The Italian securitization market was shocked recently with the news that collection figures are far lower than anticipated on the massive E4.65 billion ($4.13 billion) deal launched by the Italian state pensions body, Istituto Nazionale della Previdenza Sociale (INPS).

There now follows the distinct possibility of extension risk on the series 1 triple-A rated bonds beyond their expected maturity, and a similarly, perhaps accentuated, affect on the longer-dated notes in the issue.

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