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I AGREE
04 Apr 2017
London, 04 April 2017 -- Moody's Investors Service has today upgraded the ratings of 15 tranches
and affirmed the ratings of 10 tranches in 10 Italian ABS SME and Leasing
transactions. The rating action reflects the increased levels of
credit enhancement for the affected notes as a result of deleveraging.
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF450536
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and identifies each affected issuer.
Maximum achievable rating is Aa2(sf) for structured transactions in Italy,
driven by Local Currency Ceiling (Aa2) of the country.
RATINGS RATIONALE
The rating upgrades are prompted by deals deleveraging resulting in an
increase in credit enhancement for the affected tranches as well as portfolio
performances in line with the expectations.
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF450536
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and identifies each affected issuer.
As part of the analysis Moody's incorporated borrower concentration
analysis as well as additional sensitivity scenarios. Class C of
Locat SV S.r.l. - Serie 2006 (LSV4) and Class
C of Pharma Finance 2 S.r.l. ratings are constrained
at B2(sf) and Baa3(sf) respectively due to borrower concentrations.
Mezzanine and junior notes rating in Alba 7 SPV S.r.l.,
ALBA 8 SPV S.r.l., Siena Lease 2016-2
S.R.L. and SIENA PMI 2015 S.r.l.
result from sensitivity scenario analysis.
In addition to the primary methodologies used, the Credit Ratings
for 25 tranches in 10 Italian SME and Lease transactions were assigned
in accordance with Moody's existing Methodologies when assessing counterparties
risks in Structured Finance transactions. Please note that on March
22 2017, Moody's released a Request for Comment, in
which it has requested market feedback on potential revisions to its Methodologies
for the assessment of the counterparties risks. If the revised
Methodology is implemented as proposed, the Credit Ratings on the
10 issuers may be affected. Please refer to Moody's Request
for Comment, titled " Moody's Proposes Revisions to its Approach
to Assessing Counterparty Risks in Structured Finance" for further
details regarding the implications of the proposed Methodology revisions
on certain Credit Ratings.
REVISION OF KEY COLLATERAL ASSUMPTIONS
As part of the rating action Moody's reassessed key collateral assumptions:
default probability, recovery rate, portfolio credit enhancement
and coefficient of variation. The assumptions were revised based
on the latest loan by loan data of the underlying pools. The full
list of the revised assumptions can also be seen in the supporting file
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF450536.
COUNTERPARTY EXPOSURE
Today's rating action took into consideration the notes' exposure to relevant
counterparties, such as servicer, account banks or swap providers.
Moody's considered how the liquidity available in the transactions and
other mitigants support continuity of note payments, in case of
servicer default, using the CR Assessment as a reference point for
servicers. The rating of the notes are not constrained by operational
risk.
Moody's matches banks' exposure in structured finance transactions to
the CR Assessment for commingling risk, and to the bank deposit
rating when analyzing set-off risk. Moody's has introduced
a recovery rate assumption of 45% for both exposures.
In addition, Moody's assessed the default probability of the
account bank providers by referencing the bank's deposit rating.
The ratings of the notes are not constrained by the issuer account bank
exposure nor eligible investments exposure.
Swap counterparty exposure was also assessed. Moody's considered
the risks of additional losses on the notes if they were to become unhedged
following a swap counterparty default by using CR Assessment as reference
point for swap counterparties.
PRINCIPAL METHODOLOGIES:
The principal methodologies used in these ratings were "Moody's
Approach to Rating ABS Backed by Equipment Leases and Loans" published
in December 2015 for ABS SME Leases and "Moody's Global Approach
to Rating SME Balance Sheet Securitization" published in October
2015 for ABS SME transactions. Please see the Rating Methodologies
page on www.moodys.com for a copy of these methodologies.
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) reduction in sovereign risk.
Factors or circumstances that could lead to a downgrade of the ratings
include: (1) performance of the underlying collateral that is worse
than Moody's expected, (2) deterioration in the notes' available
credit enhancement, (3) deterioration in the credit quality of the
transaction counterparties, and (4) an increase in sovereign risk.
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.
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.
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.
Daliya Nureeva
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
Mehdi Ababou
VP - Senior Credit Officer
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
No Related Data.
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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.
MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.
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