Madrid, February 23, 2018 -- Moody's Investors Service ("Moody's") has today upgraded the ratings of
3 notes in 2 Italian RMBS deals, Capital Mortgage S.r.l.
(BIPCA Cordusio RMBS) and Apulia Finance N. 4 S.r.l.,
reflecting the increased levels of credit enhancement for the affected
notes and better than expected collateral performance. Moody's
affirmed the ratings of 10 notes, in these two transactions and
in Berica 6 Residential MBS S.r.l., that had
sufficient credit enhancement to maintain their current rating.
Issuer: Capital Mortgage S.r.l. (BIPCA Cordusio
RMBS)
....EUR 666.3M Class A1 Notes,
Affirmed Aa2 (sf); previously on Dec 16, 2015 Affirmed Aa2
(sf)
....EUR 185.5M Class A2 Notes,
Affirmed Aa2 (sf); previously on Dec 16, 2015 Affirmed Aa2
(sf)
....EUR 61.8M Class B Notes,
Upgraded to Aa2 (sf); previously on Dec 16, 2015 Downgraded
to Aa3 (sf)
....EUR 14.3M Class C Notes,
Upgraded to A1 (sf); previously on Dec 16, 2015 Affirmed A2
(sf)
....EUR 18M Class D Notes, Affirmed
A3 (sf); previously on Jul 27, 2017 Upgraded to A3 (sf)
....EUR 5.5M Class E Notes, Affirmed
Baa3 (sf); previously on Dec 16, 2015 Affirmed Baa3 (sf)
Issuer: Apulia Finance N. 4 S.r.l.
....EUR 346.9M Class A Notes,
Affirmed Aa2 (sf); previously on Nov 27, 2015 Affirmed Aa2
(sf)
....EUR 11.3M Class B Notes,
Affirmed Aa2 (sf); previously on Nov 27, 2015 Affirmed Aa2
(sf)
....EUR 19.1M Class C Notes,
Upgraded to A1 (sf); previously on Jul 27, 2017 Upgraded to
Baa1 (sf)
Issuer: Berica 6 Residential MBS S.r.l.
....EUR 1185M Class A2 Notes, Affirmed
Aa3 (sf); previously on Jul 27, 2017 Upgraded to Aa3 (sf)
....EUR 42.8M Class B Notes,
Affirmed Baa1 (sf); previously on May 22, 2017 Upgraded to
Baa1 (sf)
....EUR 28.6M Class C Notes,
Affirmed Baa1 (sf); previously on May 22, 2017 Upgraded to
Baa1 (sf)
....EUR 8.6M Class D Notes, Affirmed
B2 (sf); previously on May 22, 2017 Upgraded to B2 (sf)
RATINGS RATIONALE
The upgrade actions are prompted by:
- In the case of Capital Mortgage S.r.l. (BIPCA
Cordusio RMBS), increase in credit enhancement for the affected
notes.
- In the case of Apulia Finance N. 4 S.r.l.,
increase in credit enhancement for the affected notes and better than
expected performance.
- All rated notes in Berica 6 Residential MBS S.r.l.
had sufficient credit enhancement to maintain their current ratings.
These are three seasoned transactions, issued in 2006 and 2007.
The current pool factors are relatively low in Capital Mortgage S.r.l.
(BIPCA Cordusio RMBS) (34.6%), Berica 6 Residential
MBS S.r.l. (20.6%) and Apulia Finance
N. 4 S.r.l. (17.9%).
Increase in Available Credit Enhancement:
Sequential amortization, non-amortising reserve fund in Capital
Mortgage S.r.l. (BIPCA Cordusio RMBS), or trapping
of excess spread led to the increase in the credit enhancement available
in these transactions.
The credit enhancement for the most senior note affected by today's rating
action in Capital Mortgage S.r.l. (BIPCA Cordusio
RMBS) increased from 10.1% in December 2015, to 14.5%
in December 2017. The credit enhancement for the most senior note
affected by today's rating action in Apulia Finance N. 4 S.r.l.
increased from 21.1% in July 2017, to 23.5%
in January 2018. The credit enhancement for the most senior note
affirmed in Berica 6 Residential MBS S.r.l. increased
from 33.7% in July 2017, to 35.0% in
January 2018, although in this case the transaction is amortising
pro-rata.
Compared to one year ago, the cumulative defaults as percentage
over original balance have increased to 8.67% from 8.48%
in Apulia Finance N. 4 S.r.l., to 6.99%
from 6.75% in Capital Mortgage S.r.l.
(BIPCA Cordusio RMBS). The main deterioration is observed in Berica
6 Residential MBS S.r.l., to 10.93%
from 10.60%, and additionally, the level of
loans more than 30 days in arrears increased from approximately 4%
in October 2017 to 9.1% of outstanding portfolio amount
in January 2018.
Moody's has reassessed its lifetime loss expectation for Apulia Finance
N. 4 S.r.l. taking into account the transaction's
underlying collateral performance to date. The Expected Loss assumption
as a percentage over original balance has been decreased to 5.5%
from 5.6% due to a better than expected performance of the
underlying assets.
Moody's has reassessed its lifetime loss expectation for Capital Mortgage
S.r.l. (BIPCA Cordusio RMBS) taking into account
the transaction's underlying collateral performance to date. The
Expected Loss assumption as a percentage over original balance has been
increased to 5.1% from 4.9% due to a worse
than expected performance of the underlying assets.
Moody's has reassessed its lifetime loss expectation for Berica 6 Residential
MBS S.r.l. taking into account the transaction's
underlying collateral performance to date. The Expected Loss assumption
as a percentage over original balance has been increased to 7.1%
from 6.9% due to a worse than expected performance of the
underlying assets.
MILAN CE assumptions remain unchanged for the three transactions.
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework" published in September 2017.
Please see the Rating Methodologies page on www.moodys.com
for a copy of this methodology.
The analysis undertaken by Moody's at the initial assignment of these
ratings for RMBS securities may focus on aspects that become less relevant
or typically remain unchanged during the surveillance stage. Please
see Moody's Approach to Rating RMBS Using the MILAN Framework for further
information on Moody's analysis at the initial rating assignment and the
on-going surveillance in RMBS.
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 and
(3) improvements in the credit quality of the transaction counterparties
and (4) a decrease in sovereign risk.
Factors or circumstances that could lead to a downgrade of the ratings
include (1) an increase in sovereign risk (2) performance of the underlying
collateral that is worse than Moody's expected, (3) deterioration
in the notes' available credit enhancement 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.
The below contact information is provided for information purposes only.
Please see the ratings tab of the issuer page at www.moodys.com,
for each of the ratings covered, Moody's disclosures on the
lead rating analyst and the Moody's legal entity that has issued
the ratings.
The relevant office for each credit rating is identified in "Debt/deal
box" on the Ratings tab in the Debt/Deal List section of each issuer/entity
page of the website.
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
Client Service: 44 20 7772 5454
Michelangelo Margaria
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Anne-Sophie Spirito
VP-Senior Analyst
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
