S&P Global Ratings

View Analyst
Contact Information

Cordusio RMBS Securitisation Class D And E Italian RMBS Notes Ratings Raised; Other Ratings Affirmed


    • We reviewed Cordusio RMBS Securitisation under our relevant criteria and considered the increased credit enhancement for all rated notes, following the continued repurchase of defaulted loans.
    • Following our review, we raised our ratings on the class D and E notes, and affirmed our ratings on the class A3, B, and C notes.
    • Cordusio RMBS Securitisation is an Italian RMBS transaction, which closed in May 2007 and securitizes first-ranking residential mortgage loans. UniCredit originated the pool, which comprises loans granted to prime borrowers, mainly located in northern Italy.

    MILAN (S&P Global Ratings) June 23, 2022--S&P Global Ratings today raised to 'AA (sf)' and 'AA- (sf)' from 'AA- (sf)' and 'BBB (sf)' its credit ratings on Cordusio RMBS Securitisation S.r.l.'s class D and E notes, and affirmed its 'AA (sf)' ratings on the class A3, B, and C notes.

    Today's rating actions follow our credit and cash flow analysis of the most recent transaction information that we have received for the payment date occurring in March 2022.

    The repurchase of a portion of defaulted loans since the previous review, the sequential payment structure, and the nonamortizing cash reserve supported the increase of the available credit enhancement since our previous review for all rated notes.

    Credit Enhancement

















    The cash reserve is nonamortizing, and it is currently at its target of €6.25 million.

    Taking into account the results of our updated credit and cash flow analysis, the available credit enhancement for the class A3, B, C, and D notes is sufficient to withstand the stresses that we apply at a 'AAA' rating. However, our structured finance sovereign risk criteria and our counterparty criteria constrain our ratings on these classes of notes at 'AA (sf)'. We therefore raised to 'AA (sf)' from 'AA- (sf)' our rating on the class D notes, and affirmed our 'AA (sf)' ratings on the class A3, B, and C notes.

    The results of our credit and cash flow analysis of the class E notes improved, and this class of notes can now withstand the stresses that we apply at a higher rating than that currently assigned. However, we have also considered the class E notes' relative subordination in the capital structure. We therefore raised to 'AA- (sf)' from 'BBB (sf)' our rating on the class E notes.

    We acknowledge a high degree of uncertainty about the extent, outcome, and consequences of the military conflict between Russia and Ukraine. Irrespective of the duration of military hostilities, sanctions and related political risks are likely to remain in place for some time. The potential effects could include dislocated commodities markets (notably for oil and gas) supply chain disruptions, inflationary pressures, weaker growth, and capital market volatility. As the situation evolves, we will update our assumptions and estimates accordingly.

    This transaction does not have direct exposure to collateral in the conflict region. Collateral-related pressures could, therefore, only come to bear through second-round effects, such as lower economic growth and higher inflation hurting consumers' ability to service their debt. However, we don't see this as a material risk in the short term (see "S&P Global Ratings Expects The Russia-Ukraine Conflict To Have Limited Direct Impact On Global Structured Finance," published on March 3, 2022).

    Cordusio RMBS Securitisation is an Italian RMBS transaction, which closed in May 2007 and securitizes first-ranking residential mortgage loans. UniCredit originated the pool, which comprises loans granted to prime borrowers, mainly located in northern Italy.

    Related Criteria

    Related Research

    Regulatory Disclosures For Each Credit Rating Including Ratings List Table

    Disclosures include requirements relating to press releases or reports published in accordance with Article 10(1), 10(2), and 10(5), and Annex I, Section D, I, 1, 2, 2a, 4, and 5. These requirements are available by rating via the link titled "Regulatory Disclosure" and include, but are not limited to:

    • Key Elements Underlying The Credit Rating
    • ESG Credit Factors
    • Solicited Or Unsolicited Status
    • Analysts Primarily Responsible For The Credit Rating
    • Office Responsible For The Credit Rating
    • Materials Used In The Credit Rating Process
    • Criteria Applied
    • Models Applied, Loss, And Cash Flow Analysis Performed
    • Scenario Analysis
    • Sensitivity Analysis
    • Risk Warning, Understanding Credit Rating Categorizations, And Criteria
    • Rated Entity Notification
    • Ancillary And Additional Services
    • Attributes And Limitations Of The Credit Rating
    • Information Specific To Structured Finance And Securitization Instruments

    'sf' Identifier
    The 'sf' identifier is assigned to ratings on structured finance or securitization instruments when required to comply with an applicable law or regulatory requirement or when S&P Global Ratings believes it appropriate. The addition of the 'sf' identifier to a rating does not change that rating's definition or our opinion about the issue's creditworthiness. For detailed information on the instruments assigned the 'sf' identifier, please see the appendix to "S&P Global Ratings Definitions" for the types of instruments that carry the 'sf' identifier. To see if a credit rating has a 'sf' identifier, visit the spglobal.com/ratings website and search for the rated entity.

    No content (including ratings, credit-related analyses and data, valuations, model, software or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor’s Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an “as is” basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages.

    Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. S&P’s opinions, analyses and rating acknowledgment decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment and experience of the user, its management, employees, advisors and/or clients when making investment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. Rating-related publications may be published for a variety of reasons that are not necessarily dependent on action by rating committees, including, but not limited to, the publication of a periodic update on a credit rating and related analyses.

    To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P reserves the right to assign, withdraw or suspend such acknowledgment at any time and in its sole discretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal or suspension of an acknowledgment as well as any liability for any damage alleged to have been suffered on account thereof.

    S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain non-public information received in connection with each analytical process.

    S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, www.spglobal.com/ratings (free of charge), and www.ratingsdirect.com(subscription), and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available at www.spglobal.com/usratingsfees.

    Any Passwords/user IDs issued by S&P to users are single user-dedicated and may ONLY be used by the individual to whom they have been assigned. No sharing of passwords/user IDs and no simultaneous access via the same password/user ID is permitted. To reprint, translate, or use the data or information other than as provided herein, contact S&P Global Ratings, Client Services, 55 Water Street, New York, NY 10041; (1) 212-438-7280 or by e-mail to: research_request@spglobal.com.

    Contact the analysts: