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Rating Action:

Moody's assigns definitive ratings to Italian RMBS Notes issued by Media Finance Srl (Media 3)

11 Feb 2011

Approximately EUR 388.65 million of debt securities affected

Madrid, February 11, 2011 -- Moody's Investors Service has assigned definitive long term ratings to Italian RMBS notes issued by Media Finance Srl (Media 3):

A1(sf) to the EUR 388,650,000 Class A Asset Backed Fixed Rate Notes due 2057 (Series 2009-1-A Notes)

The EUR 54,100,000 Class B Asset Backed Notes due 2057 (Series 2009-1-B Notes) 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 Banca Popolare di Puglia e Basilicata S.C.P.A. ("BPPB"). 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 BPPB (unrated entity). The assets supporting the notes which initially amounted to around EUR 435.0 million consists of residential mortgage loans on properties mainly located in Southern Italy (approximately 78% of the portfolio). As a peculiarity in the deal, around 90% of the outstanding portfolio are fixed interest mortgage loans, with Class A also paying fixed interest rate (4.0%). The portfolio will be serviced by BPPB (unrated) and Cassa di Risparmio di Volterra S.p.A. (Baa1/P-2) has been appointed as back-up servicer as of rating date.

The expected portfolio loss of 3.4% of the current asset balance and the MILAN Aaa required Credit Enhancement of 12.7% 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 higher than the Italian average for this sector, are: (i) defaults on global BPPB residential mortgage book, above the Italian index and showing high volatility among vintages, (ii) historical information received from BPPB shows a weak recovery rate, with a lag longer than the average observed in the Italian market and (iii) benchmarking with comparable transactions in the Italian market.

The key drivers for the MILAN Aaa Credit Enhancement number, which is higher than other Italian RMBS transactions are: (i) the relatively high level of losses assumed in the expected case, (ii) 21% of borrowers were initially introduced to BPPB by intermediaries related to these or other credit products, and (iii) the high concentration in Southern Italy (78%).

The servicer in this transaction is an unrated entity (BPPB). Moody's has taken a conservative view on the risk profile of the entity for the assessment of commingling, set-off and other possible source of credit linkage.

The transaction closed in December 2009 and was initially not rated by Moody's. The initial amount of the Class A notes issued at closing (shown above next to the assigned rating) was EUR388.65 million. The outstanding Class A balance as of the last payment date in January 2011 remains at EUR388.65 million due to the initial lock-up period, but the current amount available in the accumulation account for the repayment of Class A at the IPD of July 2011 is equal to EUR63.6 million. Moody's rating analysis of the notes considered the positive impact of this expected amortisation.

The Reserve Fund was initially funded at 1.78% of the portfolio amount as of closing. It currently represents 1.82% of the outstanding portfolio (being funded at 87.6% of its target amount). The total credit enhancement for the Class A notes is 14.3%, as of January 2011, of which 1.82% is reserve fund, and 12.5% is portfolio subordination (all percentages expressed as a fraction of the outstanding portfolio).

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 sub components of the transaction's V Score differ from the Italian RMBS sector score: i) the "Issuer/Sponsor/Originator's Historical Performance Variability" which is assessed at Medium, higher than the Low sector's average, because of the weaker performance shown in recent vintages, as well as the recovery rate and lag being worse than the Italian average; ii) the "Market Value Sensitivity" which is assessed at Low, lower than the Low/Medium sector's average because of the lower volatility in the market value due to the fact that Class A and 90% of the outstanding portfolio pay fixed interest rate, and (iii) the "Back-up Servicer Arrangement" which is assessed at Medium, higher than the Low sector's average, as BPPB is an unrated servicer, not a standard in the Italian RMBS market.

Moody's Parameter Sensitivities: If the MILAN Aaa CE was increased from 12.7% to 15.2% the model output indicated that Class A would have achieved A2 assuming that expected loss remained at 3.4% 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 one or more 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.

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.

Madrid
Antonio Tena
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Milan
Michelangelo Margaria
VP - Senior Credit Officer
Structured Finance Group
Moody's Italia S.r.l
Telephone:+39-02-9148-1100

Moody's Investors Service Espana, S.A.
Barbara de Braganza, 2
Madrid 28004
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's assigns definitive ratings to Italian RMBS Notes issued by Media Finance Srl (Media 3)
No Related Data.
© 2022 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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