articles Ratings /ratings/en/research/articles/200623-cordusio-rmbs-securitisation-italian-rmbs-class-d-and-e-notes-ratings-raised-other-ratings-affirmed-11543767 content
Log in to other products

Login to Market Intelligence Platform


Looking for more?

Request a Demo

You're one step closer to unlocking our suite of comprehensive and robust tools.

Fill out the form so we can connect you to the right person.

If your company has a current subscription with S&P Global Market Intelligence, you can register as a new user for access to the platform(s) covered by your license at Market Intelligence platform or S&P Capital IQ.

  • First Name*
  • Last Name*
  • Business Email *
  • Phone *
  • Company Name *
  • City *
  • We generated a verification code for you

  • Enter verification Code here*

* Required

Thank you for your interest in S&P Global Market Intelligence! We noticed you've identified yourself as a student. Through existing partnerships with academic institutions around the globe, it's likely you already have access to our resources. Please contact your professors, library, or administrative staff to receive your student login.

At this time we are unable to offer free trials or product demonstrations directly to students. If you discover that our solutions are not available to you, we encourage you to advocate at your university for a best-in-class learning experience that will help you long after you've completed your degree. We apologize for any inconvenience this may cause.

In This List

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


Leveraged Finance: Rated U.S. BSL CLOs: Six Graphical Insights On Second-Quarter 2020 Rating Actions For Widely Referenced Corporate Obligors


SF Credit Brief: 63 CLO Tranches Downgraded By 1.2 Notches On Average In July 2020


Tender Option Bond Ratings Recap As Of June 2020: How COVID-19 Has Affected The Secondary Derivative Market


Servicer Evaluation: NorthMarq Capital LLC

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


  • We have reviewed Cordusio RMBS Securitisation under our relevant criteria and considered the increased credit enhancement for all rated notes, following the repurchase of a portion of defaulted loans.
  • Following our review, we have 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, 2020--S&P Global Ratings today raised its credit ratings on Cordusio RMBS Securitisation S.r.l.'s class D and E notes, and affirmed its 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 2020.

The repurchase of a portion of defaulted loans on September 2019, 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.

Table 1

Credit Enhancement
Class Current Previous review (June 2019)
A3 42.4% 32.0%
B 31.1% 22.5%
C 24.1% 16.7%
D 7.8% 3.2%
E 4.7% 0.6%

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, and C 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 have therefore affirmed our 'AA (sf)' ratings on the class A3, B, and C notes.

In our cash flow analysis, the class D notes, following the increase in the credit enhancement, are able to withstand the stresses commensurate with a 'A' rating when we apply commingling stress equal to one month collection of interest and principal (including a certain amount of assumed prepayments). Therefore, we delinked our rating on the class D notes from our long-term issuer credit rating (ICR) on UniCredit Group in line with our counterparty criteria, and raised to 'A (sf)' from 'BBB (sf)' our rating on this class of notes.

The results of our credit and cash flow analysis of the class E notes improved and they are now able to withstand the stresses that we apply at a 'BB+' rating. However, we have also considered the available credit enhancement, the notes' relative subordination in the capital structure, and their vulnerability to the potential increase of defaulted assets. We have therefore raised to 'BB- (sf)' from 'B- (sf)' our rating on the class E notes.

S&P Global Ratings acknowledges a high degree of uncertainty about the evolution of the coronavirus pandemic. The consensus among health experts is that the pandemic may now be at, or near, its peak in some regions, but will remain a threat until a vaccine or effective treatment is widely available, which may not occur until the second half of 2021. We are using this assumption in assessing the economic and credit implications associated with the pandemic (see our research here: As the situation evolves, we will update our assumptions and estimates accordingly.

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

Primary Credit Analyst:Giovanna Perotti, Milan + 390272111209;

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, (free of charge), and and (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

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:

Register with S&P Global Ratings

Register now to access exclusive content, events, tools, and more.

Go Back