TEXT-Fitch upgrades CR Firenze Mutui class B notes

Tue Nov 13, 2012 2:21pm EST

Nov 13 - Fitch Ratings has upgraded one and affirmed two tranches of CR
Firenze Mutui Srl as follows:

Class A2 (ISIN IT0003391452) affirmed at 'AAAsf'; Outlook Negative

Class B (ISIN IT0003391478) upgraded to 'AAsf' from 'A+sf'; Outlook Stable 

Class C (ISIN IT0003391486) affirmed at 'BBB+sf'; Outlook Stable

The rating actions reflect the stable performance of the pool, as well as the 
deleveraging of the portfolio, which has led to a significant build-up in the 
credit support available to the rated tranches, particularly the class B notes 
(currently at 14%, compared with 11% a year ago).

Loans in arrears by more than 10 days are classified as delinquent. As of the 
September 2012 collection period, the volume of delinquent loans had decreased 
to EUR2.3m (3.3% of the current pool balance) from EUR5.0m in the June 2012 
(6.7% of the then current pool). Some of the decline has been driven by the 
roll-through of delinquent loans to default. The transaction documentation 
defines defaults as borrowers which are overdue by a period ranging from 7 to 18
months depending on the loan payment frequency, or where the relevant debtor has
been classified as "in sofferenza" (non-performing) by the servicer. As of 
September 2012, period gross cumulative defaults stood at EUR0.3m, or 0.07% of 
the initial balance. The excess spread generated by the structure was 
insufficient to provision for period defaults, resulting in a reserve fund draw 
of EUR0.018m.

To date, cumulative recoveries have been calculated as 73.3% of the total 
cumulative gross defaulted balance. Due to the high seasoning of the loans, 
Fitch expects recoveries to continue to flow through to the structure on the 
upcoming payment dates. In addition, given the low level of delinquent loans, 
defaults are expected to be limited in the near future. Fitch expects excess 
spread to be sufficient for provisioning purposes, leading to a replenishment of
the reserve fund to its target level in the next 12-18 months. 

At the same time, credit enhancement for the class C notes remains susceptible 
to movements in the cash reserve. The agency believes that any future reserve 
fund draws are likely to remain limited in amount and are unlikely to have a 
significant impact on the level of credit support available to the notes.EMEA Residential Mortgage Loss CriteriaEMEA Criteria Addendum — Italy - Mortgage and Cashflow AssumptionsCounterparty Criteria for Structured Finance TransactionsCounterparty Criteria for Structured Finance Transactions: Derivative Addendum
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