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Rating Action:

Moody's confirms two notes and downgrades one note in three Italian RMBS transactions

26 Jun 2013

London, 26 June 2013 -- Moody's Investors Service has today confirmed the ratings of two mezzanine notes in two Italian residential mortgage-backed securities (RMBS) transactions: Mecenate 2007 and Mecenate S.r.l. Series 2011. At the same time, Moody's downgraded the rating of one junior note in Mercurio Mortgage Finance S.r.l. 2003-2. Insufficiency of credit enhancement to address sovereign risk have prompted today's downgrade.

Today's rating action concludes the review of Class D notes in Mercurio Mortgage Finance S.r.l. 2003-2 placed on review on 2 August 2012, following Moody's downgrade of Italian government bond ratings to Baa2 from A3 on 13 July 2012. This rating action concludes the review of Class C notes in Mecenate 2007, placed on review on 13 Mar 2013, following Moody's review of collateral assumptions for the entire Italian RMBS market. This rating action also concludes the review of Class A3 notes in Mecenate S.r.l. Series 2011, placed on review on 13 Mar 2013, due to the insufficiency of credit enhancement to address sovereign risk following the introduction of additional factors in Moody's analysis to better measure the impact of sovereign risk on structured finance transactions (see "Structured Finance Transactions: Assessing the Impact of Sovereign Risk", 11 March 2013).

For a detailed list of affected ratings, see towards the end of the ratings rationale section.

RATINGS RATIONALE

Today's rating action primarily reflects the insufficiency of credit enhancement to address sovereign risk, counterparty exposure and revision of key collateral assumptions. Moody's confirmed the ratings of securities whose credit enhancement and structural features provided enough protection against sovereign and counterparty risk.

The determination of the applicable credit enhancement driving today's rating actions reflects the introduction of additional factors in Moody's analysis to better measure the impact of sovereign risk on structured finance transactions (see "Structured Finance Transactions: Assessing the Impact of Sovereign Risk", 11 March 2013). This report is Available on www.moodys.com and can be accessed via the following link: (http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF319988).

-- Additional Factors Better Reflect Increased Sovereign Risk

Moody's has supplemented its analysis to determine the loss distribution of securitised portfolios with two additional factors, the maximum achievable rating in a given country (the Local Currency Country Risk Ceiling) and the applicable portfolio credit enhancement for this rating. With the introduction of these additional factors, Moody's intends to better reflect increased sovereign risk in its quantitative analysis, in particular for mezzanine and junior tranches.

The Italian country ceiling, and therefore the maximum rating that Moody's will assign to a domestic Italian issuer including structured finance transactions backed by Italian receivables, is A2. Moody's Individual Loan Analysis Credit Enhancement (MILAN CE) represents the required credit enhancement under the senior tranche for it to achieve the country ceiling. By lowering the maximum achievable rating for a given MILAN, the revised methodology alters the loss distribution curve and implies an increased probability of high loss scenarios.

-- Revision of Key Collateral Assumptions

During its review Moody's also reassessed the MILAN CE assumptions of the transactions underlying portfolios based on available loan-by-loan information. As a result, Moody's maintained the current MILAN CE assumptions in the three transactions: 8.5% in Mecenate 2007, 16.5% in Mecenate S.r.l. Series 2011 and 8.5% in Mercurio Mortgage Finance S.r.l.

Moody's maintained the current expected loss assumptions of 4.7% in Mecenate S.r.l. Series 2011 and 1.52% in Mercurio Mortgage Finance S.r.l., and increased to 3.47% in Mecenate 2007.

-- Exposure to Counterparty Risk

Moody's takes into consideration the commingling and set-off risks being sufficiently mitigated. Moody's has assessed the probability and effect of a default by the servicers in these three deals on the ability of the issuers to meet their obligations under the transactions. These exposures have no impact in the current rating of the notes.

OTHER DEVELOPMENTS MAY NEGATIVELY AFFECT THE NOTES

In consideration of Moody's new adjustments, any further sovereign downgrade would negatively affect structured finance ratings through the application of the country ceiling or maximum achievable rating, as well as potentially increased portfolio credit enhancement requirements for a given rating.

As the euro area crisis continues, the ratings of structured finance notes remain exposed to the uncertainties of credit conditions in the general economy. The deteriorating creditworthiness of euro area sovereigns as well as the weakening credit profile of the global banking sector could further negatively affect the ratings of the notes.

The methodologies used in these ratings were Moody's Approach to Rating RMBS Using the MILAN Framework, published in May 2013, and The Temporary Use of Cash in Structured Finance Transactions: Eligible Investment and Bank Guidelines, published in March 2013. Please see the Credit Policy page on www.moodys.com for a copy of these methodologies.

Moody's describes additional factors that may affect the ratings in "Approach to Assessing Linkage to Swap Counterparties in Structured Finance Cashflow Transactions: Request for Comment" (http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF289772), published on 2 July 2012.

In reviewing these transactions, Moody's used ABSROM to model the cash flows and determine the loss for each tranche. The cash flow model evaluates all default scenarios that are then weighted considering the probabilities of the lognormal distribution assumed for the portfolio default rate. In each default scenario, Moody's calculates the corresponding loss for each class of notes given the incoming cash flows from the assets and the outgoing payments to third parties and noteholders. Therefore, the expected loss or EL for each tranche is the sum product of (1) the probability of occurrence of each default scenario; and (2) the loss derived from the cash flow model in each default scenario for each tranche.

As such, Moody's analysis encompasses the assessment of stressed scenarios.

In the context of the rating review, the transactions have been remodeled and some inputs have been adjusted to reflect the new approach described above. In addition, for Mecenate 2007 Moody's corrected the modeling of the artificial write-off mechanism and the amortization mechanism of the notes. For Mecenate S.r.l. Series 2011 Moody's corrected the modeling of the artificial write-off mechanism, the amortization mechanism of the notes and the junior notes margin.

THE LIST OF AFFECTED RATINGS

Issuer: Mecenate 2007

....EUR39.75M C Notes, Confirmed at Baa2 (sf); previously on Mar 13, 2013 Baa2 (sf) Placed Under Review for Possible Downgrade

Issuer: Mecenate S.r.l. - Series 2011

....EUR99.4M A3 Notes, Confirmed at A2 (sf); previously on Mar 13, 2013 A2 (sf) Placed Under Review for Possible Downgrade

Issuer: Mercurio Mortgage Finance S.R.L. 2003-2

....EUR37.2M D Notes, Downgraded to Baa3 (sf); previously on Aug 2, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade

REGULATORY DISCLOSURES

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of these transactions in the past six months.

For ratings issued on a program, series or category/class of debt, this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this rating action, and whose ratings may change as a result of this rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Maria Divid
Analyst
Structured Finance Group
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Annabel Schaafsma
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Antonio Tena
AVP-Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Releasing Office:
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's confirms two notes and downgrades one note in three Italian RMBS transactions
No Related Data.
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