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Rating Action:

Moody's upgrades ratings in three Italian healthcare ABS transactions

03 Jul 2015

Upgrades reflect positive rating action on swap counterparty, Dexia Crediop S.p.A.

London, 03 July 2015 -- Moody's Investors Service has today upgraded its ratings in three Italian asset-backed securities (ABS) transactions whose portfolios comprise healthcare receivables. Specifically, we have upgraded:

- Cartesio S.r.l. - Series 2003-1's (Cartesio 2003) tranches 1, 2, 3, 4 and 5 to Ba3(sf) from B1(sf), on review for upgrade;

- D'Annunzio S.r.l.'s (D'Annunzio) Class A notes to Baa3(sf) from Ba1(sf), on review for upgrade; and

- Posillipo Finance S.r.l.'s (Posillipo) Series 2007-1 Asset-Backed Floating Rates Notes due 2035 to Ba2(sf) from Ba3(sf), on review for upgrade.

The aforementioned upgrades conclude the review that Moody's initiated on these three transactions on 20 March 2015 (see "Moody's takes actions on multiple EMEA RMBS and ABS notes' ratings"). A full list of affected ratings can be found at the end of the ratings rationale section.

RATINGS RATIONALE

Today's positive rating actions follow Moody's upgrade of one of the transactions' swap counterparties, Dexia Crediop S.p.A., to Ba3 from B2, on watch for upgrade and the assignment of a Ba3(cr) Counterparty Risk Assessment (CR Assessment) on 23 June 2015 (see "Moody's concludes review on 5 French banks' ratings; affirms 7 other banks' ratings"). Following the upgrade, all three transactions' counterparty risk exposure associated with Dexia Crediop S.p.A. has decreased.

--- EXPOSURE TO DEXIA CREDIOP S.P.A.

Dexia Crediop S.p.A. acts as:

(1) one of the interest-rate and cross-currency swap counterparties for Cartesio 2003's class 1, 2, 3 and 4 notes. It hedges about 13% of the cross-currency risk exposure and about 9% of the interest-rate risk exposure over a weighted-average life of about 14 years;

(2) one of the interest-rate risk swap counterparties for Posillipo. It hedges one-third of the interest-rate risk exposure over a weighted-average life of 11.5 years; and

(3) one of the interest-rate risk swap counterparties in D'Annunzio. It hedges 23.5% of the interest-rate risk exposure over a weighted-average life of 2.8 years.

Although Dexia Crediop S.p.A. is not a swap counterparty for Cartesio 2003 tranche 5 notes, all of the transaction's notes rank pari passu in the priority of payments. Therefore, they would share losses resulting from any swap counterparty default and bear the same rating.

Dexia Crediop S.p.A has followed through with its obligation to open a collateral account in the account banks of each transaction. The account bank for Cartesio 2003 is Deutsche Bank AG, London Branch (A3 deposit rating/(P)P-2), Posillipo's account bank is Citibank N.A. (A1 deposit rating/P-1) and D'Annunzio's account bank is BNP Paribas Securities Services (A1 deposit rating/P-1). However, Dexia Crediop S.p.A is not posting any collateral at the moment. Dexia Crediop S.p.A has not been replaced or guaranteed, as contemplated in the swap documentation of all three transactions.

Today's upgrade reflects the decreased risk of Dexia Crediop S.p.A's defaulting under the transactions' swap agreements. In its analysis, Moody's has applied the approach described in its applicable cross sector methodology (see "Approach to Assessing Swap Counterparties in Structured Finance Cash Flow Transactions" published on 16 March 2015).

Exposure to cross-currency or interest-rate swaps over a long horizon links Moody's ratings in the transactions to that on the swap counterparty. This is because both cross-currency and interest-rate risk would significantly increase the loss severity for note holders if the swap counterparty were to default. The absence of liquidity mechanisms and lack of credit enhancement in Cartesio 2003, Posillipo and D'Annunzio also increase the linkage between the ratings on the tranches and that on Dexia Crediop S.p.A. In light of this linkage, the application of our methodology and the upgrade of Dexia Crediop S.p.A, we have upgraded our ratings in all three transactions.

--- EXPOSURE TO OTHER SWAP COUNTERPARTIES

The three transactions are all exposed to other swap counterparties than Dexia Crediop S.p.A, but the CR assessment for these counterparties is well above the ratings on the Italian regions to which the underlying loans are exposed. Effective collateral and transfer triggers further reduce the risk associated with the exposure to these other counterparties. Therefore, there is limited linkage of the tranches to the other swap counterparties.

Principal Methodology

The principal methodology used in these ratings was "Moody's Approach to Rating Repackaged Securities" published in June 2015. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

Factors that would lead to an upgrade or downgrade of the rating:

Factors that would lead to an upgrade are (1) improvement in the credit quality of the transaction counterparties and in particular Dexia Crediop S.p.A as swap counterparty; (2) improvement in the credit quality of the Italian regions to which the underlying loans are exposed to.

Factors that would lead to a downgrade are (1) deterioration in the credit quality of the transaction counterparties and in particular Dexia Crediop S.p.A as swap counterparty; (2) deterioration in the credit quality of the Italian regions to which the underlying loans are exposed to.

List of Affected Ratings:

Issuer: Cartesio S.r.l. - Series 2003-1

....EUR200M Tranche 1 Notes, Upgraded to Ba3 (sf); previously on Mar 20, 2015 B1 (sf) Placed Under Review for Possible Upgrade

....EUR200M Tranche 2 Notes, Upgraded to Ba3 (sf); previously on Mar 20, 2015 B1 (sf) Placed Under Review for Possible Upgrade

....US$450M Tranche 3 Notes, Upgraded to Ba3 (sf); previously on Mar 20, 2015 B1 (sf) Placed Under Review for Possible Upgrade

....GBP200M Tranche 4 Notes, Upgraded to Ba3 (sf); previously on Mar 20, 2015 B1 (sf) Placed Under Review for Possible Upgrade

....EUR141M Tranche 5 Notes, Upgraded to Ba3 (sf); previously on Mar 20, 2015 B1 (sf) Placed Under Review for Possible Upgrade

Issuer: D'Annunzio S.r.l.

....EUR327.375M Class A Notes, Upgraded to Baa3 (sf); previously on Mar 20, 2015 Ba1 (sf) Placed Under Review for Possible Upgrade

Issuer: POSILLIPO FINANCE S.R.L.

....EUR452.655M Series 2007-1 Asset-Backed Floating Rate Notes due 2035, Upgraded to Ba2 (sf); previously on Mar 20, 2015 Ba3 (sf) Placed Under Review for Possible Upgrade

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.

Moody's did not use any models, or loss or cash flow analysis, in its analysis.

Moody's did not use any stress scenario simulations in its analysis.

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 rating action on the support provider and in relation to each particular 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 rating action, and whose ratings may change as a result of this 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.

Anne-Sophie Spirito
Asst Vice President - Analyst
Structured Finance Group
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96 Boulevard Haussmann
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France
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Carole Gintz
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Structured Finance Group
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Moody's upgrades ratings in three Italian healthcare ABS transactions
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