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Announcement:

Moody's: No rating impact on Marche Mutui 4 S.r.l. Italian RMBS from breach of swap bands

04 Mar 2010

Milan, March 04, 2010 -- Moody's Investors Service said today that there is no impact on its ratings of the notes issued by Marche Mutui 4 S.r.l. following a breach of the lower band of the fixed-floating swap.

At closing of the deal (24 July 2009), 34.7% of the pool comprised fixed-rate mortgage loans. To mitigate the fixed-floating-rate mismatch on fixed-rate loans, the issuer entered into a swap agreement. Under this agreement, on each payment date the notional of the swap has to be between an upper and lower band. If the notional is below the lower band, the SPV may have to pay a termination cost due senior in the waterfall.

During the first collection period from 1 June 2009 to 31 January 2010, EUR 51,914,852 of fixed-rate mortgage loans were subject to an interest rate renegotiation, from fixed to floating (always indexed to six-month EURIBOR).

This renegotiation is allowed under the Servicing Agreement - article 6.3 - provided that, among other things, if the aggregate outstanding of mortgage loans that are subject to this interest rate renegotiation is equal to EUR 50,000,000, the issuer enters into a new swap confirmation in order to hedge the interest rate risk on these mortgage loans. There is no limit in the transaction on this type of renegotiation.

As result of prepayments (schedule and unscheduled) and interest rate renegotiations, the notional amount applicable under the fixed-floating loans was EUR 561,346,261. The lower band for the corresponding calculation period was EUR 573,069,550. Consequently, under the terms of the relevant swap confirmation, EUR 202,000 was due to the swap counterparty (JP Morgan Securities Ltd) from the issuer by way of termination payments.

On the basis of the cash generated by the pool, the termination cost paid by the issuer has been entirely covered by excess spread, which was EUR 5,225,416, equivalent to 0.56% on an annual basis (net of the termination cost). Moody's has requested that the swap counterparty calculates the potential termination cost for the next payment date assuming that: (i) the notional of the fixed-floating swap will be below the lower band in the next calculation period by EUR 40,000,000; and (ii) August 2010 six-month EURIBOR forward stays at the same level used to calculate the January termination cost. Assuming a similar amount of excess spread to that of the previous collection period, Moody's expects that termination costs will be fully absorbed by excess spread.

For the EUR 51,914,852 of fixed-rate loans that have converted to floating-rate loans, Issuer decided not to enter into a new confirmation as stated in the original documentation but to amend the existing confirmation that hedges the mortgage loans indexed to six-month EURIBOR. The originator modified the maximum notional schedule of the initial swap to take into account the expected amortisation profile (assuming 0% CPR) of the mortgage loans which have been subject to an interest rate type renegotiation, so that mortgage loans converted to floating loans will be hedged under that initial confirmation. No costs were paid by the issuer. Moody's has factored this change into its analysis and concluded that it has no impact on the ratings of the notes.

At the end of the first collection period, cumulative gross defaults were approximately 1% of the original pool balance. This is very high given the low seasoning of the deal but still in line with Moody's initial assumption (7.8%). Moody's will closely monitor the performance of the deal as and when more data becomes available and will evaluate what impact, if any, it has.

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

London
Neal Shah
Managing Director
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Milan
Pier Paolo Vaschetti
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
Telephone:+39-02-9148-1100

Moody's: No rating impact on Marche Mutui 4 S.r.l. Italian RMBS from breach of swap bands
No Related Data.
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