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Rating Action:

Moody's assigns definitive ratings to the Italian MBS notes issued by Argentario Finance Srl

29 Oct 2009

Approximately EUR 451.7 million of debt securities affected

Milan, October 29, 2009 -- Moody's has assigned definitive ratings to the following classes of notes issued by Argentario Finance Srl:

Aaa to the EUR 173,750,000 Series 2009-1-A1 Asset Backed Floating Rate Notes due December 2055

Aaa to the EUR 173,750,000 Series 2009-1-A2 Asset Backed Floating Rate Notes due December 2055

Baa2 to the EUR 52,100,000 Series 2009-1-B1 Asset Backed Floating Rate Notes due December 2055

Baa2 to the EUR 52,100,000 Series 2009-1-B2 Asset Backed Floating Rate Notes due December 2055

The EUR 40,625,800 Series 2009-1-C Asset Backed Notes due December 2055 are not rated.

The transaction represents the first securitisation of Italian mortgage loans originated by Cassa di Risparmio di Ravenna S.p.A. (CRR) and Banca di Imola S.p.A. (BdI). The assets supporting the Notes, which amount to around EUR 579.2 million, are mortgage loans secured on residential and commercial properties located in Italy. The portfolio will be serviced by CRR.

The Servicer is not rated and there is no back-up servicer appointed at closing. Moody's took comfort from the following, which mitigate the operational risk related to the potential failure of the servicer to perform its functions: (i) there is a Servicer Facilitator (BNP Paribas Securities Services) that is monitoring the core tier 1 ratio of CRR on a quarterly basis and whenever it falls below 8% or upon the request from the RON/Issuer it has to find a back-up servicer, (ii) the IT provider CSE will independently upon request of the RON notify all the borrowers to pay directly into the Issuer's account, (iii) CSE can also, over the web, make it possible for a back-up servicer to have access in read and write form for the full portfolio without contacting CRR, (iv) the Computation Agent is obliged to prepare the Payment Report, covering items until the interest on the rated notes in the waterfall, and instruct the Paying Agent to pay those items using inter alia the collections credited to the Issuer's account and also is able to draw on the liquidity line, even in case CRR does not prepare a servicer report on time, (v) the hedging counterparty (Banca Popolare Alto Adige) must do the calculations under the swap even in case CRR does not prepare the servicer report on time, using the latest available servicer report (vi) a subordinated loan, working as a liquidity line, given by CRR and BdI and collateralised with Italian floating rate bonds (Certificati di Credito del Tesoro) for an amount equal to 7.15% of the rated notes initial balance has been put at disposal for the Issuer in order to cover interest on the rated notes and (vii) if the servicer report is not available only a non payment of interest (covered through liquidity above) on the notes would count as an event of default.

The expected portfolio loss of 1.75% and the MILAN Aaa required credit enhancement of 10.8% serve as input parameters for Moody's cash flow and tranching 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. Given that the amount of commercial borrowers in the portfolio is not higher than 7% the expected loss number is in line with an average deal that only contains individual borrowers. Moody's has received nine years of static pool data for residential mortgage loans originated by CRR and BdI and the data indicates that the defaults for individual borrowers are in line with the Italian market. Although Moody's has received nine years of static pool data showing that the defaults for the commercial borrowers are lower than the average for the Italian market, the expected default rate for those borrowers has mainly been driven by the methodology described in the report "Refining the ABS SME Approach: Moody's Probability of Default assumptions in the rating analysis of granular Small and Mid-sized Enterprise portfolios in EMEA" published in March 2009. The originators have also provided Moody's with nine years of static pools for recoveries split by borrower type and both the recoveries for individuals and companies are higher than the average.

The RMBS part of the pool has a WALTV and seasoning that is in line with other Italian pure RMBS transactions. The fact that the occupancy type is missing for all individual borrowers and that around 10% of the loans have other as loan purpose drives the Milan credit enhancement number to a higher level than for the average transaction. The Milan credit enhancement number for the commercial pool has been estimated starting at the mean probability of default assumption, as explained above, and then stressing it 3.3 times and also considering in addition whether the client is current on debts towards other banks (using Centrale dei Rischi) and if not for how many days he is overdue. The severity following default for such borrowers has been increased by a further 25% to account for the reduced expected recovery.

The principal methodologies used in rating the transaction 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, 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 issue 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 in "Structured Finance Quick Check" at www.moodys.com/SFQuickCheck.

The V Score for this transaction is Medium, which is in higher than V score assigned for the Italian RMBS sector. The main drivers of the increase in the V-score has been (i) the lack of a back-up servicer appointed at closing given that CRR is unrated, (ii) the analytical and transaction complexity with the peculiar waterfall containing two subclasses of each note with phased interest payment dates and the deferred purchase price that is paid, using principal collections, during the first 18 months of the transaction and (iii) the fact that the lion's share of the historical data was only updated until end of 2008, with dynamic arrears figures updated only to March 2009. V Scores are a relative assessment of the quality of available credit information and of 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 accordingly to the report "V-Scores and Parameter Sensitivities in the Major EMEA RMBS Sectors" published in April 2009.

The definitive ratings address the expected loss posed to investors by the legal final maturity. The structure allows for timely payment of interest and ultimate payment of principal at par on or before the legal final maturity date. 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.

To obtain a copy of Moody's New Issue Report on this transaction, please see Moody's website www.moodys.com or contact our Client Service Desk in London +44-20-7772 5454

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

Milan
David Bergman
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service
Telephone:+39-02-9148-1100

Moody's assigns definitive ratings to the Italian MBS notes issued by Argentario Finance Srl
No Related Data.
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