Milan, March 30, 2021 -- Moody's Investors Service, ("Moody's") has
today confirmed the ratings of five notes and affirmed the ratings of
two notes in three Italian RMBS deals originated by Banca Monte dei Paschi
di Siena S.p.A. The confirmations reflect the amendment
of the existing definition of Eligible Investments for all the affected
deals, along with sufficient credit enhancement to maintain the
current ratings. Today's action concludes the placing under
review for possible downgrade of the affected notes following the correction
of an error identified in the analysis of Eligible Investments (see the
related press release here: http://www.moodys.com/viewresearchdoc.aspx?docid=PR_440731).
Moody's affirmed the ratings of the notes that had sufficient credit enhancement
to maintain the current rating on the affected notes.
Issuer: Siena Mortgages 07-5 S.p.A
....EUR4765.9M Class A Notes,
Confirmed at Aa3 (sf); previously on Feb 22, 2021 Aa3 (sf)
Placed Under Review for Possible Downgrade
....EUR157.45M Class B Notes,
Confirmed at Aa3 (sf); previously on Feb 22, 2021 Aa3 (sf)
Placed Under Review for Possible Downgrade
....EUR239M Class C Notes, Affirmed
B3 (sf); previously on Feb 22, 2021 Affirmed B3 (sf)
Issuer: Siena Mortgages 07-5, Series 2
....EUR3129.4M Class A Notes,
Confirmed at Aa3 (sf); previously on Feb 22, 2021 Aa3 (sf)
Placed Under Review for Possible Downgrade
....EUR108.3M Class B Notes,
Confirmed at Aa3 (sf); previously on Feb 22, 2021 Aa3 (sf)
Placed Under Review for Possible Downgrade
Issuer: SIENA MORTGAGES 2010 -7
....EUR1666.9M Class A3 Notes,
Confirmed at Aa3 (sf); previously on Feb 22, 2021 Aa3 (sf)
Placed Under Review for Possible Downgrade
....EUR817.6M Class B Notes,
Affirmed Baa3 (sf); previously on Feb 22, 2021 Upgraded to
Baa3 (sf)
Maximum achievable rating is Aa3 (sf) for structured finance transactions
in Italy, driven by the corresponding local currency country ceiling
of the country.
RATINGS RATIONALE
The rating action is primarily prompted by the amendment of the existing
definition of Eligible Investments. Following the executed amendment,
the Issuers will be able to invest cash in instruments rated at least
Baa1 and redeemable no later than the next following Calculation Date.
The maximum rating consistent with a Baa1 eligible investment criteria
is Aa2 (sf) for senior notes with "standard" linkage and A1
(sf) for notes with "strong" linkage according to "Moody's
Approach to Assessing Counterparty Risks in Structured Finance".
Although mezzanine and junior ranking notes typically fall into the "strong"
category, Moody's assessed the linkage of Class B Notes in Siena
Mortgages 07-5 S.p.A. and Siena Mortgages
07-5, Series 2 as "standard" given their very
limited reliance on reserve funds and the monthly frequency of payment
dates for these transactions.
The MILAN CE assumption for Siena Mortgages 07-5, Series
2 has also been lowered.
Revision of Key Collateral Assumptions
Moody's has also assessed loan-by-loan information as a
part of its detailed transaction review to determine the credit support
consistent with target rating levels and the volatility of future losses.
As a result, Moody's has decreased the MILAN CE assumption
on Siena Mortgages 07-5, Series 2 to 12.00%
from 14.10%.
Counterparty Exposure
Today's rating actions took into consideration the notes'
exposure to relevant counterparties, such as servicer, account
banks or swap providers.
The coronavirus pandemic has had a significant impact on economic activity.
Although global economies have shown a remarkable degree of resilience
to date and are returning to growth, the uneven effects on individual
businesses, sectors and regions will continue throughout 2021 and
will endure as a challenge to the world's economies well beyond
the end of the year. While persistent virus fears remain the main
risk for a recovery in demand, the economy will recover faster if
vaccines and further fiscal and monetary policy responses bring forward
a normalization of activity. As a result, there is a heightened
degree of uncertainty around our forecasts. Our analysis has considered
the effect on the performance of consumer assets from a gradual and unbalanced
recovery in Italian economic activity.
We regard the coronavirus outbreak as a social risk under our ESG framework,
given the substantial implications for public health and safety.
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework" published in December 2020 and
available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1248130.
Alternatively, please see the Rating Methodologies page on www.moodys.com
for a copy of this methodology.
The analysis undertaken by Moody's at the initial assignment of ratings
for RMBS securities may focus on aspects that become less relevant or
typically remain unchanged during the surveillance stage. Please
see "Moody's Approach to Rating RMBS Using the MILAN Framework" for further
information on Moody's analysis at the initial rating assignment and the
on-going surveillance in RMBS.
Factors that would lead to an upgrade or downgrade of the ratings:
Factors or circumstances that could lead to an upgrade of the ratings
include: (i) performance of the underlying collateral that is better
than Moody's expected; (ii) an increase in available credit enhancement;
(iii) improvements in the credit quality of the transaction counterparties;
and (iv) a decrease in sovereign risk.
Factors or circumstances that could lead to a downgrade of the ratings
include: (i) an increase in sovereign risk; (ii) performance
of the underlying collateral that is worse than Moody's expected;
(iii) deterioration in the notes' available credit enhancement; and
(iv) deterioration in the credit quality of the transaction counterparties.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and
sensitivity analysis, see the sections Methodology Assumptions and
Sensitivity to Assumptions in the disclosure form. Moody's
Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.
The analysis relies on an assessment of collateral characteristics to
determine the collateral loss distribution, that is, the function
that correlates to an assumption about the likelihood of occurrence to
each level of possible losses in the collateral. As a second step,
Moody's evaluates each possible collateral loss scenario using a
model that replicates the relevant structural features to derive payments
and therefore the ultimate potential losses for each rated instrument.
The loss a rated instrument incurs in each collateral loss scenario,
weighted by assumptions about the likelihood of events in that scenario
occurring, results in the expected loss of the rated instrument.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
For ratings issued on a program, series, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or note of the
same series, category/class of debt, security 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 credit rating action on the
support provider and in relation to each particular credit 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 credit rating action,
and whose ratings may change as a result of this credit 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.
The ratings have been disclosed to the rated entity or its designated
agent(s) and issued with no amendment resulting from that disclosure.
These ratings are solicited. Please refer to Moody's Policy
for Designating and Assigning Unsolicited Credit Ratings available on
its website www.moodys.com.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Moody's general principles for assessing environmental, social
and governance (ESG) risks in our credit analysis can be found at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1243406.
At least one ESG consideration was material to the credit rating action(s)
announced and described above.
The Global Scale Credit Rating on this Credit Rating Announcement was
issued by one of Moody's affiliates outside the UK and is endorsed
by Moody's Investors Service Limited, One Canada Square,
Canary Wharf, London E14 5FA under the law applicable to credit
rating agencies in the UK. Further information on the UK endorsement
status and on the Moody's office that issued the credit rating is
available on www.moodys.com.
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.
Giovanni Ferretti
Analyst
Structured Finance Group
Moody's Italia S.r.l
Corso di Porta Romana 68
Milan 20122
Italy
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Maria Turbica Manrique
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Releasing Office:
Moody's Italia S.r.l
Corso di Porta Romana 68
Milan 20122
Italy
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
