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Rating Action:

Moody's assigns definitive ratings to the Series 2003-2 RMBS notes issued by Mercurio Mortgage Finance Srl 2003 - 2

19 Aug 2010

Approximately EUR 450.4 million of Debt Securities Rated

Milan, August 19, 2010 -- Moody's has assigned definitive ratings to the following classes of notes issued by Mercurio Mortgage Finance Srl:

Aaa (sf) to the EUR 1,018,400,000 Class A Mortgage Backed Floating Rate Notes Series 2003-2 due 2036

Aaa (sf) to the EUR 21,900,000 Class B Mortgage Backed Floating Rate Notes Series 2003-2 due 2036

Aa3 (sf) to the EUR 17,500,000 Class C Mortgage Backed Floating Rate Notes Series 2003-2 due 2036

Baa2 (sf) to the EUR 37,200,000 Class D Mortgage Backed Floating rate Notes Series 2003-2 due 2036

The current outstanding balance of the different classes are approximately: Class A EUR 384.9 million; Class B EUR 18.7 million; Class C EUR 15.0 million;Class D EUR 31.8 million.

RATINGS RATIONALE

The definitive ratings take into account, (i) that the pool has a WALTV that is slightly lower than other Italian RMBS transactions (ii) the fact that 84.5% of the borrowers have never been in arrears since the loan was disbursed together with the long weighted average seasoning of around eight years reduces the MILAN Aaa CE number significantly (iii) the financial and operational strength of Barclays Bank PLC (Aa3/Prime-1).Moody's considered as weaknesses of the transaction the missing data for employment type, occupancy type, credit bureau data from Centrale dei Rischi and that 24.1% of the portfolio consist of loans with increasing instalments.

The transaction represents the second securitisation of Italian residential mortgage loans originated by Barclays Bank PLC (previously Banca Woolwich S.p.A., now Barclays Bank PLC), Milan Branch (Barclays), rated Aa3/Prime-1. The assets supporting the notes, which amount to around EUR 451.15 million, are prime mortgage loans secured on residential properties located in Italy. The portfolio will be serviced by Barclays. Moody's had not issued public ratings for these notes previously.

Moody's assigned a Composite V Score for this transaction of Low/Medium based on Moody's V Score rating methodology as published in the report "V-Scores and Parameter Sensitivities in the Major EMEA RMBS Sectors" published in April 2009, which is in line with the V score assigned for the Italian RMBS sector. The main factor to note in the V-score is the Disclosure of Securitisation and Collateral Pool Characteristics which stands at Medium given that the data for employment type, occupancy type and the credit bureau data from Centrale dei Rischi are all missing in the updated pool cut that Moody's has received. 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 expected portfolio loss of 1.4% and the MILAN Aaa required credit enhancement of 6.2% 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. The expected loss number which is in line with the Italian average for this sector takes into account: (i) dynamic delinquency figures that seven years after the issuance of the notes currently stands at around 1.7% of the current balance which is in line with the Italian RMBS index; (ii) the amount of defaults that have been experienced so far; (iii) a weighted average seasoning of around eight years for the pool, and (iv) ten years of static pools for recoveries that show recoveries in line with the Italian market.

Moody's Parameter Sensitivities: If the Expected Loss was increased from 1.4% to 4.2%, the model output indicated that Classes A, B, C and D would have achieved Aa2, Aa3, Baa1 and B2 assuming that MILAN Aaa CE remained at 9.92% 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 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 schedule principal with respect of the notes by the legal final maturity. 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 yield to investors.

The principal methodologies used in rating Mercurio Mortgage Finance 2003 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. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found on Moody's website.

Moody's Investors Service received and took into account one third party due diligence report on the underlying assets or financial instruments in this transaction and the due diligence report 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, parties not involved in the ratings (including third party due diligence), public information and confidential and proprietary Moody's Investors Service information.

Moody's Investors Service considers the quality of information available on the issuer 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.

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 Investors Service adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from reliable sources; however, Moody's Investors Service does not and cannot in every instance independently verify, audit 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.

London
Neal Shah
MD - Structured Finance
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 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 the Series 2003-2 RMBS notes issued by Mercurio Mortgage Finance Srl 2003 - 2
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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