London, 19 January 2018 -- Moody's Investors Service ("Moody's") announced today that it has taken
rating actions on the following classes of notes:
Issuer: Italfinance Securitisation Vehicle S.r.l.
(ITA 8)
....EUR83M (Current Outstanding balance:
EUR 261,898.20) Class B Notes, Upgraded to Aa2 (sf);
previously on Dec 19, 2016 Upgraded to A1 (sf)
....EUR56M (Current Outstanding balance:
EUR 176,674.40) Class C Notes, Upgraded to Aa2 (sf);
previously on Dec 19, 2016 Upgraded to A3 (sf)
....EUR18.5M (Current Outstanding balance:
EUR 58,424.85) Class D Notes, Upgraded to Aa2 (sf);
previously on Dec 19, 2016 Upgraded to A3 (sf)
Moody's also affirmed the rating of following tranche of Italfinance
Securitisation Vehicle S.r.l. (ITA 8):
....EUR959M (Current Outstanding balance:
EUR1,434,376.30) Class A Notes, Affirmed Aa2
(sf); previously on Dec 19, 2016 Upgraded to Aa2 (sf)
Issuer: Italfinance Securitisation Vehicle 2 S.r.l.
(ITA 9)
The Current Outstanding balances are as of the 16 October 2017 payment
date.
....EUR1442.4M (Current Outstanding
balance: EUR 55,555,190) Class A Notes, Upgraded
to A1 (sf); previously on Dec 19, 2016 Upgraded to A2 (sf)
....EUR27.9M (Current Outstanding balance:
EUR 2,446,141) Class D Notes, Upgraded to Ba3 (sf);
previously on Dec 19, 2016 Affirmed B1 (sf)
Moody's also affirmed the ratings of following tranches of Italfinance
Securitisation Vehicle 2 S.r.l. (ITA 9):
....EUR125M (Current Outstanding balance:
EUR 10,939,738) Class B Notes, Affirmed Baa3 (sf);
previously on Dec 19, 2016 Upgraded to Baa3 (sf)
....EUR84.3M (Current Outstanding balance:
EUR 7,376,520) Class C Notes, Affirmed Ba2 (sf);
previously on Dec 19, 2016 Upgraded to Ba2 (sf)
Italfinance Securitisation Vehicle S.r.l. (ITA 8)
is a securitisation of lease receivables originated by Banca Italease
S.p.A. and granted to individual entrepreneurs and
small and medium-sized enterprises (SME) domiciled in Italy.
The securitized portfolio does not include the so-called "residual
value instalment", i.e. the final instalment amount
to be paid by the lessee (if option is chosen) to acquire full ownership
of the leased asset. The residual value instalments are not financed
- i.e. it is not accounted for in the portfolio purchase
price - and is returned back to the originator when and if paid
by the borrowers.
Italfinance Securitisation Vehicle 2 S.r.l. (ITA
9) is a securitisation of lease receivables originated by Banca Italease
S.p.A. and granted to individual entrepreneurs and
small and medium-sized enterprises (SME) domiciled in Italy.
The assets are represented by receivables belonging to different sub-pools:
real estate (38.21%), Construction & Building
(13.60%) and Capital Equipment (7.10%).
The securitized portfolio does not include the so-called "residual
value instalment", i.e. the final instalment amount
to be paid by the lessee (if option is chosen) to acquire full ownership
of the leased asset. The residual value instalments are not financed
- i.e. it is not accounted for in the portfolio purchase
price - and is returned back to the originator when and if paid
by the borrowers.
RATINGS RATIONALE
The rating actions are prompted by the good performance and deleveraging
of the underlying leases in each transaction. The pool factors
of the transactions are; 0.58% for ITA 8 and 3.78%
for ITA 9.
Moody's reassessed the default probability of the transactions'
account bank provider by referencing the bank's deposit rating.
The ratings of the notes are constrained by the issuer account bank exposure
in accordance with Moody's updated approach in assessing the risk
posed by the linkage to the issuer account bank as part of the consolidated
methodology to evaluating counterparty risks in structured finance transactions
published in July 2017 (http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_1038135).
Revision of key collateral assumption
The pool of ITA 8 has amortised steadily so that only EUR8.79 million
remain. As part of the analysis, Moody's maintained
the current balance default probability assumption at 20.89%
and fixed recovery rate of 50%. These assumptions together
with portfolio credit enhancement of 36% result in coefficient
of variation of 77.09%.
The performance of ITA 9 like that of ITA 8 is characterized by the amortisation
of the underlying pool. Similarly, Moody's maintained
the current balance default probability assumption at 14% and fixed
recovery rate of 50%. These assumptions together with portfolio
credit enhancement of 36% result in coefficient of variation of
77.07%.
Principal Methodology:
The principal methodology used in these ratings was "Moody's Approach
to Rating ABS Backed by Equipment Leases and Loans" published in December
2015. Please see the Rating Methodologies page on www.moodys.com
for a copy of this methodology.
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.
Bongani Dlamini
Asst Vice President - 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
Mehdi Ababou
VP - Senior Credit Officer
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
