Madrid, August 05, 2016 -- Moody's Investors Service has today upgraded the rating of the Class B
notes of Medioleasing Finance S.r.l. to B2(sf) from
B3(sf). This rating action follows the recent repurchase of the
non-performing loans and subsequent increase of credit enhancement
through overcollateralization.
Issuer: Medioleasing Finance S.r.l
....EUR105.4M Class B Notes,
upgraded to B2(sf); previously on February 24, 2015 Upgraded
to B3(sf)
Medioleasing Finance S.r.l closed in May 2008. The
portfolio comprises three pools of Italian financial-lease contracts
backed by auto, equipment and real-estate assets.
The securitised pool is mainly exposed to real-estate contracts.
The split between the three sub-pools (as of the last reporting
date in July 2016) was 23.5% for equipment, 0.1%
for auto and 76.4% for real estate. It is serviced
by Medioleasing S.p.A., which is fully owned
by Nuova Banca delle Marche S.p.A. (unrated).
RATINGS RATIONALE
Today's upgrade reflects the transaction's deleveraging following
the recent repurchase, and the subsequent build-up of credit
enhancement through overcollateralization.
INCREASED CREDIT ENHANCEMENT
On 21 June 2016 the Originator repurchased, on a non-recourse
basis, a set of claims that as of 30 September 2015 were classified
as non-performing ("in sofferenza" according to "Circolare della
Banca d'Italia n. 272 del 30 luglio 2008" and subsequent amendments).
The purchase price was around EUR51.5 million, which was
equal to the par amount plus accrued interest, as of the date on
which the loan was classified as non-performing, less any
subsequent recovery. The proceeds from the repurchase have become
part of the available fund to repay the senior Class A notes in July 2016.
The quick deleveraging of the transaction leads to overcollateralization,
i.e., the outstanding portfolio is larger than the
total notes it backs. As of July 2016 the outstanding portfolio
(excluding the defaulted loans) is 215.8mln and the sum of Class
A and B notes is only 157 million, implying a high overcollateralization
of 27% over the current pool.
Besides the overcollateralization as credit enhancement, there is
also a reserve fund available in this transactions, which is amortizing
and target at 20% of the class A notes' balance. However
it should mostly benefit to the Class A notes as it will not be available
anymore once Class A notes are fully repaid.
REVISION OF KEY COLLATERAL ASSUMPTIONS
As part of the rating action, Moody's reassessed its default
probability (DP) and recovery rate assumption for the portfolio reflecting
the portfolio composition and collateral performance to date. Currently,
the transaction pool factor has reduced to 53% of the initial pool
balance. In July 2016 the total delinquencies stood at 2.3%
of the current pool balance and the reported cumulative gross default
rate rose to 18.4% of total securitized pool (original pool
balance plus replenishments). Moody's kept the expected DP
at 18.0% of the current portfolio balance and the assumption
for recovery rate at 45%. Moody's also left the coefficient
of variation unchanged at 46.1%, corresponding to
a portfolio credit enhancement of 25.5%.
EXPOSURE TO COUNTERPARTY RISK
Moody's has also reviewed the exposure to Medioleasing S.p.A.
(unrated), which acts as servicer; Nuova Banca delle Marche
S.p.A. (unrated) as the collection account;
and BNP Baribas Securities Services (deposit rating A1/P1) as issuer account
bank. The related counterparty exposure does not constrain any
of the updates. There is no swap in Medioleasing Finance S.r.l
transaction.
METHODOLOGY
The principal methodology used in this rating was "Moody's
Approach to Rating ABS Backed by Equipment Leases and Loans" published
in December 2015. Please see the Ratings Methodologies page on
www.moodys.com for a copy of this methodology.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
Factors or circumstances that could lead to an upgrade of the rating 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's counterparties;
and (4) a decrease in sovereign risk.
Factors or circumstances that could lead to a downgrade of the rating
are (1) an increase in sovereign risk (2) worse-than-expected
performance of the underlying collateral; (3) deterioration in the
notes' available CE; and (4) deterioration in the credit quality
of the transaction counterparties.
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.
Antonio Tena
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Michelangelo Margaria
Senior Vice President/Manager
Structured Finance Group
Telephone:+39-02-9148-1100
Releasing Office:
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454