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Rating Action:

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.

26 Sep 2013

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.
No Related Data.
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