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Announcement:

Moody's updates key collateral assumptions in Italian ABS transactions backed by portfolio of leases and loans to SME

18 Dec 2012

Announcement follows a portfolio review for these asset classes

Frankfurt am Main, December 18, 2012 -- Moody's Investors Service has today announced that it had revised key collateral assumptions in 41 Italian ABS transactions backed by portfolio of leases and loans to small and medium enterprises (SME). In most cases, the new loss assumptions have had no rating impact due to sufficient credit enhancement levels. However, Moody's has taken individual rating actions on a small number of transactions with insufficient credit enhancement. These rating actions have already been announced in separate press releases.

These revisions follow Moody's review of the entire Italian lease and SME ABS sectors and were mainly driven by ongoing collateral performance deterioration fuelled by the deteriorating economic environment in Italy. The revised assumptions relate to the default probability of the underlying pools as well as the expected recovery rates following a default.

Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF311128 to access the list of transactions with the updated assumptions. This list includes the old and revised default probability and recovery assumptions. Revised default probability assumptions are shown both in the percentage of (1) original balance plus replenishments, which corresponds to the cumulative defaults expected over the entire life of the deal; and (2) pool current balance, which corresponds to expected future defaults.

KEY DRIVERS UNDERLYING UPDATED ASSUMPTIONS

-- ASSESSMENT OF THE CREDIT QUALITY OF THE UNDERLYING POOLS

Moody's performed a review of all the transactions in the sector and looked at different indicators to come up with the revised assumptions.

To revise the default probability assumptions, Moody's took into account the performance of each transaction through a roll rate analysis based on the delinquency buckets information. The rating agency assumed for each bucket a certain percentage of loans to roll into default. Moody's also looked for each transaction at the implied default probability rating of the underlying pool over its remaining weighted average life. Finally, the rating agency benchmarked assumptions of all transactions against each other for consistency across the sector. Ultimately, Moody's new default assumptions generally reflect an implied default probability rating in the low Ba/high single B range for the best performing pools, in the mid-single B range for the average deals and in the low single B range for the worse performers. For the most recent transactions that perform in line with expectations, the mean default assumption on current balance was not updated in order to keep the same implied default probability rating as at closing over a weighted average life of the pool that also remained constant since closing.

To revise the recovery rate assumptions, Moody's analysed historical recovery data for each transaction, as well as the portfolio composition in terms of asset and guarantee types. Moody's also harmonised recovery rates, assuming fixed recovery values instead of stochastic ones.

-- OUTLOOK FOR ITALIAN LEASES AND SME TRANSACTIONS

Moody's updated assumptions also reflect its negative outlook for Italian Leasing and SME collateral (see "European ABS and RMBS: 2013 Outlooks ", December 2012).

Delinquencies and defaults show a negative trend in the leasing and SME sectors according to the latest Italian Leasing ABS Indices published by Moody's in July 2012 (http://www.moodys.com/research/Italian-Leasing-ABS-Indices-July-2012--PBS_SF304955). Moody's cumulative default index for leasing deals (as a percentage of original balance plus cumulated replenishments) rose to 5.6% in July 2012, showing a 16% year-on-year increase from 4.82% in July 2011. The total delinquencies index, as of current pool balance, showed a 14.6% quarter-on-quarter increase to 6.3% in July 2012 from 5.5% in April 2012. As far as Italian SME deals are concerned, the 90+ day delinquency index rose sharply to 4.9% in October 2012 from 0.9% in October 2011.

The rating agency expects that continued weak domestic demand will weaken SME revenues and increase borrower defaults. Moody's expects Italian GDP to contract by 2.4% in 2012 (see "Credit Opinion: Government of Italy", October 2012), which will likely drive up leases and loans to SME in arrears.

-- OUTLOOK FOR THE ITALIAN ECONOMY IN GENERAL

Moody's expects that the Italian economy will contract and the annual average unemployment rate will rise to 10.5% in 2012, increasing by a further 0.5% in 2013 (see "Update to the Global Macro-Risk Outlook 2012-14: Slow Adjustment to Weigh on Growth", 12 November 2012).

On 21 August 2012, Moody's released a Request for Comment seeking market feedback on proposed adjustments to its modelling assumptions. These adjustments are designed to account for the impact of rapid and significant country credit deterioration on structured finance transactions. If the adjusted approach is implemented as proposed, the rating of the notes affected by today announcement may be negatively affected. See "Approach to Assessing the Impact of a Rapid Country Credit Deterioration on Structured Finance Transactions", (http://www.moodys.com/research/Approach-to-Assessing-the-Impact-of-a-Rapid-Country-Credit--PBS_SF294880) for further details regarding the implications of the proposed methodology changes on Moody's ratings.

In addition to the information provided below please find on 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 each of the ratings.

Ludovic?Thebault
Analyst
Structured Finance Group
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Carole Gintz
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Anne-Sophie Spirito
AVP - Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Releasing Office:
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's updates key collateral assumptions in Italian ABS transactions backed by portfolio of leases and loans to SME
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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