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Announcement:

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.

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.
© 2018 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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