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Global Credit Research - 23 Feb 2011
Approximately 192.95 million of debt securities affected.
Milan, February 23, 2011 -- Moody's Investors Service said today that it has reviewed the following
changes in the SPV C.R. Volterra Finance S.r.l.:
(i)change of the back-up servicer, (ii) change of the conditions
for the amortization of the cash reserve, (iii) introduction of
coverage for any shortfall due to the Piano Famiglie payment holiday by
the servicer, (iv) ability to repurchase loans from the deal only
if certain conditions are verified and (v) amendment of the swap documents.
Moody's has concluded that these amendments will not, in and of
itself, result in a reduction or withdrawal of the current ratings
of the debt.
Back up servicer
The back up servicer at closing was Cassa di Risparmio di Ferrara (Baa3/P-3).
The documentation has been amended and the new back up servicer is Banca
Amortisation of the cash reserve
The cash reserve can now amortize only if (i) the cumulative gross default
ratio is lower than 2%, at closing was 6%; (ii)
the amount of rated notes is lower than 20% of the original amount
at closing, was 50% before; (iii) the PDL is equal to
zero and the delinquencies greater than 90 days are lower than 4%
of the current balance.
Piano Famiglie Payment holiday
The servicer will cover any shortfall in the case a borrower participates
to the Piano Famiglie payment holiday scheme. Currently only 31
mortgage loans are in payment holiday.
In the updated documentation loans can be repurchased only if the following
conditions are verified: (i) original and current LTV will not increase
for more than 0.5%, (ii) weighted average spread of
the floating mortgage loans is not decrease more than 0.1%,
(iii) weighted average yield of the fix rate mortgage loans is not decrease
more than 0.1%, (iv) borrowers in the Pisa and Livorno
province increase no more than 2%, (v) the seasoning of more
than 6 months decreases, (vi) the mortgage loans for the purchase
of the first home decrease of more than 1%, (vii) no more
than 1% of the original pool can be repurchased every 6 months,
(viii) borrower coded other than SAE 600 for Bank of Italy is not more
than 0.5% of those before the repurchase.
After the amendments the swap documents are not longer fully in line with
Moody's criteria. Moreover, swap counterparty has started
to post collateral under the swap. This may result in increased
linkage towards the swap counterparty.
Moody's will closely monitor the performance of the affected RMBS deal.
Moody's ratings address only the credit risks associated with the transaction.
Other non-credit risks have not been addressed, but may have
a significant effect on yield to investors.
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 transaction
is "Moody's Approach to Rating Italian RMBS" published in December 2004.
Further information on Moody's analysis of this transaction is available
Pier Paolo Vaschetti
Vice President - Senior Analyst
Structured Finance Group
Moody's Italia S.r.l
VP - Senior Credit Officer
Structured Finance Group
Moody's Italia S.r.l
Moody's Italia S.r.l
Moody's updates on Italian RMBS transaction C.R. Volterra Finance S.r.l. following the amendment of some transaction documents
Corso di Porta Romana 68
No Related Data.
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