EUR 2,356.7 million of Debt Securities rated
Milan, February 03, 2012 -- Moody's Investors Service has today assigned definitive credit ratings
to the following classes of notes issued by MondoMutui Cariparma S.r.l.
- Series 2012:
....EUR 2,356,700,000 Class
A Asset Backed Floating Rate Notes due April 2060, Assigned Aaa
(sf)
Moody's has not assigned any rating to the Euro 452,820,725
Class J Asset Backed Notes due April 2060.
The notes are backed by a pool of prime Italian residential mortgage loans
originated by Cassa di Risparmio di Parma e Piacenza S.p.A."Cariparma"
(A2/P-1 both under review for possible downgrade). This
represents the second transaction of residential mortgage loans with Cariparma
as originator/seller that Moody's rates. The revolving liquidity
line, equal to 3.2% of the principal amount outstanding
of the notes acts as the main source of liquidity for the Class A notes.
The portfolio will be serviced by Cariparma. If Cariparma's
rating falls below A3 a Backup Servicer Facilitator ("BUS Facilitator")
has to be appointed and in case Cariparma's rating falls below Baa3
a back-up servicer will have to be appointed and the BUS Facilitator
will facilitate the search for a back-up servicer. Cariparma
has put in place an action plan under which it has already identified
a potential entity that could serve as BUS Facilitator.
RATINGS RATIONALE
The ratings of the notes take into account the credit quality of the underlying
mortgage loan pool, the dynamic delinquency data and the vintage
data for defaults and recoveries received from the originator as well
as the transaction structure and any legal considerations as assessed
in Moody's cash flow analysis. Based on the different data-sources
Moody's has determined the MILAN Aaa Credit Enhancement and the portfolio
expected loss.
The expected portfolio loss of 4% of original balance of the portfolio
and the MILAN Aaa required Credit Enhancement of 14% 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, which
is higher than other prime Italian RMBS transactions, are:
(i) the information on the property's occupancy type is missing
for 39.9% of the portfolio, (ii) the weighted average
current loan-to-value (LTV) at 62.1% is slightly
higher than the average for an Italian RMBS transaction and particularly
that 43.8% of the loans are concentrated in the 70%
- 80% LTV bucket, (iii) 35.3% of the
loans in the pool have been originated by using intermediaries; and
(iv) the MILAN number has been qualitatively adjusted in order generate
a loss distribution with a certain volatility to account for a higher
probability of "fat tail" events with respect to the losses.
The key drivers for the portfolio expected loss, which at 4%
is slightly higher than other prime Italian RMBS transactions are:
(i) twelve years of vintage data for defaults show that especially the
younger vintages have a worse performance than the older ones (ii) benchmarking
with comparable transactions in the Italian market; (iii) the negative
outlook on Italian RMBS as further explained in the sector comment "Weakening
Italian Economy Drives Negative Outlook for Italian RMBS" published
on 18 October 2011; (iv) twelve years of vintage data for recoveries
which covers both loans where the recovery process has been finalised
and loans where the recovery process is still ongoing.
The V Score for this transaction is Low/Medium, which is in line
with the score assigned for the Italian Prime RMBS sector. One
component scored differently compared to the sector score: Legal
Regulatory and Other Uncertainty, which is assessed to be Medium
because over the last three years five different renegotiation frameworks,
voluntary or obligatory by law, have been launched on a national
basis (and on a regional basis there are additional ones) and it is probable
that there will be new ones launched in the future which could impact
the future performance of the pool. 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 report
"V Scores and Parameter Sensitivities in the Major EMEA RMBS Sectors"
published in April 2009.
The transaction benefits from a interest rate swap whereby the issuer
pays what the amounts that are collected each period and the swap counterparty
(Cariparma) pays the six-month EURIBOR which the notes a linked
to plus a guaranteed margin of 1.75% per annum over a notional
balance equal to the outstanding amount of the Class A Notes.
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 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.
Parameter Sensitivities for the typical EMEA RMBS transaction are calculated
by stressing key variable inputs in Moody's primary rating model.
If the portfolio expected loss was increased to 10% from 4%,
and all other factors remained the same the model output indicated that
the Class A notes would still have achieved Aaa.
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 noted in Moody's comment 'Rising Severity of Euro Area Sovereign Crisis
Threatens Credit Standing of All EU Sovereigns' (28 November 2011),
the risk of sovereign defaults or the exit of countries from the Euro
area is rising. As a result, Moody's could lower the maximum
achievable rating for structured finance transactions in some countries,
which could result in rating downgrades.
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, and public 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_SF274602.
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.
David Bergman
Asst Vice President - 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 assigns definitve ratings to RMBS Notes issued by MondoMutui Cariparma S.r.l. - Series 2012
