London, 02 July 2018 -- Moody's Investors Service ("Moody's") has today upgraded the rating of
one tranche and affirmed the ratings of two tranches of notes in ALBA
8 SPV S.r.l.:
....EUR304.8M (Current outstanding
amount 209.5M) Class A2 Notes, Affirmed Aa2 (sf); previously
on Dec 11, 2017 Confirmed at Aa2 (sf)
....EUR127M Class B Notes, Affirmed
Aa3 (sf); previously on Dec 11, 2017 Upgraded to Aa3 (sf)
....EUR45.7M Class C Notes, Upgraded
to A1 (sf); previously on Dec 11, 2017 Upgraded to A3 (sf)
The transaction is a securitisation 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.
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 upgrade of the Class C is prompted by the deal deleveraging resulting
in an increase in credit enhancement for the affected tranche.
The credit enhancement level for the Class C has increased to 36.1%
from 30.4% since the last upgrade taken on this tranche
in December 2017.
We affirmed the ratings of the Classes A2 and B notes that had sufficient
credit enhancement to maintain the current ratings on the affected notes.
Revision of key collateral assumptions
As part of the review, Moody's reassessed its default probabilities
(DP) as well as recovery rate (RR) assumptions, based on updated
loan by loan data on the underlying pools and delinquency, default
and recovery ratio update.
Moody's maintained its DP on current balance and recovery rate assumptions
as well as portfolio credit enhancement (PCE) due to observed pool performance
in line with expectations.
Exposure to counterparties
Today's rating action took into consideration the notes' exposure to relevant
counterparties, such as servicer and account bank.
Moody's also assessed the default probability of the account bank providers
by referencing the bank's deposit rating.
Eligible Investment Approach
The current definition of eligible investments of Alba 8 SPV S.r.l.
includes a minimum rating level at A3. As a result, the maximum
achievable rating is Aa1 (sf) for the Class A notes and Aa3 (sf) for the
other classes based on the methodology. (http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_1038135).
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.
Philippe Joly
Associate Lead 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
