EUR 3,851.3 million of debt security affected
Milan, February 25, 2011 -- Moody's Investors Service has today assigned definitive credit ratings
to the following class of notes issued by Siena Mortgages 09-6
S.r.l.:
EUR 3,851,300,000 Class A Residential Mortgage-Backed
Floating Rate Notes due 2076, Assigned Aaa (sf)
Moody's has not assigned any rating to EUR 403,700,000
Class B Residential Mortgage-Backed Floating Rate Notes due 2076,
EUR 181,450,000 Class C Residential Mortgage-Backed
Floating Rate Notes due 2076 (together with Class B and Class C,
"Notes") and to EUR 106,700,000 Class D Residential
Mortgage-Backed Variable Notes due 2076 (the"Junior Notes")
RATINGS RATIONALE
The transaction was initially not rated by Moody's. Moody's
rating analysis of the notes is based on the transaction structure as
of today: the Class A notes issued at closing amounted to EUR 3,851.3million
and have now amortized to EUR 3,064.6 millions; notes
ranking junior in the waterfall to Class A have not amortized.
The amount of the Notes outstanding at the most recent payment date (November
15th, 2010) amount to EUR 3,649.7 milion.
The transaction represents the first series of notes issued by Siena 09-6
srl and one of the nine securitisations of the Siena's series originated
by Banca Monte dei Paschi di Siena ("BMPS"; A2/P-1).
The assets supporting the notes are prime mortgage loans secured on residential
properties located in Italy, originated by BMPS, Banca Antonventa
("BAV") and Banca Agricola Mantovana ("BAM") all
parts of the Monte dei Paschi di Siena's group since 2008 (BAV partly
spun off in 2009); the amount of the portfolio at the end of the
most recent collection period, October, 20th 2010, amounted
to around EUR 3,681.6 million; Moody's received
the portfolio as of November 30th 2010, equal to EUR 3,620.9
million and monthly servicer reports for the period elapsed since the
end of the collection period. The portfolio will be serviced by
BMPS.
The ratings of the notes take into account the credit quality of the underlying
mortgage loan pool, from which Moody's determined the MILAN Aaa
Credit Enhancement and the portfolio expected loss. The expected
portfolio loss of 3.8% of the portfolio balance (equivalent
to 4.1% of the original portfolio balance) and the MILAN
Aaa required Credit Enhancement of 12% served as input parameters
for Moody's cash flow model, which is based on a probabilistic lognormal
distribution as described in the report "The Lognormal Method Applied
to ABS Analysis", published in September 2000.
The expected loss reflects Moody's cumulative default assumption
(7% on the original balance) which is mainly driven by (i) defaults
on global BMPS residential book, which have experienced a substantial
increase in recent periods and show high volatility among vintages,
(ii) the high percentage, different to other issuances of the Siena
series, of loans originated by BAV (around 35% of the current
pool) whose performance has historically been worse than that of BMPS,
(iii) the amount of defaults that have been experienced so far in the
transaction, (iv) benchmarking with comparable transactions in the
Italian market and (v) the negative outlook that Moody's has on Italian
RMBS. The key drivers for the MILAN Aaa Credit Enhancement,
which is higher than other Italian RMBS transactions, are (i) the
presence of loans that are in arrears for more than one month in the pool
of approximately 3% of the pool, (ii) missing data on the
employment type of the borrowers for around 72% of the portfolio,
(iii) the volatility of historical information and (iv) the presence of
loans originated by brokers (17.12%).
The structure will benefit from a swap, provided by BMPS (A2/P-1),
which provides a guaranteed margin above Euribor of 121 bps.The
swap complies with Moody's standard swap de-linkage criteria,
however, as the swap counterparty could becomes subject to Italian
insolvency proceedings, and the swaps could terminate by operation
of law there is additional linkage for the notes to the rating of the
swap counterparty.
Liquidity in the transaction comes from a principal to pay interest mechanism
and from the cash reserve which currently represents 2.29%
of the notes (2.40% of the notes at closing but partially
drawn), but given that the replenishment of the cash reserve will
rank junior to payment of interest and principal on Class B and Class
C, there may not be liquidity available to cover interest on the
rated notes in high loss scenarios. This is mitigated by the requirement
to appoint a back up servicer when BMPS' rating falls below Baa2
and servicer's substitution at loss of Baa3.
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 report
"V-Scores and Parameter Sensitivities in the Major EMEA RMBS Sectors"
published in April 2009, which is in line with the V score assigned
for the Italian RMBS sector. Only two sub components underlying
the V Score deviate from the average for the Italian RMBS sector:
i) "Issuer/Sponsor/Originator's Historical Performance Variability"
because of the higher volatility of performance and a steep increase in
defaults during the current market downturn and ii) the "Disclosure of
Securitization Collateral Pool Characteristic" which is assessed
at Medium due to data concerns noted during the third party assessment.
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.
Moody's Parameter Sensitivities: If the Expected Loss increased
from 3.8% to 11.4%, the model output
indicated that Classes A would have achieved Aaa assuming that MILAN Aaa
CE remained at 12% and all other factors remained the same.
Moody's Parameter Sensitivity provide a quantitative/model-indicated
calculation of the number of rating notches that a Moody's-rated
structured finance security may vary if certain input parameters used
in the initial rating process differed. The analysis assumes that
the deal has 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. Qualitative factors are also taken into consideration
in the ratings process, so the actual ratings that would be assigned
in each case could vary from the information presented in the Parameter
Sensitivity analysis.
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 of 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.
The principal methodologies used in this rating were Moody's Approach
to Rating Italian RMBS, published in December 2004 and Cash Flow
Analysis in EMEA RMBS: Testing Structural Features with the MARCO
Model (Moody's Analyser of Residential Cash Flows), published in
January 2006.
In addition, Moody's publishes a weekly summary of structured finance
credit, ratings and methodologies, available to all registered
users of our website, at www.moodys.com/SFQuickCheck.
Moody's Investors Service has not received a third-party due diligence
report on the underlying assets or financial instruments in this transaction.
REGULATORY DISCLOSURES
The rating has been disclosed to the rated entity or its designated agents
and issued with no amendment resulting from that disclosure.
Information sources used to prepare the credit 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 Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
a credit rating.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entity or its related third parties within the
three years preceding the Credit Rating Action. Please see the
ratings disclosure page www.moodys.com/disclosures on our
website for further information.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entity or its related third parties within the
three years preceding the Credit Rating Action. Please see the
ratings disclosure page www.moodys.com/disclosures on our
website for further information.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit 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.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service 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 the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
Milan
Francesca Pilu
Asst Vice President - Analyst
Structured Finance Group
Moody's Italia S.r.l
Telephone:+39-02-9148-1100
Milan
Michelangelo Margaria
VP - Senior Credit Officer
Structured Finance Group
Moody's Italia S.r.l
Telephone:+39-02-9148-1100
Moody's Italia S.r.l
Corso di Porta Romana 68
Milan 20122
Italy
Telephone:+39-02-9148-1100
Moody's Investors Service assigns definitive credit ratings to Italian RMBS notes issued by Siena Mortgages 09-6 S.r.l.
