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Rating Action:

Moody's assigns definitive ratings to Italian RMBS Notes issued by Asti Finance Srl

18 Nov 2010

Approximately EUR 427 million of debt securities affected

Milan, November 18, 2010 -- Moody's Investors Service has assigned definitive long term ratings to Italian RMBS notes issued by Asti Finance Srl:

Aaa (sf) to the EUR 427,000,000 Class A Asset Backed Floating Rate Notes due 2052

The EUR 46,400,000 Class B Asset Backed Floating Rate Notes due 2052 are not rated by Moody's.

RATINGS RATIONALE

The rating 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 Cassa di Risparmio di Asti S.p.A. ("CR Asti"). Based on the different data sources Moody's has determined the Aaa MILAN Credit Enhancement and the expected loss for the portfolio. The transaction structure and legal considerations have been assessed in Moody's cash flow analysis.

The transaction represents the third securitisation of Italian residential mortgage loans originated by CR Asti (Not rated). The assets supporting the notes which amount to around EUR 473.4 million consists to 95.5% of residential mortgage loans on properties located in Italy and 4.5% of cash collected from the portfolio from the valuation date as per end of April 2010 until end of September 2010. The transaction benefits from a cash reserve equal to 4.0% of the asset balance that can be used during the life of the deal to cover interest shortfall and to cover provisions for defaulted loans. The portfolio will be serviced by CR Asti (Not rated) and Cassa di Risparmio di Ferrara S.p.A. (Baa3/P-3) has been appointed as back-up servicer at closing.

The expected portfolio loss of 2.3% of the asset balance and the MILAN Aaa required Credit Enhancement of 10.8% 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 key drivers for the portfolio expected loss, which is in line with the Italian average for this sector, are: (i) ten years of vintage data for defaults based on loans with similar characteristics as the ones in the portfolio, (ii) it has been considered that the market wide default rate for mortgage loans in Italy has increased rapidly since 2008 and given the current and estimated future macroeconomic conditions in Italy the vintage data has been qualitatively adjusted since Moody's does not forecast that the market wide default rates will swiftly return to the levels seen between 2001 and the beginning of 2008, (iii) the dynamic delinquency data received from the bank, (iv) ten years of vintage data for recoveries received from the originator from both opened and closed files showing a recovery rate and lag in line with the Italian market and (v) benchmarking with comparable transactions in the Italian market.

The key drivers for the MILAN Aaa Credit Enhancement number, which is slightly higher than other Italian RMBS transactions are: (i) a weighted average loan-to-value (LTV) of 62.2% which is higher than other Italian transactions, (ii) 37.7% of the borrowers are self-employed which is higher than in an average Italian transaction, (iii) for almost half of the pool (47.9%) the occupancy type is missing and therefore it has been assumed that all of these properties are vacation homes, (iv) almost a third of the loans in the pool, 31.7%, have been disbursed with equity release as loan purpose which is much higher than in an average Italian transaction.

Finally the fact that the portfolio was sold with economic effect as per 30 April 2010 and consequently all the collections made after that belong to the SPV has had an impact on both the expected loss and the MILAN Aaa Credit Enhancement since as per end of September the assets backing the notes consisted to around 95.5% of the initial mortgage pool and the remaining 4.5% of cash, in the form of principal collections. For the cash both the expected as well as the stressed default rate is insignificant.

The V Score for this transaction is in the higher end of the Low/Medium range, which is in line with the V score assigned for the Italian RMBS sector. Three components of the transaction's V Score differ from the Italian RMBS sector score and this is mainly due to: (i) the dynamic delinquency data has not been updated since October 2009, (ii) the two previous transactions made by CR Asti has previously drawn on the reserve fund mainly due to a large portion of semi-annually paying loans while more recently the draws on the reserve funds have occurred each payment date due to increasing levels of defaults, (iii) the back-up servicing agreement does inter alia not provide for any periodic data transfers or dedicated trained personnel and therefore the back-up servicer is unlikely to be immediately ready to take over the servicing activities, (iv) the lack of a notification to the borrowers to pay immediately to the SPV upon breach of a rating trigger. V Scores are a relative assessment of the quality of available credit information and 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 according to the report "V Scores and Parameter Sensitivities in the Major EMEA RMBS Sectors" published in April 2009.

Moody's Parameter Sensitivities: If the expected loss was increased from 2.3% to 4.6% the model output indicated that Class A would have achieved Aaa assuming that MILAN Aaa CE remained at 10.8% 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 definitive 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 at par on or before the final legal maturity date of the notes. 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 the 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.

Moody's Investors Service received and took into account two third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating.

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, 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.

The reports mentioned above are available on 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.

Additional research, including the new issue report for this transaction and reports for prior transactions, are available at www.moodys.com. 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 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.

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
David Bergman
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

Moody's assigns definitive ratings to Italian RMBS Notes issued by Asti Finance Srl
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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