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Rating Action:

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

19 Jun 2013

London, 19 June 2013 -- Moody's Investors Service has today downgraded the ratings of one senior and two mezzanine notes in three Italian residential mortgage-backed securities (RMBS) transactions: Cassa Centrale Securitisation S.r.l., Credico Finance 7 S.R.L. and Credico Finance 10 S.R.L. At the same time, Moody's confirmed the rating of one mezzainine note in Claris Finance 2005 S.R.L. Insufficiency of credit enhancement to address sovereign risk and counterparty exposure have prompted today's downgrade.

Today's rating action concludes the review of notes in Claris Finance 2005, Credico Finance 7 and Credico Finance 10, 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). This rating action also concludes the review of Cassa Centrale Securitisation, placed on review on 11 June 2012, following Moody's release of its updated approach to analysing set-off risk in Italian structured finance transactions. For more information on the updated approach, please see "Moody's Approach to Set-Off Risk in Italian Structured Finance and Covered Bonds Transactions", published 8 June 2012 (please see http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF285617).

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 and counterparty exposure. 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.

-- Exposure to Counterparty Risk

The downgrades of notes in Cassa Centrale Securitisation, Credico Finance 7 and Credico Finance 10 reflects the commingling and set-off risks due to exposure to (1) the Italian co-operative banks (BCCs) acting as originators, collection account banks and servicers of each respective sub-portfolio, and (2) Deutsche Bank SpA acting as issuer account bank.

Moody's has assessed the probability and effect of a default of the various BCCs and Deutsche Bank SpA on the ability of the issuers to meet their obligations under the transactions. The exposure to BBCs and Deutsche Bank SpA is factored in the downgrade of these notes.

-- Revision of Key Collateral Assumptions

Moody's has revised its MILAN CE assumption in Cassa Centrale Securitisation and Credico Finance 7 however this revision is not a driver of today's rating action. The Milan CE is one of two key parameters used by Moody's to calibrate its loss distribution curve, which is used in the cash flow model to rate European RMBS transactions.

During its review Moody's also reassessed underlying portfolios based on available loan-by-loan information. As a result, Moody's increased the MILAN CE assumption to 12.0% in Cassa Centrale Securitisation and Credico Finance 7, and maintained MILAN CE assumption in Claris Finance 2005 and Credico Finance 10.

Moody's has maintained its expected loss assumptions in all four affected transactions because the collateral performance to date has been in line with Moody's expectations.

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.

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, the corresponding loss for each class of notes is calculated 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 (i) the probability of occurrence of each default scenario; and (ii) 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 remodelled and some inputs have been adjusted to reflect the new approach described above. In addition, for Claris Finance 2005 Moody's adjusted in its transaction modelling the default definition and pre-enforcement priority of payments.

LIST OF AFFECTED RATINGS

Issuer: Cassa Centrale Securitisation S.r.l.

....EUR17.5M B Notes, Downgraded to Baa2 (sf); previously on Jun 11, 2012 A2 (sf) Placed Under Review for Possible Downgrade

Issuer: CLARIS FINANCE 2005 S.R.L.

....EUR23.8M B Notes, Confirmed at A2 (sf); previously on Mar 13, 2013 A2 (sf) Placed Under Review for Possible Downgrade

Issuer: CREDICO FINANCE 7 S.R.L.

....EUR16.7M B Notes, Downgraded to Baa2 (sf); previously on Mar 13, 2013 A2 (sf) Placed Under Review for Possible Downgrade

Issuer: CREDICO FINANCE 10 S.R.L.

....EUR1333.2M A Notes, Downgraded to A3 (sf); previously on Mar 13, 2013 A2 (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.

In conducting surveillance of these credits, Moody's considered performance data contained in servicer and remittance reports. Moody's obtains servicer reports on these transactions on a periodic basis, at least annually.

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.

Sebastian Hoepfner
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

Michelangelo Margaria
VP - Sr Credit Officer/Manager
Structured Finance Group
Telephone:+39-02-9148-1100

Lyudmila Udot
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 downgrades three notes and confirms one note in four Italian RMBS transactions
No Related Data.
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