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I AGREE
23 Jul 2010
Paris, July 23, 2010 -- Moody's concluded that the unanticipated interest rate renegotiations
as well as recent downgrade of the servicer have no negative rating impact
on the notes issued by SanVitale 1 S.r.l.
Between the 1st February 2009 and the closing date (11th August 2009)
unexpected interest rate renegotiations occurred and the impact of those
was not reflected in the pool provided as of the 30July 2009 to Moody's.
As per the pool provided, 18.72% of the loans were
fixed-rate mortgage loans. To mitigate the fixed-floating-rate
mismatch on fixed-rate loans, the issuer entered into a swap
agreement effective on the closing date. Under this agreement,
on each payment date the notional of the swap has to be within upper and
lower bands. If the notional is below the lower band, the
SPV may have to pay a termination cost due senior in the waterfall.
After the closing date, the servicer realized that EUR 7,757,476
mortgage loans were subject to an unexpected interest rate renegotiation,
and have switched from fixed to floating rate loans. This corresponds
to 54 loans, out of which: 2 have been fully repaid,
50 were actually loans indexed on one-month EURIBOR, two
on three-month EURIBOR and two on ECB rate. Swap documentation
was based on the information provided as of the 30 July 2009 and hence
did not consider those renegotiations for the determination of the notional
of the swap.
As result of principal payments (scheduled and unscheduled) and those
interest rate renegotiations, the notional amount applicable under
the fixed-floating loans is reduced to EUR 55,833,253.
The lower band for the corresponding calculation period is EUR 54,604,585
and the higher band is EUR 65,122,88. The current swap
notional is within those two limits and consequently there is no termination
cost due under the terms of the relevant swap confirmation.
The issuer decided to keep the swap documentations entered into at closing
unchanged and the EUR 7,757,476 of fixed-rate loans
that have converted to floating-rate loans will not be hedged against
interest rate risk. Therefore, the transaction is exposed
to an additional basis risk arising from a mismatch between the 3-months
EURIBOR payable on the Notes and the interest rate received from the collateral.
To mitigate the impact of this increased interest rate risk, EUR
409,134 will be added to the reserve fund leading to a 5.11%
reserve fund (versus the original 5% as of closing). This
increase has been sized using historical data on interest rates and expected
future loan amounts assuming no prepayment and no default. Moody's
has factored this change into its analysis and concluded that it has no
impact on the ratings of the notes.
Downgrade of Banca Monte Parma S.P.A
As of June 22, 2010, the servicer Banca Monte Parma S.P.A
has been downgraded from Baa2/P-2 to Baa3/P-3. In
Moody's view, this does not impact the ratings of the notes
because of the existence of structural features reducing the exposure
to the servicer (trigger to appoint a back-up servicer at loss
of Baa3, notification trigger at loss of Ba2 as well as cash commingling
risk mitigants.)
Moody's rated and monitors this transaction using the rating methodology
for EMEA RMBS as described in the Rating Methodology reports "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" published in January 2006 which can be found at www.moodys.com
in the Rating Methodologies sub-directory under the Research &
Ratings tab. Other methodologies and factors that may have been
considered in the process of rating this issuer can also be found in the
Rating Methodologies sub-directory on Moody's website. 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 ratings address the expected loss posed to investors by the legal
final maturity of the notes. Moody's ratings address only the credit
risks associated with the transactions. Other non-credit
risks have not been addressed, but may have a significant effect
on yield to investors.
Paris
Elise Lemaire
Associate Analyst
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
London
Christophe de Noaillat
Senior Vice President
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Investors Service said today that there is no impact on its ratings of the notes issued by SanVitale 1 S.r.l., Italian RMBS, following unanticipated interest rate renegotiations and downgrade of the servicer.
No Related Data.
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