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Aqua finance11/1/2022 Moody's Rating Symbols and Definitions can be found at: 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. AQUA FINANCE UPGRADEAlternatively, please see the Rating Methodologies page on for a copy of this methodology.Factors that would lead to an upgrade or downgrade of the rating:Factors or circumstances that could lead to an upgrade of the rating include: (i) performance of the underlying collateral that is better than Moody's expected (ii) an increase in available credit enhancement (iii) improvements in the credit quality of the transaction counterparties and (iv) a decrease in sovereign risk.Factors or circumstances that could lead to a downgrade of the rating include: (i) an increase in sovereign risk (ii) performance of the underlying collateral that is worse than Moody's expected (iii) deterioration in the notes' available credit enhancement and (iv) deterioration in the credit quality of the transaction counterparties.REGULATORY DISCLOSURESFor further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions in the disclosure form. Portfolio credit enhancement remains unchanged at 22.4%.The principal methodology used in this rating was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in September 2021 and available at. The assumption for the fixed recovery rate is unchanged at 26.0%. 4, the updated default probability based on current balance is 6.72%, which corresponds to a default probability of 2.76% of the original portfolio balance. Cumulative defaults currently stand at 1.69% of original pool balance up from 1.47% a year earlier.For Aqua Finance No. AQUA FINANCE PLUSTotal delinquencies have decreased slightly in the past year, with 90 days plus arrears currently standing at 0.71% of current pool balance. AQUA FINANCE FULLGiven the repayment of Class A Notes, Class B Notes now have full access to the reserve fund, resulting in today's upgrade.As part of the rating action, Moody's reviewed its default probability for the portfolio reflecting the collateral performance to date.The performance of the transactions has continued to be stable. The rating action reflects the repayment of the Class A notes which resulted in the Class B notes having access to the reserve fund for liquidity purposes.EUR15M (current outstanding EUR6.9M) Class B Notes, Upgraded to Aa2 (sf) previously on Affirmed A1 (sf)Maximum achievable rating is Aa2 (sf) for structured finance transactions in Portugal, driven by the corresponding local currency country ceiling of the country.RATINGS RATIONALEThe rating action is prompted by the repayment of Class A Notes which resulted in the Class B notes having access to the reserve fund for liquidity purposes.Liquidity support was previously only available in the form of the reserve fund to Class A Notes. 4Global Credit Research - Frankfurt am Main, Febru- Moody's Investors Service ("Moody's") has today upgraded the rating of the Class B notes in Aqua Finance No. Rating Action: Moody's upgrades Class B notes in Aqua Finance No.
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