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06 Jul 2011
Approximately 357.8 million of debt securities affected.
Milan, July 06, 2011 -- Moody's Investors Service has today confirmed the rating of Aaa(sf)
on the Class A notes in Grecale ABS S.r.l. --
Series 2009. Moody's considers the amendments made to the
transaction, namely the immediate appointment of a back-up
servicer and the amendment to the cash reserve, which now covers
only interest on the Class A notes and items senior thereto.
Today's rating action conclude the review of the transaction following
the implementation on 2 March 2011 of Moody's rating guidance entitled
"Global Structured Finance Global Operational Risk Guidelines:
Moody's Approach to Analysing Performance Disruption Risk".
LIST OF AFFECTED NOTES
Issuer: Grecale ABS S.r.l. -- Series 2009
Euro 531,700,000 Class A Residential Mortgage Backed Floating
Rate notes due April 2056 confirmed at Aaa (sf); previously on March
2, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Back-up servicer appointed
In April 2011 Cassa di Risparmio di Volterra S.p.A.
(Baa3/P-3) has been appointed as back-up servicer (BUS).
In case there would be servicer termination event with respect to Unipol
Banca S.p.A. (Baa2/P-2) the BUS has confirmed
that it would be prepared to start to act as servicer at any moment.
After the payment date in April 2011 the cash reserve is equal to around
12.5 million which is equal to around 3.5%
of the Class A Notes. The cash reserve mechanics has also been
amended: now it only covers interest on the Class A notes and items
senior thereto except for at final legal maturity when it also can cover
principal deficiency, while before the amendment it covered for
the principal deficiency on each payment date. The seniority of
the cash reserve in the waterfall has not been changed so it would only
be filled up to its target level when the principal deficiency ledger
has been fully repaid. However, at its current level,
even if there were no collections from the portfolio, the cash reserve
would be enough to cover interest on the rated notes and senior fees for
more than 6 months assuming that six-month EURIBOR is equal to
6%. The principal-to-pay-interest mechanism
provides additional liquidity
Calculation agent and estimates
The transaction documents entered into at closing already included provisions
to allow that if the servicer report is not available on the servicer
report date the calculation agent will prepare the payment report on the
basis of the information in its possession. In the same manner
the payments under the swap contracts will be calculated using the last
available servicer report, i.e. the lack of a servicer
report will not trigger a default on the swap. The non payment
of principal on the Class A Notes would only trigger a default at the
final legal maturity date.
The principal methodology used in rating and monitoring the transaction
was: "Moody's Approach to Rating RMBS in Europe Middle East
and Africa", published in October 2009. The Operational
Risk Guidelines described in this press release complement the applicable
principal methodologies for each asset class. Further information
regarding the operational risks can be found in the report "Global
Structured Finance Operational Risk Guidelines: Moody's Approach
to Analyzing Performance Disruption Risk" published in April 2011.
Asst Vice President - Analyst
Structured Finance Group
Moody's Italia S.r.l
VP - Senior Credit Officer
Structured Finance Group
Moody's Italia S.r.l
Moody's Italia S.r.l
Moody's confirms Italian RMBS notes issued by Grecale ABS S.r.l. -- Series 2009
Corso di Porta Romana 68
No Related Data.
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