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Rating Action:

Moody's takes action on notes issued by Sestante Finance S.r.l. Italian RMBS

18 Dec 2009

Approximately EUR2.2 billion of debt securities affected.

Milan, December 18, 2009 -- Moody's Investors Service has downgraded several notes issued by Sestante Finance S.r.l.: Sestante Finance S.r.l. Series 2004 ("Sestante 2004"), Sestante Finance S.r.l. Series 2005 ("Sestante 2005"), and Sestante Finance S.r.l. Series 2006 ("Sestante 2006"). A detailed list of the rating actions can be found at the end of the press release.

All notes were placed on review on 24th of July 2009 due to worse-than-expected performance. Today's rating actions conclude the review and take into account increased loss expectations for the three mortgage portfolios backing the notes. On the 26th of January 2009 Moody's had already downgraded the class C2 notes of Sestante 2006 to Ba1 from Baa3 and had confirmed all other ratings following a reviewed prompted by the exposure of these transactions to Lehman. At that time, the rating agency had taken comfort from the size of the credit enhancement available in these transactions. However, since this review, delinquencies and defaults have increased steeply in all three transactions.

In Sestante 2006, delinquencies 90+ days were at 7.70% of current balance on the last payment date in October 2009. Cumulative defaults had reached 4.77% of original balance. In Sestante 2005, delinquencies 90+ reached 5.32%, while defaults increased to 3.45%. In Sestante 2004, delinquencies 90+ days were at 5.81% and defaults had increased to 3.74%. Recovery flows have been very limited in all transactions, remaining below 1% of cumulative defaults.

Moody's notes that all three transactions have depleted their reserve funds. On the last payment date in October 2009, Sestante 2004 was unable to pay the whole amount of the scheduled amortisation of the class C2 notes. Both Sestante 2005 and Sestante 2006 recorded an unpaid principal deficiency ledger (PDL) in the same period, amounting to 0.38% and to 1.39%, respectively, of the current outstanding amount of the class A, B and C1 notes. Moody's notes that if delinquencies and defaults increase further, a portion of the pro-rata class C1 and C2 interest may remain unpaid on the next payment dates.

As part of its analysis, Moody's has assessed updated loan-by-loan information to determine the credit support consistent with target rating levels and the volatility of the distribution of future losses. As a result, Moody's has updated its MILAN Aaa credit enhancement (MILAN Aaa CE) assumptions to 10.5%, 14% and 20% for Sestante 2004, Sestante 2005 and Sestante 2006, respectively, from 8.75%, 8.75% and 10% of the current pool balance.

Taking into account the cumulative amount of defaulted loans and applying a roll-rate and severity analysis on the rest of the portfolio, Moody's has increased its loss expectations for the portfolios to 3.7%, 3.9% and 6.4% from 2.75%, 2.75% and 3% of original balance in Sestante 2004, Sestante 2005 and Sestante 2006, respectively. The loss expectation and the MILAN Aaa CE are the two key parameters Moody's uses to calibrate its loss distribution curve, which is one of the core inputs in the cash flow model it uses to rate RMBS transactions. These updated assumptions reflect the collateral performance to date as well as Moody's expectations for this transaction, in the context of a weakening macro-economic environment in Italy.

During the review, Moody's has also assessed the ability of the servicer, Meliorbanca S.p.A. (Baa3/P-3/D), to reduce delinquencies and new defaults and increase the net present value of recoveries on defaulted assets. The 2010-2012 industrial plan of Meliorbanca's parent group Banca Popolare dell'Emilia Romagna (not rated) provides for Meliorbanca's specialisation in corporate and investment banking and advisory, with no focus on residential lending and servicing. Moody's believes that this strategy and the consequent staff, branch and general cost reduction will have negative implications for the servicing of the securitised portfolios, unless appropriate measures are taken.

Under the Sestante RMBS transaction series, Meliorbanca securitised first-lien mortgage loans granted to individuals, all of whom used these loans to acquire, construct or refurbish residential properties in Italy. The issued class A, B and C1 notes were backed by a portfolio of mortgage loans. The class C2 notes in all transactions are repaid by excess spread, in terms of both interest and principal.

DETAILED LIST OF THE RATING ACTIONS:

Issuer: Sestante Finance Srl Series 2004

Class A Notes, Downgraded to Aa1; previously on 24th of July 2009 Aaa Placed Under Review for Possible Downgrade

Class B Notes, Confirmed at Aa3; previously on 24th of July 2009 Aa3 Placed Under Review for Possible Downgrade

Class C1 Notes, Downgraded to Ba1; previously on 24th of July 2009 A3 Placed Under Review for Possible Downgrade

Class C2 Notes, Downgraded to Ba3; previously on 24th of July 2009 Baa3 Placed Under Review for Possible Downgrade

Issuer: Sestante Finance Srl - Series 2005

Class A Notes, Downgraded to Aa1; previously on 24th of July 2009 Aaa Placed Under Review for Possible Downgrade

Class B Notes, Downgraded to A2; previously on 24th of July 2009 Aa3 Placed Under Review for Possible Downgrade

Class C1 Notes, Downgraded to Ba3; previously on 24th of July A3 Placed Under Review for Possible Downgrade

Class C2 Notes, Downgraded to Ca; previously on 24th of July 2009 Baa3 Placed Under Review for Possible Downgrade

Issuer: Sestante Finance S.r.L. Series 2006

Class A1 Notes, Downgraded to Aa2; previously on 24th of July 2009 Aaa Placed Under Review for Possible Downgrade

Class A2 Notes, Downgraded to Aa2; previously on 24th of July 2009 Aaa Placed Under Review for Possible Downgrade

Class B Notes, Downgraded to Baa3; previously on 24th of July 2009 Aa3 Placed Under Review for Possible Downgrade

Class C1 Notes, Downgraded to Caa1; previously on 24th of July 2009 A3 Placed Under Review for Possible Downgrade

Class C2 Notes, Downgraded to C; previously on 24th of July 2009 Ba1 Placed Under Review for Possible Downgrade

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.

The principal methodologies used in rating and monitoring the transaction is "Moody's Approach to Rating Italian RMBS" published in December 2004 and "Revising Default/Loss Assumptions Over the Life of an ABS/RMBS Transaction" published in December 2008, which can be found at 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 this issuer 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.

London
Barbara Rismondo
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Milan
Nikoletta Knapcsek
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
Telephone:+39-02-9148-1100

Moody's takes action on notes issued by Sestante Finance S.r.l. Italian RMBS
No Related Data.
© 2022 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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