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.
|CLASS||CURRENT||PREVIOUS REVIEW (MAY 2021)|
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.
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