Italian Leasing ABS Indices,
both available on www.moodys.com. Moody's outlook
for Italian Leasing ABS is negative as per Moody's EMEA ABS & RMBS:
2009 Review & 2010 Outlook, published January 2010.
The review for downgrade was prompted by either (i) cumulative defaults
as a percentage of the total securitised receivables exceeding Moody's
initial or previously revised assumption, or (ii) the existence
of a principal deficiency ledger (PDL) or (iii) constant high periodic
defaults, or (iv) a combination thereof.
F-E Gold
Cumulative defaults in F-E Gold S.r.l. currently
stand at 7.4% since closing in May 2006, 86%
of Moody's assumption of 8.6% for the life of the
transaction. The current pool factor is 44%.
Leasimpresa Finance Srl
Moody's notes that cumulative defaults in Leasimpresa Finance S.r.l.
have reached 3.3% of the total securitised portfolio since
closing in 2006. Moody's initial assumption was 2.25%.
The current pool factor is 31.5%.
During the review of this transaction, Moody's will also take into
account the reorganisation of Banca Italease S.p.A.
and Leasimpresa S.p.A following the merger with Banco Popolare.
Locat transactions
In three of the four Locat transactions cumulative defaults already exceed
Moody's default assumption over the life of the transaction.
Cumulative defaults as a percentage of the total securitised balance respectively
stand at 4.78%, 6.75%, and 6.0%
in Locat SV S.r.l. -- Series 2008, Locat
Securitisation Vehicle 2 S.r.l., and Locat
Securitisation Vehicle 3 S.r.l. ("Locat SV S.r.l.
- Series 2005"), compared to Moody's assumption of 3.1%,
2.25%, and 5.1% respectively.
Locat SV S.r.l. ("Locat SV S.r.l.
- Series 2006") currently shows a cumulative default level of 5.7%
compared to Moody's assumption of 6.3%, which
had already been increased from 2.9% in 2009.
In addition to the high default levels, Locat SV S.r.l.
and Locat Securitisation Vehicle 3 S.r.l. are exposed
to unpaid PDLs.
The pool factors are 72% for Locat SV S.r.l.
-- Series 2008, 27% for Locat Securitisation Vehicle
2 S.r.l., 33% for Locat Securitisation
Vehicle 3 S.r.l., and 39% for Locat
SV S.r.l..
Economic situation
Italian GDP contracted unexpectedly in Q4 2009, following 0.6%
quarter-on-quarter growth in Q3 2009, when Italy's
economy emerged from five quarters of recession. The outlook for
Italy's economy growth is weak for 2010, before accelerating in
2011, with exports remaining the key growth driver. Corporate
insolvencies rose 20% in 2008 versus 2007 and another 35%-40%
in 2009 compared to 2008. In 2010 Euler-Hermes expects business
insolvencies to increase by 15%, as per the "Euler Hermes
Insolvency Outlook 2009".
As part of its detailed transaction-by-transaction review,
Moody's will reassess the cumulative default rate for the remaining life
of the transaction, reflecting the collateral performance to date
as well as the future macro-economic environment. Moody's
will also request, whenever not already available, updated
data on cumulative defaults and other pool characteristics such as geographic
concentration, origination vintage of the loans and product type.
Where necessary, the rating agency will also try to update its understanding
of current servicing and collection procedures. Moody's expects
to conclude the detailed transaction reviews over the next six months.
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.
The principal methodology used in rating and monitoring the transactions
is "The Lognormal Approach applied to ABS Analysis," published in
July 2000; "Multi-Pool Financial Lease-Backed
Transactions in Italy", published in June 2006; "Moody's
Approach to Rating Granular SME Transactions in Europe, Middle East
and Africa", published in June 2006; 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 issuer can also be found in the Rating Methodologies
sub-directory on Moody's website.
In addition, Moody's publishes a weekly summary of structured finance
credit, ratings and methodologies in "Structured Finance Quick Check"
at www.moodys.com/SFQuickCheck"
Issuer: F-E Gold S.r.l.
....B, Baa1 Placed Under Review for
Possible Downgrade; previously on Jul 22, 2009 Downgraded to
Baa1 from A1
....C, Ba1 Placed Under Review for Possible
Downgrade; previously on Jul 22, 2009 Downgraded to Ba1 from
A3
Issuer: Leasimpresa Finance S.r.l. (LF 2)
....A, Aaa Placed Under Review for Possible
Downgrade; previously on Oct 17, 2006 Definitive Rating Assigned
Aaa
....B, A2 Placed Under Review for Possible
Downgrade; previously on Oct 17, 2006 Definitive Rating Assigned
A2
....C, Baa2 Placed Under Review for
Possible Downgrade; previously on Oct 17, 2006 Definitive Rating
Assigned Baa2
Issuer: Locat SV - Series 2008
....A2, Aaa Placed Under Review for
Possible Downgrade; previously on May 22, 2008 Definitive Rating
Assigned Aaa
....B, Aa3 Placed Under Review for Possible
Downgrade; previously on May 22, 2008 Definitive Rating Assigned
Aa3
....C, A3 Placed Under Review for Possible
Downgrade; previously on May 22, 2008 Definitive Rating Assigned
A3
Issuer: Locat SV S.r.l.
....A2, Aa2 Placed Under Review for
Possible Downgrade; previously on Jun 23, 2009 Downgraded to
Aa2 from Aaa
....B, A3 Placed Under Review for Possible
Downgrade; previously on Jun 23, 2009 Downgraded to A3 from
A2
....C, Ba2 Placed Under Review for Possible
Downgrade; previously on Jun 23, 2009 Downgraded to Ba2 from
Baa2
Issuer: Locat Securitisation Vehicle 2 S.r.l.
....B, A2 Placed Under Review for Possible
Downgrade; previously on Oct 22, 2004 Definitive Rating Assigned
A2
Issuer: Locat Securitisation Vehicle 3 S.r.l.
....B, A2 Placed Under Review for Possible
Downgrade; previously on Nov 21, 2005 Definitive Rating Assigned
A2
....C, Baa3 Placed Under Review for
Possible Downgrade; previously on May 19, 2009 Downgraded to
Baa3 from Baa2
Paris
Carole Gintz
VP - Senior Credit Officer
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Frankfurt
Iris Thate
Asst Vice President - Analyst
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's reviews six Italian ABS-Leasing transactions for downgrade