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Rating Action:

Moody's Investors Service assigned definitive ratings to RMBS notes issued by Siviglia SPV S.r.l.

30 Mar 2012

EUR 175.3 million of Debt Securities rated

Milan, March 30, 2012 -- Moody's Investors Service has assigned definitive credit ratings to the following class of notes issued by Siviglia SPV S.r.l.:

....EUR175.3M Class A Residential Mortgages Asset Backed Floating Rate Notes due October 2055, Assigned Aa2 (sf)

Moody's has not assigned any rating to EUR 47,300,000 Class B Residential Mortgage Asset Backed Variable Return Notes due October 2055.

The transaction represents the second securitization transaction originated by Cassa di Risparmio di Cento S.p.A. The assets supporting the notes, which amount to around EUR 216,4 million, consists of mortgage loans extended to individuals and are backed by first economic lien on residential properties located in Italy. Loans have been originated by Cassa di Risparmio di Cento S.p.A.

The portfolio will be serviced by Cassa di Risparmio di Cento S.p.A. (NR). Cassa di Risparmio di Ferrara S.p.A. (Ba3/Non Prime) has been appointed as back-up servicer at closing and Securitisation Services S.p.A. as Back Up Servicer Facilitator.

RATINGS RATIONALE

The ratings of the notes take into account the credit quality of the underlying mortgage loan pool and the vintage data for defaults and recoveries received from the originator from which Moody's determined the MILAN Aaa Credit Enhancement and the portfolio expected loss, as well as the transaction structure and any legal considerations as assessed in Moody's cash flow analysis.

The expected portfolio loss of 3.5% of original balance of the portfolio at closing and the MILAN Aaa required Credit Enhancement of 15% served as input parameters for Moody's cash flow model, which is based on a probabilistic lognormal distribution as described in the report Testing Structural Features with the MARCO Model (Moody's Analyser of Residential Cash Flows) published in January 2006.

The key drivers for the MILAN Aaa Credit Enhancement number of 15%, which is similar to the Italian RMBS sector average, takes into account (i) the high concentration of loans falling into the 70%-80% LTV bucket (around 22%); (ii) the high geographical concentration with 96% of the pool concentrated in the Emilia Romagna region; (iii) the presence in the pool of properties where the value was estimated without full internal inspection by an independent valuer, approximately 19% of the pool; and (iv) Moody's assessment of origination and servicing process for Cassa di Risparmio di Cento S.p.A. that resulted in a score below the Italian average.

The key drivers for the portfolio expected loss of 3.5%, which is in line with the Italian sector average, is based on Moody's assessment of the lifetime loss expectation for the pool taking into account (i) the historical performance of mortgage loans originated by Cassa di Risparmio di Cento S.p.A.; (ii) the vintage data on recoveries that includes open and closed files, (iii) the performance of the first RMBS transaction of the originator, Guercino Solutions S.r.l, (iv) benchmarking with comparable transactions in the Italian market and (v) the negative outlook we have on Italian RMBS sector.

The Notes benefit from a EUR 6.135 million amortizing reserve fund, equivalent to around 3.5% of the rated notes. The reserve fund is replenished senior in the waterfall ahead of the any payments due to principal on the notes meaning it also acts as the main source of liquidity to the Notes, credit enhancement when is amortizing and at maturity.

The transaction is completely unhedged at closing with respect to 100% of the pool. Moody's analysis takes into account the potential interest rate exposure in assessing the ratings of the notes. For the floating-rate portion of the portfolio, the analysis is based on the observation of the historical difference between the index due on the loans and on the notes. For floating rate mortgage loans with cap, the analysis is performed assuming that the interest due under the notes was increasing of 50bps each quarter up to 20% and remains at that level until the end of the deal.

Moody's assigned a Composite V Score for this transaction of Low/Medium based on Moody's V Score rating methodology as published in the Rating Implementation Guidance "V-Scores and Parameter Sensitivities in the Major EMEA RMBS Sectors" published in April 2009, which is equal to the V score assigned for the Italian RMBS sector, Low/Medium.

The main deviations from the Italian benchmark are: (i) "Issuer/Sponsor/Originator's Historical Performance Variability" which is set to Low/Medium given the sovereign risk may increase performance volatility. (ii) "Transaction Complexity " which is assessed to be Medium, higher than the Low/Medium sector's average, given that the transaction is unhedged and exposed to interest rate and basis risk; (iii) "Market Value Sensitivity" which is assessed to be Medium, higher than the Low/Medium sector's average, given that the transaction is exposed to the interest rate risk; (iv) "Legal, Regulatory, or Other Uncertainty" which is assessed to be Medium, as the transaction could be affected by some payment holiday schemes and other change in payment terms granted by recent laws. V Scores are a relative assessment of the quality of available credit information and of the degree of dependence on various assumptions used in determining the rating. High variability in key assumptions could expose a rating to more likelihood of rating changes. The V Score has been assigned accordingly to the Rating Implementation Guidance "V Scores and Parameter Sensitivities in the Major EMEA RMBS Sectors" published in April 2009.

Moody's Parameter Sensitivities provide a quantitative/model-indicated calculation of the number of rating notches that a Moody's structured finance security may vary if certain input parameters used in the initial rating process differed. The analysis assumes that the deal is not aged and is not intended to measure how the rating of the security might migrate over time, but rather how the initial rating of the security might have differed if key rating input parameters were varied. Parameter Sensitivities for the typical EMEA RMBS transaction are calculated by stressing key variable inputs in Moody's primary rating model.

If the Expected Loss was increased from 3.5% to 7%, the model output indicated that Class A, would have remained Aa2 assuming that MILAN Aaa CE remained at 16.5% and all other factors remained the same.

The principal methodology used in this rating was Moody's Approach to Rating RMBS in Europe, Middle East, and Africa published in October 2009. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

Other Factors used in this rating are described in Global Structured Finance Operational Risk Guidelines: Moody's Approach to Analyzing Performance Disruption Risk published in June 2011.

In rating this transaction, Moody's used ABSROM to model the cash flows and determine the loss for each tranche. The cash flow model evaluates all default scenarios that are then weighted considering the probabilities of the lognormal distribution assumed for the portfolio default rate. In each default scenario, the corresponding loss for each class of notes is calculated given the incoming cash flows from the assets and the outgoing payments to third parties and noteholders. Therefore, the expected loss or EL for each tranche is the sum product of (i) the probability of occurrence of each default scenario; and (ii) the loss derived from the cash flow model in each default scenario for each tranche.

As such, Moody's analysis encompasses the assessment of stressed scenarios.

As the Euro area crisis continues, the rating of the structured finance notes remain exposed to the uncertainties of credit conditions in the general economy. The deteriorating creditworthiness of euro area sovereigns as well as the weakening credit profile of the global banking sector could negatively impact the ratings of the notes. For more information please refer to the Rating Implementation Guidance published on 13 February 2012 "How Sovereign Credit Quality May Affect Other Ratings". Please also refer to the recent rating actions on banks published on 15 February 2012, (please see "Moody's Reviews Ratings for European Banks" and "Moody's Reviews Ratings for Banks and Securities Firms with Global Capital Markets Operations" for more information).

The ratings address the expected loss posed to investors by the legal final maturity of the notes. In Moody's opinion, the structure allows for timely payment of interest and ultimate payment of principal with respect to the Notes by the legal final maturity. Moody's ratings address only the credit risks associated with the transaction.

Other non-credit risks have not been addressed, but may have a significant effect on yield to investors.

Moody's will monitor this transaction on an ongoing basis. For updated monitoring information, please contact monitor.rmbs@moodys.com.

REGULATORY DISCLOSURES

For ratings issued on a program, series or category/class of debt, this announcement provides relevant 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 relevant regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides relevant 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.

The rating has been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.

Information sources used to prepare the rating are the following: parties involved in the ratings, parties not involved in the ratings, public information, and confidential and proprietary Moody's Investors Service information.

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments in this transaction.

Further information on the representations and warranties and enforcement mechanisms available to investors are available on http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF280601.

Moody's considers the quality of information available on the rated entity, obligation or credit satisfactory for the purposes of issuing a rating.

Moody's adopts all necessary measures so that the information it uses in assigning a rating is of sufficient quality and from sources Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's is not an auditor and cannot in every instance independently verify or validate information received in the rating process.

Moody's Investors Service may have provided Ancillary or Other Permissible Service(s) to the rated entity or its related third parties within the two years preceding the credit rating action. Please see the special report "Ancillary or other permissible services provided to entities rated by MIS's EU credit rating agencies" on the ratings disclosure page on our website www.moodys.com for further information.

Please see the ratings disclosure page on www.moodys.com for general disclosure on potential conflicts of interests.

Please see the ratings disclosure page on www.moodys.com for information on (A) MCO's major shareholders (above 5%) and for (B) further information regarding certain affiliations that may exist between directors of MCO and rated entities as well as (C) the names of entities that hold ratings from MIS that have also publicly reported to the SEC an ownership interest in MCO of more than 5%. A member of the board of directors of this rated entity may also be a member of the board of directors of a shareholder of Moody's Corporation; however, Moody's has not independently verified this matter.

Please see Moody's Rating Symbols and Definitions on the Rating Process page on www.moodys.com for further information on the meaning of each rating category and the definition of default and recovery.

Please see ratings tab on the issuer/entity page on www.moodys.com for the last rating action and the rating history.

The date on which some ratings were first released goes back to a time before Moody's ratings were fully digitized and accurate data may not be available. Consequently, Moody's provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on our website www.moodys.com for further information.

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.

Pier Paolo Vaschetti
Vice President - Senior Analyst
Structured Finance Group
Moody's Italia S.r.l
Corso di Porta Romana 68
Milan 20122
Italy
Telephone:+39-02-9148-1100

Michelangelo Margaria
VP - Senior Credit Officer
Structured Finance Group
Telephone:+39-02-9148-1100

Releasing Office:
Moody's Italia S.r.l
Corso di Porta Romana 68
Milan 20122
Italy
Telephone:+39-02-9148-1100

Moody's Investors Service assigned definitive ratings to RMBS notes issued by Siviglia SPV S.r.l.
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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