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Rating Action:


10 May 2001

Approximately Euro 201.7 Million of Debt Securities Affected.

Paris, May 10, 2001 -- Moody's Investors Service has assigned final ratings to two classes of Mortgage Backed Floating Rate Notes issued by Secursel s.r.l., an Italian special purpose vehicle created in accordance with Law 130/99. The Class A Note received a rating of Aaa, the Class B Notes a A2 rating. Unrated Class C notes are also issued. Notes are backed by a portfolio of performing residential mortgages loans originated by Banca Sella (A3/P-2), an Italian private bank. Repayment of the Notes will be made on a purely sequential mode.

The Aaa rating of the Class A Notes is based on:

(1) the credit quality of the underlying performing mortgage loans;

(2) the 9.5% level of protection against losses furnished by the Class B Notes and Class C Notes (unrated);

(3) the 2.5% credit and liquidity support made by the Reserve Account (funded through excess spread) and the Liquidity Facility;

(4) the experience and obligations of Banca Sella (A3/P-2) as originator and servicer of the loans as well as liquidity provider;

(5) the Swap agreement entered by Credit Agricole Indosuez S.A. (Aa2/P-1) to hedge against interest rate fluctuations;

(6) the transaction's structure and legal features, including the inherent protections provided under Law 130.

The A2 rating of the Class B Notes is based on factors (1) and (3) to (6) above, as well as on the protection provided against losses by the subordination of the Class C Notes.

The current ratings address the timely payment of interest and the ultimate payment of principal at legal final (April 2021), not the payment at any prior expected date.

The portfolio securitised consists of a pool of 4,413 performing mortgage loans, with a total balance of approx. Euro 203.7 million (ITL 394 billion), originated by Banca Sella S.p.a., a medium size Italian private bank headquartered in Biella (Piemont region). Among the positive characteristics of the underlying loans are a relatively low loan to value (LTV) ratio (48%), 100% branch origination, 100% first liens on residential properties, and a weighted average seasoning of 25 months, which is coupled with the fact that all of the loans are current and have never missed a payment. The less favourable characteristics of the pool include the semi-annual payment feature of the loans, geographic concentration (91% in Piedmont region) and the rather low weighted average interest rate or spread of the loans.

This is the first securitisation of Banca Sella under the Italian securitization law 130/99.


Euro 184,400,000 Class A Mortgage Backed Floating Rate Notes due 2021,

Rated Aaa

Euro 17,300,000 Class B Mortgage Backed Floating Rate Notes due 2021,

Rated A2

In order to receive a copy of the forthcoming Moody's new issue report for this transaction please contact the client service desk in London +44 20 7772 5454 or consult Moody's website on

Frederic Drevon
Managing Director
Structured Finance Group
Moody's Investors Service Ltd.
44 20 7772 5454

Sophie Berthelon
Asst Vice President - Analyst
Structured Finance Group
Moody's France S.A.
33 1 53 30 10 47

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