MILANO, 26 giugno (Reuters) - Di seguito il comunicato integrale Moody's sul possibile impatto sulle cartolarizzazioni italiane dall'analisi avviata dall'agenzia di rating sulle banche italiane.
Moody's updates on the impact on Italian ABS and RMBS from potential downgrades of various Italian banks
Milan, June 26, 2009 -- Moody's Investors Service said today that it is assessing the impact on outstanding Italian asset-backed securities (ABS) and residential mortgage-backed securities (RMBS) transactions from rating downgrades of various Italian financial institutions.
On 18 June 2009, Moody's placed the bank financial strength or long-term debt and deposit ratings of 21 Italian financial institutions on review for possible downgrade. At the same time the rating agency placed the long-term deposit ratings of two banks on review for possible upgrade. Moody's also placed on review for possible downgrade the Prime-1 short-term deposit ratings of nine banks. Moody's expects to conclude most of these Italian financial institution reviews in the coming weeks, with most expected downgrades being limited to a single notch. Please refer to the press release from 18 June 2009 for a detailed list of the rating actions taken by Moody's Financial Institution Group (FIG).
Moody's notes that a limited number of Italian ABS and RMBS transactions have exposure to one or more Italian financial institutions potentially affected by the recent FIG rating actions and the final outcome of the review for possible downgrade. The degree of exposure, which is usually limited, depends on the role the financial institution performs in the transaction and the structural remedies envisaged if the counterparty's rating deteriorates. The key risk exposures are summarised below.
In most transactions, the affected institutions, or their directly owned sub-participations act as servicers and also originated the securitised portfolios. In cases where borrowers are paying into collection accounts in the name of the servicer, Moody's will assess the increased risk associated with cash commingling, taking into consideration any structural protection and, where applicable, the increased level of credit enhancement available for the more seasoned transactions. In addition, Moody's will also assess any risk implications in relation to possible set-off between borrowers' deposits and debt owed to the concerned financial institutions.
Where the affected financial institution is acting as hedging counterparty, it may be required to either post collateral or seek a replacement or guarantor and continue posting collateral until such replacement or guarantor is found. The remedial action and the amount of collateral to be posted will depend on the extent of the downgrade. For transactions which are not in compliance with the current Moody's framework for de-linking hedge counterparty risks, the assessment of the exposure will be determined on a case-by-case basis, taking into consideration the different degree of linkage arising from the hedging agreement in place. More specifically, Moody's analysis will focus on the rating thresholds prompting remedial actions, the required amount of collateral to be posted and the obligations and ability to find a suitable replacement hedge provider.
Moody's will also monitor the compliance of remedies following any other rating trigger breach such as the replacement of, or need to find a guarantor for account bank or liquidity facility provider counterparties which are no longer rated appropriately (often at loss of P-1). For these structural implications and replacement obligations, the transaction parties have certain grace periods in which to implement the changes. These may range between 10 and 30 days from the date of the downgrade.
Once Moody's FIG has concluded its reviews of the affected institutions, Moody's will review the ABS and RMBS transactions in detail and update the market again on any potential impact. Moody's expects that the impact on certain transaction structures may result in higher risks for the noteholders.
For more information on the transaction specific performance, please see Moody's Performance Overviews published periodically on www.moodys.com. For further questions, please contact Moody's Client Service Desk on (44-20) 7772 5454.