Moody's Investors Service has downgraded one of Italy's best-known asset-backed securities (ABS) transactions as Banca di Roma, which originated the assets, faces problems collecting debts.

Trevi Finance, a special purpose vehicle (SPV) set up to issue ABS in July 1999, receives its cashflows from non-performing loans (NPLs) originated by Banca di Roma. The bank sold the receivables to Trevi, which funded itself by issuing ABS.