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I AGREE
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
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Moody's adopts all necessary measures so that the information it uses
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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
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and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
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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.
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