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Announcement:

Moody's updates assumptions in Italian RMBS transactions

20 May 2011

London, 20 May 2011 -- Moody's has today increased its expected loss assumptions for the portfolios backing 18 Italian RMBS transactions (the "Updated Transactions") because of worse-than-expected performance. However, the review of the assumptions has no rating impact because of the levels of credit enhancement available under the notes.

The list of the Updated Transactions, their previous and revised assumptions can be found under this link:

http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF246823

For details on the most updated performance data please refer to Moody's Performance Overviews and Italian RMBS Indices published on www.moodys.com in the Structured Finance sub-directory under the Research & Ratings tab.

REVIEW PROCESS

Today's update follows the review of the entire Italian RMBS sector, comprising 103 outstanding transactions rated by Moody's. As part of the review, Moody's has taken into account, in particular, the following factors:

- The performance trends of the underlying mortgage portfolios, as evidenced by historical arrears, repayment rates, defaults and recoveries under each pool

- The Italian macroeconomic outlook and the current negative outlook for Italian RMBS

- The total defaults and losses assumed so far for the securitised portfolios

- Any deviation of the portfolio credit trends from these assumptions

- The levels and trends in the credit enhancement available under the rated notes

As a result of this review of the Italian RMBS sector, the mortgage portfolios in the Updated Transactions have shown a performance worse than what was previously assumed by Moody's. This deviation, however, is fully offset by the credit enhancement available under the corresponding notes. As a consequence, the revision of the loss assumptions under the portfolios had no impact on the current ratings of the notes.

As described in a separate press release, today Moody's has also placed on review for possible downgrade, because of worse-than-expected performance, 15 classes of notes (the "Affected Notes") issued in seven Italian RMBS transactions. In those seven transactions the credit enhancement available under the Affected Notes is not sufficient to maintain the current ratings with higher loss assumptions. For more details please refer to the press release "Moody's Places on Review Notes in Seven Italian RMBS Transactions", published today.

All the remaining transactions in the Italian RMBS sector are currently performing in line with Moody's expectations.

OUTLOOK

Moody's has factored into its analysis the negative sector outlook for Italian RMBS. The sector outlook reflects the following expectations of key macro-economic indicators: GDP to grow by 1.0% in 2011, vs. 1.2% in 2010, unemployment to increase to 8.8% by 2011 from 8.5% in 2010, house prices to increase by 1.2% in 2011 after having decreased by 2.5% in 2010 and ECB policy interest rates to increase by approximately 50 bps by the end of 2011.

Moody's notes that the Italian Parliament has recently passed a new legislation, giving the borrowers who satisfy certain eligibility criteria the legal right to switch from a floating-rate to a fixed-rate mortgage. Moody's views this change as credit negative for Italian RMBS, because most Italian RMBS transactions do not have a hedging mechanism protecting the transaction from the potential decreases in spread produced by the rate switch. Although the effects of the change are not immediately visible due to the current low interest rate environment, Moody's will incorporate this risk in monitoring the portfolios. We expect first excess spread to be negatively affected unless transactions benefit from specific hedges that immunise against the reduction in portfolio yield. For more information please refer to "Mortgage Renegotiation Framework Is Credit Negative for Italian RMBS when Interest Rates Rise", published in the May 2011 issue of Credit Insight.

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. The principal methodology used in rating and/or monitoring these transactions were "Moody's Approach to Rating RMBS in Europe, Middle East, and Africa" published in October 2009.

Other Methodologies include "Moody's Approach to Rating Italian RMBS", published in December 2004, "Revising Default/Loss Assumptions Over the Life of an ABS/RMBS Transaction" published in December 2008 and "Cash Flow Analysis in EMEA RMBS: Testing Features with the MARCO Model (Moody's Analyser of Residential Cash Flows)", published in January 2006 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 these issuers can also be found in the Rating Methodologies sub-directory on Moody's website.

For further information, please visit our website www.moodys.com or contact Moody's Client Service Desk (+44 20) 7772 5454.

The lead analyst and rating office for each of the transactions affected are generally different from the contact and office listed at the end of this press release. For each transaction, the lead analyst name is available on the issuer page and the rating office is available on the ratings tab of the issuer on www.moodys.com.

London
Giacomo Bonetti
Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

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

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 updates assumptions in Italian RMBS transactions
No Related Data.
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