(The following statement was released by the rating agency)
Oct 04 -
OVERVIEW
-- On Sept. 26, 2011, the transaction counterparties made changes to the transaction documentation to bring it in line with our 2010 counterparty criteria.
-- The transaction performance is stable and the credit enhancement available for the class A and B notes has increased.
-- We have therefore affirmed and removed from CreditWatch negative our ratings on the class A and B notes.
-- Intra Mortgage Finance 1 is an Italian RMBS transaction that securitizes a pool of residential and commercial mortgages originated by Banca Popolare di Intra SCPA. The transaction closed in December 2002.
Standard & Poor's Ratings Services today affirmed and removed from CreditWatch negative its credit ratings on Intra Mortgage Finance 1 S.r.l.'s class A and B notes (see list below).
On Jan. 18, 2011, we placed our ratings on Intra Mortgage Finance 1's class A and B notes on CreditWatch negative when our 2010 counterparty criteria became effective (see 'EMEA Structured Finance CreditWatch Actions In Connection With Revised Counterparty Criteria').
Subsequently, the transaction counterparties sent us amended counterparty documentation before July 18, 2011, which we reviewed and which we considered to be in line with our updated counterparty criteria (see 'Counterparty And Supporting Obligations Methodology And Assumptions,' published on Dec. 6, 2010).
The amendments to Intra Mortgage Finance 1's transaction documentation were not executed before July 18, 2011; however, we kept the affected ratings on CreditWatch negative, since we had been informed that a noteholder meeting may be scheduled at which the noteholders would vote on whether or not to accept the proposed documentation changes. If noteholders had voted against the changes and the documentation had not therefore been amended, we would have likely downgraded the class A and B notes.
However, since the proposed amendments to the transaction documentation were executed on Sept. 26, 2011, we have resolved the CreditWatch placements and affirmed the 'AAA (sf)' rating on the class A notes and the 'AA+ (sf)' rating on the class B notes. Our analysis also considered that the transaction performance is stable and the credit enhancement available for the class A notes has increased to 67.76% in August 2011 from 62.95% three months before, and for the class B notes to 40.58% from 37.57% over the same period.
Intra Mortgage Finance 1 is an Italian residential mortgage-backed securities (RMBS) transaction backed by a pool of mortgage loans secured over residential and commercial properties in Italy and granted to individuals and commercial borrowers. The transaction closed in December 2002.
RELATED CRITERIA AND RESEARCH
-- S&PCORRECT: Ratings In Eight European RMBS Transactions Kept On CreditWatch Negative Awaiting New Documentation, Aug. 26, 2011
-- Principles Of Credit Ratings, Feb. 16, 2011
-- EMEA Structured Finance CreditWatch Actions In Connection With Revised Counterparty Criteria, Jan. 18, 2011
-- Counterparty And Supporting Obligations Update, Jan. 13, 2011
-- Counterparty And Supporting Obligations Methodology And Assumptions, Dec. 6, 2010
-- Methodology And Assumptions: Update To The Criteria For Rating Italian Residential Mortgage-Backed Securities, Jan. 6, 2009
-- Criteria for Rating Italian Residential Mortgage-Backed Securities, July 16, 2002
RATINGS LIST
Class Rating
To From
Intra Mortgage Finance 1 S.r.l.
EUR445 Million Mortgage-Backed Floating-Rate Notes
Ratings Affirmed And Removed From CreditWatch Negative
A AAA (sf) AAA (sf)/Watch Neg
B AA+ (sf) AA+ (sf)/Watch Neg
(Bangalore Ratings Team, Hotline: +91 80 4135 5898 swati.ray@thomsonreuters.com, Reuters Messaging: swati.ray.thomsonreuters.com@reuters.net)
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