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Rating Action:

MOODY'S ASSIGNS PROVISIONAL RATINGS TO EURO 207 MILLION NOTES ISSUED BY SPOLETO MORTGAGES S.r.l.

30 Mar 2004
MOODY'S ASSIGNS PROVISIONAL RATINGS TO EURO 207 MILLION NOTES ISSUED BY SPOLETO MORTGAGES S.r.l.

Approximately $207.0 Million of Debt Securities Affected.

Milan, March 30, 2004 -- Moody's Investors Service has assigned provisional ratings of (P)Aaa to the Euro 47,618 million Class A1, (P)Aaa to the Euro 144,92 million Class A2, (P)A1 to the Euro 7,246 million Class B, (P)Baa2 to the Euro 7,246 million Class C Mortgage Backed Floating Rate Notes, issued by Spoleto Mortgages S.r.l. a special purpose vehicle incorporated in Italy in accordance with law 130/99.

Moody's issues provisional ratings in advance of the final sale of securities, and these ratings only reflect Moody's preliminary credit opinions regarding the transaction. Upon a conclusive review of the final pool of assets and the final documentation, Moody's will endeavor to assign a definitive rating to the Notes. A final rating, if any, may differ from a provisional rating.

The ratings address the expected loss posed to investors by the legal final maturity. The transaction's structure allows for timely payment of interest and ultimate payment of principal with respect to the Notes by the legal final maturity.

Moody's analysts Antonio Serpico and Alex Cataldo said that the rating of the Notes is based on: 1) The credit quality of the underlying mortgage loans; 2) The protection provided to the Class A1 and A2 Notes by the subordination of Classes B and C Notes, the protection provided to the Class B Notes through the subordination of the Class C Notes; 3) The protection provided by the cash reserve account funded up-front at 3.5% of the initial notes outstanding, to gradually build up to 4%;

4) The protection provided by excess spread in the transaction, trapped either through the cash allocation structure or the re-filling of the cash reserve account; 5) The capacity of the Originator to act as Servicer of the loans; 6) The Swap agreement entered into with CDC IXIS Capital Market to protect the structure against interest rate fluctuations; 7) The transaction structure and legal features, including the inherent protections provided under Law 130.

This is the third securitisation transaction arranged for Banca Popolare di Spoleto, which is 51% owned by Spoleto Crediti e Servizi and 25.9% is owned by Gruppo Monte dei Paschi. The Originator is the typical small-sized local bank and operates through its 81 branches which are mainly located in the Umbria region.

In this transaction, the Originator will securitise a portfolio of 3,344 residential and commercial mortgage loans, extended to 3,308 obligors, for an overall amount of € [206.6] million. All loans are "in bonis" (performing) and 100% of them benefit from an economic first lien mortgage.

The total securitised portfolio has been split in two sub pools according to the nature of the debtor. The individuals represent 68.6% of the portfolio, while the non individuals account for 31.4%.

Structure has 18 month grace period during which no principal on the Notes will be paid. Excess spread available will be captured to equal total amount of defaults (if any) and a certain amount of delinquencies in the transaction. There is a Cash Reserve Account of 3.5% of the initial Outstanding Principal of the Notes, funded up front through accrued interest proceeds of the portfolio prior to the issuance date and a subordinated loan. The Reserve fund will build up to 4% of Outstanding Principal of the Notes by trapping any available excess spread. The hedging structure in place ensures a gross annual spread of 150 bps throughout the life of the transaction. In addition the swap hedges the structure form the risk of reduction of the average spread due to prepayments of those mortgage loans with higher interest rates, as well as protecting the transaction against the fixed-vs-floating rate and Euribor.

Moody's will monitor this transaction on an on-going basis. For updated monitoring information please contact [email protected]

Madrid
Juan Pablo Soriano
Managing Director
Structured Finance Group
Moody's Investors Service Espana, S.A.
JOURNALISTS: 33 1 53 43 93 78 SUBSCRIBERS: 44 20 7772 5454

Milan
Antonio Serpico
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 33 1 53 43 93 78 SUBSCRIBERS: 44 20 7772 5454

No Related Data.
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