Madrid, June 28, 2019 -- Moody's Investors Service ("Moody's") has today upgraded the rating of
Class C notes in ALBA 8 SPV S.r.l. The rating action
reflects the increased level of credit enhancement in these notes.
Moody´s has affirmed the ratings of Class A2 and B notes which have
sufficient credit enhancement to maintain the current ratings.
....EUR304.8M (current outstanding
amount EUR21.3M) Class A2 Notes, Affirmed Aa3 (sf);
previously on Oct 25, 2018 Downgraded to Aa3 (sf)
....EUR127M Class B Notes, Affirmed
Aa3 (sf); previously on Oct 25, 2018 Affirmed Aa3 (sf)
....EUR45.7M Class C Notes, Upgraded
to Aa3 (sf); previously on Oct 25, 2018 Affirmed A1 (sf)
ALBA 8 SPV S.r.l. is a cash securitization of lease
receivables originated by Alba Leasing S.p.A. and
granted to individual entrepreneurs and small and medium-sized
enterprises (SME) domiciled in Italy mainly in the regions of Lombardy
and Emilia Romagna.
RATINGS RATIONALE
The upgrade is prompted by the increase in the credit enhancement ("CE")
available for the affected tranche as a result of portfolio amortization.
The CE level for Class C Notes has increased to 52.89% from
43.22% in the past 6 months.
The ratings of the Class A2 and B Notes have been affirmed at Aa3 (sf)
as the ratings are capped at the Italian Local Currency Country Ceiling.
Revision of key collateral assumptions
As part of the rating action, Moody's reassessed its default probability
("DP") and recovery rate ("RR") assumptions for
the portfolio reflecting the collateral performance to date. Moody´s
decreased the DP assumption over current balance to 10% from 12.1%
to reflect the portfolio composition based on updated loan by loan information,
taking into consideration the current industry concentration among other
credit risk factors. Moody´s kept unchanged the RR assumption
at 30%.
Exposure to counterparties
Today's rating action took into consideration the notes' exposure to relevant
counterparties, such as servicer and account bank.
Moody's considered how the liquidity available in the transaction and
other structural mitigants support continuity of notes payments in case
of servicer default, using the CR assessment as a reference point
for servicers. None of the ratings of the outstanding classes of
ALBA 8 SPV S.r.l. are constrained by operational
risk. Moody's considers that the current back-up servicing
arrangements are sufficient to support payments in the event of servicer
disruption.
Moody's also assessed the default probability of the account bank provider
by referencing the bank's deposit rating. The ratings of the mezzanine
and junior notes are currently constrained at Aa3 by the Eligible Investments
definition.
The principal methodology used in these ratings was "Moody's Approach
to Rating ABS Backed by Equipment Leases and Loans" published in March
2019. 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.
Cristina Quintana Poves
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
Client Service: 44 20 7772 5454
Javier Hevia Portocarrero
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Releasing Office:
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
