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Rating Action:

Moody's takes action on four Apulia Mortgage Finance Italian RMBS transactions

09 Jul 2013

London, 09 July 2013 -- Moody's Investors Service announced today that it has downgraded the rating of four classes of notes in three Italian RMBS transactions: Apulia Mortgages Finance N. 3 S.r.l., Apulia Finance N. 4 S.r.l. and Apulia Finance N. 4 S.r.l -- Series 2008-2. Moody' has also confirmed the Class A notes in Apulia Finance N. 4 S.r.l -- Series 2. Insufficiency of credit enhancement to address sovereign risk, counterparty risk and revision of key collateral assumptions have prompted today's downgrade actions.

Today's rating action concludes the review of two notes placed on review on 2 August 2012, following Moody's downgrade of Italian government bond ratings to Baa2 from A3 on 13 July 2012.

This rating action also concludes the review of two notes 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).

The action also concludes the review of Class A notes in Apulia Finance N. 4 S.r.l. Series 2 placed on review on 30 May 2013 due to potentially insufficient credit enhancement due to the introduction of a specific approach for the analysis of "mixed-pool" mortgage loan portfolios comprising RMBS and asset-backed securities transactions backed by loans to small and medium-sized enterprises (SME ABS). Please see the appendix of "Moody's Approach to Rating RMBS Using the MILAN Framework" published in May 2013.

For a detailed list of affected ratings, see towards the end of the press release, before regulatory disclosures

RATINGS RATIONALE

Today's rating action primarily reflects the insufficiency of credit enhancement to address sovereign risk, counterparty risk and revision of key collateral assumptions. Moody's confirmed the ratings of securities whose credit enhancement and structural features provided enough protection against sovereign, counterparty risk and revision of key collateral assumptions.

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.

-- Revision of Key Collateral Assumptions

Moody's has revised the MILAN Credit Enhancement ("MILAN CE") assumption to 24.4% in Apulia Finance N. 4 S.r.l -- Series 2 in consideration to the high percentage of loan to small and medium-size enterprises. Moody's has maintained the current MILAN CE assumptions in the other transactions :13.5% in Apulia Mortgages Finance N. 3 S.r.l., 14.3% in Apulia Finance N. 4 S.r.l. and 13.0% in Apulia Finance N. 4 S.r.l. -- Series 2008-2.

Moody's has also maintained the current expected loss ("EL") assumptions in Apulia Mortgages Finance N. 3 S.r.l. and has revised its lifetime loss expectation assumption in Apulia Finance N. 4 S.r.l., Apulia Finance N. 4 S.r.l -- Series 2 and Apulia Finance N. 4 S.r.l -- Series 2008-2 because of worse-than-expected collateral performance. EL assumptions as a percentage of original pool balance remain at 4.50% for Apulia Mortgages Finance N. 3 S.r.l. Moody's increased expected loss from 3.60% to 4.60% for Apulia Finance N. 4 S.r.l., from 9.30% to 10% for Apulia Finance N. 4 S.r.l -- Series 2 and from 5.80% to 6.50% for Apulia Finance N. 4 S.r.l -- Series 2008-2.

-- Exposure to Counterparty Risk

The downgrade of Apulia Mortgages Finance N. 3 S.r.l., Apulia Finance N. 4 S.r.l. -- Series 2008-2 and Class B notes in Apulia Finance N. 4 S.r.l. reflects the commingling and set-off risks due to exposure to BancApulia (NR) acting as originator and servicer.

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, Moody's calculates the corresponding loss for each class of notes 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.

LIST OF AFFECTED RATINGS

Issuer: Apulia Mortgages Finance N. 3 S.r.l.

....EUR12.7M C Notes, Downgraded to Baa3 (sf); previously on Aug 2, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade

Issuer: Apulia Finance N. 4 S.r.l.

....EUR11.3M B Notes, Downgraded to A3 (sf); previously on Mar 13, 2013 A2 (sf) Placed Under Review for Possible Downgrade

....EUR19.1M C Notes, Downgraded to Ba1 (sf); previously on Aug 2, 2012 A3 (sf) Placed Under Review for Possible Downgrade

Issuer: Apulia Finance N. 4 S.r.l. - Series 2

....EUR319.85M A Notes, Confirmed at A2 (sf); previously on May 30, 2013 A2 (sf) Placed Under Review for Possible Downgrade

Issuer: Apulia Finance N. 4 S.r.l. - Series 2008-2

....EUR288.45M 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.

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

Barbara?Rismondo
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Alberto Barbachano
VP-Senior 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 takes action on four Apulia Mortgage Finance Italian RMBS transactions
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