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Rating Action:

Moody's reviews certain Banca Italease leasing ABS transactions for possible downgrade

18 Sep 2009

EUR 2,831.7 million of rated securities affected.

Frankfurt, September 18, 2009 -- Moody's Investors Service has today placed under review for possible downgrade all classes of notes issued by the following Italian leasing asset-backed securities (ABS) transactions (the affected transactions):

- Italease Finance S.p.A. Series 2005-1 (ITA 7)

- Italfinance Securitisation Vehicle S.r.l. (ITA 8)

- Italfinance Securitisation Vehicle 2 S.r.l. (ITA 9)

- Italfinance Securitisation Vehicle 2 S.R.L (ITA 10)

A complete list of all 12 affected tranches placed under review for possible downgrade can be found at the end of this press release.

This rating action results from Moody's examination of all outstanding ABS transactions originated by Banca Italease SpA (Baa3) including Italease Finance S.p.A. Series 2004-1 (ITA 6) and Italfinance Securitisation Vehicle S.r.l. (ITA J) which are not affected by this rating action. The review was prompted by worse than expected performance combined with the uncertainties surrounding the restructuring of Banca Italease servicing units following the tender offer from Banco Popolare (A2/P-1), which now owns 88% of Banca Italease ordinary shares.

So far, the underlying portfolios of the affected transactions have experienced higher defaults than Moody's expected and the number of defaulted leasing contracts has increased steeply since the end of Q1 2009.

Italease Finance S.p.A. Series 2005-1 (ITA 7) reported a cumulative default rate of 3.99% of the securitised pool balance as of Q2 2009, while Moody's mean default assumption was in the range of 3.50%-3.90% of the securitised pool balance over the life of the transaction as of its last review in October 2008. Furthermore, the transaction displays a high concentration in the real estate sub-pool which is accounting for 92% of the outstanding principal balance as of Q2 2009. Additionally, there is a high borrower concentration in the real estate sub-pool with the top ten clients accounting for over 18% of the outstanding real estate sub-pool. The pool factor is currently 40%.

Italfinance Securitisation Vehicle S.r.l. (ITA 8) reported a cumulative default rate of 6.07% of the securitised pool balance as of Q2 2009 while Moody's mean default assumption was 5.80% of the securitised pool balance over the life of the transaction at the review in February 2009. The pool factor is currently 41%.

Italfinance Securitisation Vehicle 2 S.r.l. (ITA 9) reported a cumulative default rate of 3.95% of the securitised pool balance as of Q2 2009 while Moody's mean default assumption at closing in March 2007 was 3.20% of the securitised pool balance over the life of the transaction. The pool factor is currently 71%.

Italfinance Securitisation Vehicle 2 S.R.L (ITA 10) reported a cumulative default rate of 3.34% of the securitised pool balance as of Q2 2009, which is double that reported in Q1 2009. Moody's mean default assumption was 3.75% of the securitised pool balance over the life of the transaction at closing in May 2008. The pool factor is currently 66%.

The reserve funds in these transactions have not suffered any drawing since closing.

Moody's will reassess the cumulative default rate for the remaining life of these transactions, reflecting the collateral performance to date as well as the future macro-economic environment in Italy. Furthermore, Moody's will consider in its analysis the fact that recoveries on defaulted lease contracts have recently been primarily derived from Banca Italease S.p.A.'s practice of repurchasing defaulted receivables. This lowers the net cumulative default amount and, hence, has a direct impact on the pro-rata amortisation condition as well as the cash trapping trigger. Additionally, Moody's will analyse the impact of the restructuring of Banca Italease on its servicing capacity. Moody's expects to conclude the detailed transaction reviews within the next six months.

The transactions that were placed on review for possible downgrade were originated by Banca Italease between 2005 and 2008 and comprise receivables derived from lease contracts excluding residual value and related cash flows. The collateral portfolios comprise receivables deriving from vehicle, equipment and real estate lease contracts.

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 transactions. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors. Moody's will continue to monitor closely the above transactions. In Moody's opinion, these structures allow for timely payment of interest and ultimate payment of principal with respect to the notes by the legal final maturity.

The principal methodology used in rating these transactions was Moody's "The Lognormal Method Applied to ABS Analysis", published in July 2000 and "Revising Default/Loss Assumptions Over the Life of an ABS/RMBS Transaction," published in December 2008 and available on www.moodys.com in the Rating Methodologies sub-directory under the Research & Ratings tab. Other methodologies and factors that may have been considered in the process of rating are: "Let The Sun Shine: Clearing The Air of Legal Issues In Italian Lease-Backed Transactions", published in September 2002 and "Rejection Risk in Italian Lease-Backed Securitisation "Passata e' la Tempesta": Moody's Rating Approach Prior to and Following Recent Legislative Change", published in September 2004 and can also be found in the Rating Methodologies sub-directory on Moody's website.

Further information on Moody's analysis of this transaction is available on www.moodys.com. In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck.

DETAILED LIST OF AFFECTED RATINGS

Issuer: Italease Finance S.p.A. Series 2005-1 (ITA 7)

- Class A2 notes, Aaa Placed Under Review for Possible Downgrade; previously on Oct 16, 2008 Confirmed at Aaa

- Class B notes, Aa3 Placed Under Review for Possible Downgrade; previously on Oct 16, 2008 Confirmed at Aa3

- Class C notes, A3 Placed Under Review for Possible Downgrade; previously on Oct 16, 2008 Confirmed at A3

Issuer: Italfinance Securitisation Vehicle S.r.l. (ITA 8)

- Class A notes, Aa1 Placed Under Review for Possible Downgrade; previously on Feb 13, 2009 Downgraded to Aa1

- Class B notes, A3 Placed Under Review for Possible Downgrade; previously on Feb 13, 2009 Downgraded to A3

- Class C notes, Ba3 Placed Under Review for Possible Downgrade; previously on Feb 13, 2009 Downgraded to Ba3

- Class D notes, B3 Placed Under Review for Possible Downgrade; previously on Feb 13, 2009 Downgraded to B3

Issuer: Italfinance Securitisation Vehicle 2 S.r.l. (ITA 9)

- Class A notes, Aaa Placed Under Review for Possible Downgrade; previously on Mar 1, 2007 Definitive Rating Assigned Aaa

- Class B notes, A3 Placed Under Review for Possible Downgrade; previously on Jul 11, 2007 Downgraded to A3

- Class C notes, Baa3 Placed Under Review for Possible Downgrade; previously on Jul 11, 2007 Downgraded to Baa3

- Class D notes, Ba1 Placed Under Review for Possible Downgrade; previously on Aug 17, 2007 Downgraded to Ba1

Issuer: Italfinance Securitisation Vehicle 2 S.R.L ( ITA 10)

- Class A notes, Aaa Placed Under Review for Possible Downgrade; previously on May 13, 2008 Assigned Aaa

Frankfurt
Marie-Jeanne Kerschkamp
Managing Director
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Frankfurt
Olimpia da Silva
Associate Analyst
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's reviews certain Banca Italease leasing ABS transactions for possible downgrade
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