Note: On February 8, Added the following paragraph under Factors and Sensitivity Analysis:
As noted in Moody's comment 'Rising Severity of Euro Area Sovereign Crisis Threatens Credit Standing of All EU Sovereigns' (28 November 2011), the risk of sovereign defaults or the exit of countries from the Euro area is rising. As a result, Moody's could lower the maximum achievable rating for structured finance transactions in some countries, which could result in rating downgrades.
Revised release follows:
London, 02 February 2012 -- Moody's Investor Service downgraded the ratings of senior notes
issued by BP Mortgages S.r.l., Marche Mutui
2 S.r.l. and Marche Mutui Società per la Cartolarizzazione
S.r.l. All affected ratings are listed at the end
of this press release. The ratings were placed on review for possible
downgrade on 20 October 2011 following the downgrade of the banks acting
as servicer in the transactions.
RATINGS RATIONALE
Moody's downgraded the senior notes in the three transactions because
of insufficient back-up servicing arrangements.
BP Mortgages S.r.l.
Banca Popolare Soc. Coop. (Baa2/not on watch) acts as servicer
in BP Mortgages S.r.l. transaction. Moody's
action reflects the fact that there is no back-up servicer facilitator
in place to ensure a timely implementation of a back-up servicer
should Banca Popolare Soc. Coop breach the back-up servicer
trigger on downgrade below Baa3. Uncertainty mainly stems from
the insufficient back-up servicing arrangements. If the
rating of the servicer is downgraded further, while no satisfactory
back-up arrangements are in place, the ratings would be negatively
affected.
Marche Mutui 2 S.r.l.
Banca delle Marche S.p.A. (Baa1/not on watch) acts
as servicer in Marche Mutui 2 S.r.l. transaction.
Moody's action reflects the fact that there is no back-up servicer
facilitator in place to ensure a timely implementation of a back-up
servicer should Banca delle Marche S.p.A. breach
the back-up servicer trigger on downgrade below Baa3. Uncertainty
mainly stems from the insufficient back-up servicing arrangements.
If the rating of the servicer is downgraded further, while no satisfactory
back-up arrangements are in place, the ratings would be negatively
affected.
Marche Mutui Societa' per la Cartolarizzazione S.r.l.
Banca delle Marche S.p.A. (Baa1/not on watch) acts
as servicer in Marche Mutui Società per la Cartolarizzazione S.r.l.
Moody's action reflects the absence of any back-up servicing arrangements
in this transaction. In addition to the lack of back up servicer
facilitator this transaction does not contemplate any trigger to appoint
a back up servicer at loss of investment grade of the servicer.
Uncertainty mainly stems from the lack of a back-up servicing arrangements.
If the rating of the servicer is downgraded further, while no back-up
servicing arrangements are in place, the ratings would be negatively
affected.
FACTORS AND SENSITIVITY ANALYSIS
As noted in Moody's comment 'Rising Severity of Euro Area Sovereign Crisis Threatens Credit Standing of All EU Sovereigns' (28 November 2011), the risk of sovereign defaults or the exit of countries from the Euro area is rising. As a result, Moody's could lower the maximum achievable rating for structured finance transactions in some countries, which could result in rating downgrades.
Key modelling assumptions, sensitivities, cash-flow
analysis and stress scenarios have not been updated as the rating action
has been primarily driven by review of operational risk. Uncertainty
mainly stems from
the timing to identify and appoint a successor servicer and to complete
a servicing transfer. This is further exacerbated for these transactions
where a trigger to obtain a backup servicer upon loss of investment grade
status is missing.
Should a servicing transfer take longer than expected following an operational
disruption, the rating would be negatively affected.
The principal methodology used in these ratings was Moody's Approach to
Rating RMBS in Europe, Middle East, and Africa, published
in October 2009. Please see the Credit Policy page on www.moodys.com
a copy of this methodology.
Other Factors used in these rating are described in Global Structured
Finance Operational Risk Guidelines: Moody's Approach to Analyzing
Performance Disruption Risk published in June 2011.
No cash flow analysis or stress scenarios have been conducted as the rating
was primarily driven by review of operational risk.
LIST OF AFFECTED RATINGS:
Issuer: BP Mortgages S.r.l.
....EUR1172.65M A2 Notes, Downgraded
to Aa1 (sf); previously on Oct 20, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
Issuer: Marche Mutui 2 S.r.l.
....EUR511.45M A2 Notes, Downgraded
to Aa1 (sf); previously on Oct 20, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
Issuer: Marche Mutui Società per la Cartolarizzazione S.r.l.
....EUR281.8M A2 Notes, Downgraded
to Aa2 (sf); previously on Oct 20, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
REGULATORY DISCLOSURES
For ratings issued on a program, series or category/class of debt,
this announcement provides relevant 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 relevant 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 relevant 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.
The ratings have been disclosed to the rated entities or their designated
agent(s) and issued with no amendment resulting from that disclosure.
Information sources used to prepare each of the ratings are the following:
parties involved in the ratings, public information, and confidential
and proprietary Moody's Investors Service information.
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.
Moody's considers the quality of information available on the rated
entity, obligation or credit satisfactory for the purposes of issuing
a rating.
Moody's adopts all necessary measures so that the information it
uses in assigning a rating is of sufficient quality and from sources Moody's
considers to be reliable including, when appropriate, independent
third-party sources. However, Moody's is not
an auditor and cannot in every instance independently verify or validate
information received in the rating process.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entity or its related third parties within the
two years preceding the credit rating action. Please see the special
report "Ancillary or other permissible services provided to entities rated
by MIS's EU credit rating agencies" on the ratings disclosure page on
our website www.moodys.com for further information.
Please see the ratings disclosure page on www.moodys.com
for general disclosure on potential conflicts of interests.
Please see the ratings disclosure page on www.moodys.com
for information on (A) MCO's major shareholders (above 5%) and
for (B) further information regarding certain affiliations that may exist
between directors of MCO and rated entities as well as (C) the names of
entities that hold ratings from MIS that have also publicly reported to
the SEC an ownership interest in MCO of more than 5%. A
member of the board of directors of this rated entity may also be a member
of the board of directors of a shareholder of Moody's Corporation;
however, Moody's has not independently verified this matter.
Please see Moody's Rating Symbols and Definitions on the Rating Process
page on www.moodys.com for further information on the meaning
of each rating category and the definition of default and recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history.
The date on which some ratings were first released goes back to a time
before Moody's ratings were fully digitized and accurate data may not
be available. Consequently, Moody's 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 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.
Marcello Vicarelli
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
Barbara Rismondo
VP - Senior Credit Officer
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 downgrades Italian RMBS notes issued by BP Mortgages S.r.l., Marche Mutui 2 S.r.l. and Marche Mutui Società per la Cartolarizzazione S.r.l.
