RPT-Fitch: No Rating Impact on Mercurio 2012-7 From Document Amendments

Thu Jun 19, 2014 6:05am EDT

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June 19 (Reuters) - (The following statement was released by the rating agency)

Fitch Ratings says there is no rating impact on Mercurio Mortgage Finance S.r.l. Series 2012-7 from amendments to the transaction documents.

The transaction is a prime Italian RMBS backed by residential mortgage loans granted by the Italian branch of Barclays Bank Plc (Barclays, A/Stable/F1). The amendments are intended to increase the repayment speed of the notes through higher prepayments of the underlying mortgage portfolio. In order to achieve this, the servicer, Barclays, plans to offer a principal discount within a certain percentage range to selected borrowers who accept to prepay the outstanding mortgage amount. The servicer will also cover the principal discount, by paying it to the SPV. Consequently, the SPV will not suffer any loss.

Fitch has assessed the potential credit link between the servicer and the notes and modeled the potential loss that the transaction would be exposed to in case of servicer default. The agency found that the available credit enhancement is sufficient to withstand this stress, thus the rating of the notes is not constrained by Barclays' rating.

The rating of the notes is as follows:

Mercurio Mortgage Finance S.r.l. - Series 2012-7

Class A (ISIN IT0004791981): 'AA+sf'; Outlook Stable