London, 27 November 2015 -- Moody's Investors Service has today upgraded the ratings of four notes,
confirmed the rating of one note and affirmed the ratings of six notes
in four Italian mortgage-backed securities (RMBS) transactions:
Apulia Finance N. 4 S.r.l., F-E
Mortgages S.r.l., F-E Mortgages S.r.l.
2005 and Heliconus S.r.l.
Today's rating actions conclude the placement on review of five notes
on 3 November 2015 (link: http://www.moodys.com/viewresearchdoc.aspx?docid=PR_337948).
Please refer to the end of the Ratings Rationale section for a list of
affected ratings.
RATINGS RATIONALE
Today's rating upgrades reflect a deleveraging in the transactions and
the resulting increase of the credit enhancement available, as well
as the reduced uncertainty related to the collateral assumptions of these
seasoned portfolios.
Today's affirmations reflect Moody's view that the available credit enhancement
is sufficient to maintain the current ratings on the affected notes.
Today's confirmation of the Class C in Apulia Finance N.
4 S.r.l. reflects Moody's view that the available
credit enhancement is commensurate with current ratings on the affected
notes despite the mildly deteriorating performance.
--DELEVERAGING OF TRANSACTIONS
Repayment of principal collections has contributed to increase credit
enhancement available in the four transactions reviewed today.
-- REVISION OF KEY COLLATERAL ASSUMPTIONS AND REDUCED UNCERTAINTY
In Apulia Finance N. 4 S.r.l. Moody's reassessed
its lifetime loss expectation on 3 November 2015, taking into account
the transactions' underlying collateral performance to date. We
increased our Expected Loss (EL) assumption as a percentage of the original
pool balance to 5.6% from 5.1% due to a worse
performance than expected. The cumulative defaults have built up
to 8.2% over original pool balance as of October 2015 from
7.7% in January 2015, data considered in the rating
action on 1 April 2015.
In F-E Mortgages S.r.l., F-E
Mortgages S.r.l. 2005 and Heliconus S.r.l.
we have kept the current EL assumption over original balance at 3.5%,
3.8% and 2.7% respectively.
We have kept the MILAN CE assumptions in the 4 transactions: 14.3%
in Apulia Finance N. 4 S.r.l., 13%
in F-E Mortgages S.r.l. and Heliconus S.r.l.
and 11.70% in F-E Mortgages S.r.l.
2005.
In addition, for F-E Mortgages S.r.l.,
F-E Mortagages S.r.l. 2005 and Heliconus S.r.l.,
given the recent more favorable economic conditions (low interest rates,
slightly higher GDP growth and slightly improved unemployment rate) as
well as stability in the delinquencies and defaults of the Italian RMBS
market we believe uncertainty in the sector in general, and in these
three seasoned transactions in particular, has diminished.
Due to the reduced uncertainty in the sector, we have removed the
additional stress analysis of key collateral assumptions.
-- COUNTERPARTY RISK EXPOSURE
Today's rating actions took into consideration the notes' exposure to
relevant counterparties, such as servicers, account banks
or swap providers.
--PRINCIPAL METHODOLOGY:
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework," published in January
2015. Please see the Credit Policy page on www.moodys.com
for a copy of this methodology.
The analysis undertaken by Moody's at the initial assignment of
ratings for RMBS securities may focus on aspects that become less relevant
or typically remain unchanged during the surveillance stage. Please
see Moody's Approach to Rating RMBS Using the MILAN Framework for
further information on Moody's analysis at the initial rating assignment
and the on-going surveillance in RMBS.
--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) decrease in sovereign risk; (2) better-than-expected
performance of the underlying collateral; (3) deleveraging of the
capital structure; and (4) improvements in the credit quality of
the transaction counterparties.
Factors or circumstances that could lead to a downgrade of the ratings
include (1) an increase in sovereign risk; (2) worse-than-expected
performance of the underlying collateral; (3) deterioration in the
notes' available credit enhancement; and (4) deterioration in the
credit quality of the transaction counterparties.
List of Affected Ratings:
Issuer: Apulia Finance N. 4 S.r.l.
....EUR346.9M Class A Notes,
Affirmed Aa2 (sf); previously on Apr 1, 2015 Upgraded to Aa2
(sf)
....EUR11.3M Class B Notes, Affirmed
Aa2 (sf); previously on Apr 1, 2015 Upgraded to Aa2 (sf)
....EUR19.1M Class C Notes, Confirmed
at Baa2 (sf); previously on Nov 3, 2015 Baa2 (sf) Placed Under
Review for Possible Downgrade
Issuer: F-E Mortgages S.r.l.
....EUR682M Class A1 Notes, Affirmed
Aa2 (sf); previously on Mar 24, 2015 Upgraded to Aa2 (sf)
....EUR48M Class B Notes, Upgraded to
Aa2 (sf); previously on Nov 3, 2015 A1 (sf) Placed Under Review
for Possible Upgrade
....EUR11M Class C Notes, Upgraded to
Baa1 (sf); previously on Nov 3, 2015 Baa2 (sf) Placed Under
Review for Possible Upgrade
Issuer: F-E Mortgages S.r.l. 2005
....EUR951.6M Class A Notes,
Affirmed Aa2 (sf); previously on Mar 24, 2015 Upgraded to Aa2
(sf)
....EUR41.1M Class B Notes, Affirmed
Aa2 (sf); previously on Mar 24, 2015 Upgraded to Aa2 (sf)
....EUR36M Class C Notes, Upgraded to
A2 (sf); previously on Nov 3, 2015 Baa1 (sf) Placed Under Review
for Possible Upgrade
Issuer: Heliconus S.r.l.
....EUR369M Class A Notes, Affirmed
Aa2 (sf); previously on Mar 25, 2015 Upgraded to Aa2 (sf)
....EUR30.8M Class B Notes, Upgraded
to Aa2 (sf); previously on Nov 3, 2015 A1 (sf) Placed Under
Review for Possible Upgrade
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.
The analysis includes an assessment of collateral characteristics and
performance to determine the expected collateral loss or a range of expected
collateral losses or cash flows to the rated instruments. As a
second step, Moody's estimates expected collateral losses or cash
flows using a quantitative tool that takes into account credit enhancement,
loss allocation and other structural features, to derive the expected
loss for each rated instrument.
In rating this transaction, Moody's used a cash flow model
to model cash flow stress scenarios to determine the extent to which investors
would receive timely payments of interest and principal in the stress
scenarios, given the transaction structure and collateral composition.
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 rating action on the support provider and in relation to each particular
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
support from the primary entity(ies) of this rating action, and
whose ratings may change as a result of this 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.
The below contact information is provided for information purposes only.
Please see the ratings tab of the issuer page at www.moodys.com,
for each of the ratings covered, Moody's disclosures on the
lead analyst and the Moody's legal entity that has issued the ratings.
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.
Alexander Roll
Associate Analyst
Structured Finance Group
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
Christophe de Noaillat
MD - Structured Finance
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Cristina Quintana
Associate Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
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
Moody's takes rating actions in four Italian RMBS deals
