London, 26 September 2013 -- Moody's has today placed under review for downgrade the class A2
and B notes in Marche Mutui Società per la Cartolarizzazione S.r.l.
and the class B and C notes in Marche Mutui 2 S.r.l..
At the same time, Moody's has upgraded the class C notes in
Marche Mutui Società per la Cartolarizzazione S.r.l..
The downgrade and placement under review of Banca delle Marche S.p.A.
(Caa1/under review for downgrade) prompted Moody's to place the
notes in the above transactions under review for downgrade. According
to the rating agency, the potential credit enhancement available
to the affected notes in Marche Mutui 2 S.r.l. might
be insufficient to mitigate increased counterparty risk. Note holders
of the senior notes in Marche Mutui Società per la Cartolarizzazione
S.r.l. might be exposed to additional payment disruption
risk from the lack of back-up servicing arrangements. Furthermore,
the reassessment and revision of the available credit enhancement prompted
the upgrade of the junior notes in Marche Mutui Società per la
Cartolarizzazione S.r.l.
Issuer: Marche Mutui Società per la Cartolarizzazione S.r.l.
....EUR281.8M A2 Notes, A3 (sf)
Placed Under Review for Possible Downgrade; previously on Jul 2,
2013 Downgraded to A3 (sf)
....EUR16.2M B Notes, A3 (sf)
Placed Under Review for Possible Downgrade; previously on Jul 2,
2013 Downgraded to A3 (sf)
....EUR11.4M C Notes, Upgraded
to Baa3 (sf); previously on Jul 2, 2013 Downgraded to Ba3 (sf)
Issuer: Marche Mutui 2 S.r.l.
....EUR12M B Notes, Baa2 (sf) Placed
Under Review for Possible Downgrade; previously on Jul 2, 2013
Downgraded to Baa2 (sf)
....EUR15.8M C Notes, Ba1 (sf)
Placed Under Review for Possible Downgrade; previously on Jul 2,
2013 Downgraded to Ba1 (sf)
RATINGS RATIONALE
Today's placement under review for downgrade of the class A2 and
B notes in Marche Mutui Società per la Cartolarizzazione S.r.l.
and the class B and C notes in Marche Mutui 2 S.r.l.
follows the downgrade and placement under review for downgrade of Banca
delle Marche S.p.A. (Caa1/under review for downgrade)
acting as servicer and originator in these transactions. Today's
upgrade of the class C notes in Marche Mutui Società per la Cartolarizzazione
S.r.l. follows the revision and reassessment of the
transaction's available credit enhancement to support the notes.
Counterparty exposure
In Moody's view the recent rating action on the servicer,
together with the lack of any back-up servicing arrangements,
heightens the payment disruption risk on senior notes in the event of
the servicer's default in Marche Mutui Società per la Cartolarizzazione
S.r.l.. Moody's also notes that the
recent rating action on the servicer does not have any rating impact on
the senior notes in Marche Mutui 2 S.r.l. and Marche
Mutui 4 S.r.l. as a result of the appointment of
Italfondiario as back-up servicer.
Furthermore Banca delle Marche S.p.A.'s downgrade
and placement under review for downgrade increases the set-off
and commingling exposure for the classes B and C notes in Marche Mutui
2 S.r.l. as their available credit enhancement might
be insufficient to compensate for these risks should the bank be downgraded
further. Moody's expects to close these rating reviews once
the rating review on Banca delle Marche S.p.A. has
been concluded.
As part of the review of Marche Mutui Società per la Cartolarizzazione
S.r.l. Moody's corrected its set-off
modeling giving benefit to the Italian deposit guarantee scheme,
which, in itself, did not have any impact on the ratings of
the outstanding notes.
Revision of credit enhancement in Marche Mutui Società per la Cartolarizzazione
S.r.l.
The upgrade of class C notes in Marche Mutui Società per la Cartolarizzazione
S.r.l. follows Moody's revision and reassessment
of available credit enhancement. The transaction traps all cash
released from the amortisation of the reserve fund in the structure,
thus creating over-collateralisation. In its previous analysis
Moody's did not consider this over-collateralisation as part
of the available credit enhancement, having a negative impact on
the class C notes. Today's rating action rectifies this by
considering the full credit enhancement available. As a result
Moody's calculated the available credit enhancement for the class
C notes at 16.2%, compared with 5.3%
previously. Moody's also notes that the upgrade considered
the increased set-off and commingling exposure to Banca delle Marche
S.p.A. after the recent downgrade. The revised
ratings should not be further negatively affected as long as a potential
downgrade of Banca delle Marche S.p.A. was within
two notches.
The methodologies used in these ratings were "Moody's Approach to Rating
RMBS Using the MILAN Framework" published in May 2013, "The Temporary
Use of Cash in Structured Finance Transactions: Eligible Investment
and Bank Guidelines" published in March 2013, and "Moody's
Approach to Set-Off Risk in Italian Structured Finance and Covered
Bonds Transactions" published in June 2012. 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 (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.
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.
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
Carole Gintz
Senior Vice President/Manager
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 places under review for downgrade four notes and upgrades one note in two Italian RMBS transactions from Banca delle Marche S.p.A.