London, 25 October 2018 -- Moody's Investors Service ("Moody's") has today downgraded
the ratings of 123 tranches, placed on review for upgrade two tranches
and affirmed 34 tranches in 84 Italian residential mortgage-backed
securities (RMBS), auto asset-backed securities (ABS),
consumer loan ABS and consumer CDQ ABS deals.
The rating actions were prompted by the rating agency's lowering of Italy's
local-currency bond ceiling to Aa3 from Aa2.
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF475319
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and identifies each affected issuer.
RATINGS RATIONALE
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF475319
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and provides, for each of the credit
ratings covered, Moody's disclosures on the following items:
• Principal Methodologies Used
• Key Rationale for Action
• Constraining factors on the ratings
Each of the rating actions listed in the List of Affected Credit Ratings
was taken because of one or more of the rating rationales described in
detail in the press release.
Moody's affirmed the ratings of the Notes that had sufficient credit enhancement
to maintain the current rating on the affected Notes.
Lowering in the local-currency country ceiling:
Today's rating action on various Italian RMBS, auto ABS, consumer
loan ABS and consumer CDQ ABS deals follows Moody's lowering of Italy's
local-currency bond ceiling to Aa3 from Aa2, which follows
the downgrade of the Government of Italy's bond rating to Baa3 with
stable outlook from Baa2 under review for downgrade. As a result,
the Italian structured finance ratings are now capped at Italy's local
currency bond ceiling of Aa3.
For full details, please refer to the sovereign press release:
http://www.moodys.com/viewresearchdoc.aspx?docid=PR_390302.
Increased levels of credit enhancement:
Moody's considered the credit enhancement available for each class of
Notes. Sequential amortisation led to the increase in the credit
enhancement available.
Counterparty exposure
Following the downgrade of the Government of Italy's bond rating,
some Italian banks' long-term deposit bank ratings and Counterparty
Risk Assessments (CR assessments) were also downgraded. Full details
of the banks' ratings downgrades can be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PR_390365.
Today's rating action took into consideration the Notes' exposure to relevant
counterparties, such as servicers or swap providers.
Moody's considered how the liquidity available in the transactions and
other mitigants support continuity of the Notes' payments,
in case of servicer default, using the CR assessment as a reference
point for servicers.
Moody's assessed investment risk and determines the rating cap to apply
to the structured finance transactions based on rating of investments.
Today's action also reflects the linkage of the Counterparty Instrument
Rating ("CIR") of the Commingling Reserve Facility of Asset-Backed
European Securitisation Transaction Fifteen S.r.l ("ABEST
15") to FCA Bank S.p.A's ("FCAB") long-term
CR assessment. This concludes the placement on review for downgrade
of the CIR of the Commingling Reserve Facility on 11 June 2018.
ABEST 15 is a revolving cash securitisation of auto loan receivables extended
by FCAB to obligors located in Italy. The transaction is structured
with a Commingling Reserve Facility extended by FCAB to mitigate commingling
risks.
The CIR on the Commingling Reserve Facility Rating is strongly linked
to FCAB's CR assessment. If FCAB were to become insolvent,
then the commingling reserve could be drawn to cover collections not transferred
to the Issuer and in that case the Commingling Reserve Facility would
not be repaid in full.
For further details, please see "Moody's Approach to Counterparty
Instrument Ratings" published in June 2015.
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) 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) a decrease in sovereign risk.
Factors or circumstances that could lead to a downgrade of the ratings
include (1) an increase in sovereign risk 2) performance of the underlying
collateral that is worse than Moody's expected, (3) deterioration
in the notes' available credit enhancement and (4) deterioration in the
credit quality of the transaction counterparties.
REGULATORY DISCLOSURES
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF475319
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and provides, for each of the credit
ratings covered, Moody's disclosures on the following items:
• Lead Analyst
• Person Approving the Credit Rating
• Releasing Office
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
support from the primary entity(ies) of this credit rating action,
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.
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 rating 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.
Lam Tran Ngoc
Analyst
Structured Finance Group
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Gaby Trinkaus
Vice President - Senior Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Masako Oshima
Associate Managing Director
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Antonio Tena
VP-Senior Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 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
Client Service: 44 20 7772 5454
