Approximately EUR 386 million of debt securities affected.
Milan, March 10, 2010 -- Moody's Investors Service has placed ten classes of notes issued in six
Italian RMBS transactions under review for upgrade. At the same
time, the rating agency has placed one class of notes issued in
an Italian RMBS transaction under review for downgrade. The transactions
affected by the potential upgrade are Bipitalia Residential S.r.l.,
Cordusio RMBS S.r.l., Heliconus S.r.l.,
Mantegna Finance S.r.l., IntesaBci Sec.
2 S.r.l. and Voba Finance S.r.l.
The note placed under review for downgrade was issued by Sestante Finance
S.r.l. A complete list of all eleven affected tranches
can be found at the end of this press release.
In identifying the seven Italian RMBS transactions for review, Moody's
has taken into account the performance of the collateral to date,
its deviation from Moody's expectations and the levels of credit enhancement
available to absorb the losses on the respective portfolios, as
well as potential risks linked to counterparties in the deals.
Within the Italian RMBS sector, these transactions have shown a
material deviation from Moody's performance expectations, either
positively or negatively. For more information on the transactions'
credit performance and market comparable data, please refer to their
respective performance overview reports and Moody's Italian RMBS Indices,
both available on www.moodys.com.
The review for upgrade was prompted by the better-than-expected
performance of the transactions coupled with their deleveraging.
Moody's has taken into account that counterparty risk linked to
the originator, the servicer and the swap provider role of each
transaction is limited or could be compensated by increased credit enhancement.
Although Moody's has a negative sector outlook for Italian RMBS and the
Italian macro-economic environment is weak, Moody's
believes that the affected transactions have sufficient credit enhancement
to allow for an upgrade of certain classes.
Bipitalia Residential S.r.l. has a pool factor of
35% and cumulative defaults have reached only 0.6%
of original pool balance with 90+ delinquencies standing at 2.4%
of current balance. Cordusio RMBS S.r.l. has
a pool factor of 44%, its cumulative defaults are at 0.6%
and 90+ delinquencies have reached only 0.5%.
Heliconus S.r.l. has a pool factor of 42%,
2.6% 90+ delinquencies and 2.3% cumulative
defaults. IntesaBci Sec. 2 S.r.l.,
with a 17% pool factor has defaults as low as 0.4%
and delinquencies barely exceed 1.2%. Mantegna Finance
S.r.l. has amortised to 20% of its original
pool balance, its total delinquencies reach 7.8% of
current balance but cumulative defaults are as low as 1.5%
of original balance. Finally, Voba Finance S.r.l.'s
90+ delinquencies are at 2.6% and cumulative defaults
have exceeded 1% with a pool factor of 60%, and the
transaction has a substantial reserve fund and over-collateralisation.
Moody's have placed the Class C notes issued by Sestante Finance
S.r.l. on review for possible downgrade because of
the worse-than-expected performance of the collateral backing
the notes. The transaction has been drawing on its reserve fund
and for three consecutive payment dates it has been under its target,
now standing at EUR18.2 million as opposed to its target of EUR21
million. With a 49% pool factor, cumulative defaults
reached 3.7% and 90+ delinquencies stood at 6.1%
on the last payment date. On 18 December 2009, Moody's
downgraded most notes issued by the same issuer in different transactions
for worse-than-expected performance.
Moody's has also factored into its analysis the negative sector outlook
for Italian RMBS (see the report "EMEA ABS & RMBS: 2009 Review
& 2010 Outlook ", January 2010). Moody'sEconomy.com
estimates that Italian GDP grew by 0.4% in Q4 2009,
following 0.6% quarter-on-quarter growth in
Q3 2009, when Italy's economy emerged from five quarters of recession.
It is expected that Italy's economy will grow by 1.1% in
2010, driven by exports and modest improvement in domestic demand.
However, the unemployment rate in Italy rose to 8.5%
in December, the highest rate since monthly records began in 2004.
A still deteriorating job market will weigh on household purchasing power,
aggravated by inflation pressure. For detailed information please
see Moody's Economy.Com on www.moodys.com.
As part of its detailed transaction review, Moody's will reassess
for each portfolio its lifetime loss expectation reflecting the collateral
performance to date as well as the future macro-economic environment.
Moody's will also request, whenever not already available,
updated loan-by-loan information to revise its MILAN Aaa
credit enhancement. Loan-by-loan information will
also permit the rating agency to validate its assumptions with regards
to which loans have a higher default propensity. The lifetime loss
and the MILAN Aaa credit enhancement are the key parameters used by Moody's
to calibrate its loss distribution curve, which is one of the core
inputs in the cash-flow model.
The rating reviews will be concluded over the course of the next three
to six months following a detailed review and remodeling with updated
performance data of each transaction. In the meantime, Moody's
will continue to closely monitor the performance of the portfolios in
the next quarterly periods.
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 methodology used in rating and monitoring the transactions
is "Moody's Approach to Rating Italian RMBS" published in December 2004
, 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
these transactions 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.
Classes placed on review for upgrade:
Issuer: Bipitalia Residential S.r.l.
EUR16M B Notes, Aa2 Placed Under Review for Possible Upgrade;
previously on Jun 25, 2004 Definitive Rating Assigned Aa2
EUR19M C Notes, Baa1 Placed Under Review for Possible Upgrade;
previously on Jun 25, 2004 Definitive Rating Assigned Baa1
Issuer: Cordusio RMBS S.r.l.
EUR52M B Certificate, Aa1 Placed Under Review for Possible Upgrade;
previously on May 9, 2005 Definitive Rating Assigned Aa1
EUR119.2M C Certificate, Baa1 Placed Under Review for Possible
Upgrade; previously on May 9, 2005 Definitive Rating Assigned
Issuer: Heliconus S.r.l.
EUR30.8M B Notes, A2 Placed Under Review for Possible Upgrade;
previously on Nov 8, 2002 Definitive Rating Assigned A2
Issuer: Mantegna Finance S.r.l.
EUR23.1M B Notes, A1 Placed Under Review for Possible Upgrade;
previously on 13 December 2001 Definitive Rating Assigned A1
Issuer: IntesaBci Sec. 2 S.r.l.
EUR40.6M B Notes, Aa2 Placed Under Review for Possible Upgrade;
previously on Feb 26, 2003 Definitive Rating Assigned Aa2
EUR60.8M C Notes, Baa2 Placed Under Review for Possible Upgrade;
previously on Feb 26, 2003 Definitive Rating Assigned Baa2
Issuer: Voba Finance S.r.l.
EUR5.65M B Notes, A2 Placed Under Review for Possible Upgrade;
previously on Dec 12, 2006 Definitive Rating Assigned A2
EUR5.65M C Notes, Baa2 Placed Under Review for Possible Upgrade;
previously on Dec 12, 2006 Definitive Rating Assigned Baa2
Class placed on review for downgrade:
Issuer: Sestante Finance S.r.l.
EUR13.36M C Notes, Baa1 Placed Under Review for Possible
Downgrade; previously on Dec 23, 2003 Definitive Rating Assigned
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
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Moody's takes actions on seven Italian RMBS transactions
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service