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Rating Action:

Moody's downgrades Eurohome (Italy) Mortgages S.r.l. RMBS notes

18 May 2009

EUR 257 million of debt securities affected

London, 18 May 2009 -- Moody's Investors Service has today downgraded all the classes of notes issued by Eurohome (Italy) Mortgages S.r.l. ("Eurohome (Italy)").

A detailed list of the rating actions is provided at the end of this press release.

The rating actions conclude the review for downgrade, which was initiated on 19 February 2009. The downgrades were prompted by worse than expected collateral performance.

The transaction contains mortgage loans originated by Deutsche Bank Mutui in Italy. Eurohome (Italy) closed in December 2007 and its current pool factor is 92.8%. Delinquencies are significantly higher than Moody's initially expected. As of April 2009, 13.5% of the loans were delinquent by at least three monthly installments, while in total 18.2% of the pool were delinquent by at least one monthly installment. Cumulative defaults are 3.38% of the initial pool balance. The collateral performance in this transaction deviates substantially from the Italian sector average. As highlighted in the New Issue Report at closing the Eurohome (Italy) pool comprised mortgages not typically found in the Italian mortgage market. Around 48% of the closing pool were debt consolidation or equity release products, and 30% of the mortgages had an LTV above 80%.

The provisioning mechanism for loans that are in arrears by 12 monthly installments or otherwise classified as defaulted, has led to the Class E Principal Deficiency Ledger (PDL) being credited by a net amount of EUR 2,380,355 in the Interest Payment Date (IPD) in May 2009. By this mechanism, the equivalent of the loan amount classified as defaulted is credited to the PDL and leads to trapping of available excess spread and, in case excess spread is insufficient, to drawings of the reserve fund. As a result of the level of defaults, the reserve fund was fully drawn in the May IPD leaving a PDL closing balance equivalent to 0.93% of the outstanding rated noted balance. Moody's expects significant additional amounts to be credited to the PDL on future interest payment dates. The Class E Interest Deferral Trigger is breached if cumulative defaults are greater than 4%. Moody's expects this trigger to be breached in the near future. This would mean the Class E notes would not receive any interest payments while any unpaid PDL was outstanding.

Moody's has assessed updated loan-by-loan information of the outstanding portfolio to determine the volatility of future losses. Taking into account the current amount of realized defaults, and completing a roll-rate and severity analysis for the non-defaulted portion of the portfolio, Moody's has adjusted its default expectations for this portfolio to 14% of original balance which corresponds to a loss expectation of 7.2% of original balance. The original expectated gross default range was 4.6% to 5.0% which corresponded to an original expected loss of 2.0% to 2.2%. The Aaa CE was also adjusted from a range of 14.1% - 14.5% at closing to 19.0% after the review. The loss expectation and the Aaa CE are the two key parameters used by Moody's to calibrate the loss distribution curve. The current Aaa available credit enhancement (note subordination less unpaid PDL) is 16.6%.

Moody's rated and monitors this transaction using the rating methodology for EMEA RMBS as described in the Rating Methodology reports "Moody's Approach to Rating Italian RMBS" published in December 2004 and "Revising Default/Loss Assumptions Over the Life of an ABS/RMBS Transaction" published in December 2008. As more performance information regarding this transaction becomes available, Moody's may revisit the current assumptions in respect of roll rates and recovery rates for defaulted loans as the limited information currently available does not permit to finally assess the performance. At this stage, no transaction-specific data on recoveries has been available. The last rating action on Eurohome (Italy) was to place the notes on review for downgrade on 19 February 2009.

Moody's ratings address the expected loss posed to investors by the legal final maturity 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 yield to investors.

LIST OF DETAILED RATING ACTIONS

Eurohome (Italy) Mortgages S.r.l.:

- Class A, Downgraded to Aa1 from Aaa; previously on 19 February 2009 Placed Under Review for Possible Downgrade;

- Class B, Downgraded to A3 from Aa2; previously on 19 February 2009 Placed Under Review for Possible Downgrade;

- Class C, Downgraded to Ba1 from A1; previously on 19 February 2009 Placed Under Review for Possible Downgrade;

- Class D, Downgraded to Caa1 from Baa2; previously on 19 February 2009 Placed Under Review for Possible Downgrade; and

- Class E, Downgraded to C from B3; previously on 19 February 2009 Placed Under Review for Possible Downgrade

London
Barbara Rismondo
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

London
Jonathan Livingstone
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's downgrades Eurohome (Italy) Mortgages S.r.l. RMBS notes
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