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Rating Action:

Moody's confirms ratings of Italian RMBS notes issued by Cordusio RMBS Securitisation S.r.l. -- Series 2007

20 May 2010

Approximately EUR2.6 billion of current outstanding debt securities affected.

Milan, May 20, 2010 -- Moody's Investors Service has confirmed the ratings of the following notes issued by Cordusio RMBS Securitisation S.r.l. -- Series 2007 ("Cordusio 2007"):

....EUR102M D Notes, Confirmed at Baa2; previously on 14 October 2009 Baa2 Placed Under Review for Possible Downgrade

....EUR19.5M E Notes, Confirmed at Ba2; previously on 14 October 2009 Ba2 Placed Under Review for Possible Downgrade

At the same time, Moody's has affirmed the ratings of the Class A2 (Aaa), Class A3 (Aaa), Class B (Aa1) and Class C (A1) notes, which were assigned at closing on 25 May 2007 and not under review.

The ratings of the Class D and Class E notes were placed on review on 14 October 2009 due to worse-than-expected performance. Today's rating actions conclude the review and take into account increased loss expectations for the mortgage portfolio backing the notes. All tranches of rated notes have sufficient credit enhancement to support the current ratings of the notes.

The transaction has not been performing in line with Moody's expectations at closing and the reserve fund has been drawn substantially. Cumulative defaults have reached 1.29% of original balance as of March 2010. On the latest payment date, mortgage loans more than 60 and 90 days in arrears had reached approximately 1.45% and 1.18% of current pool balance. As of the last payment date, the reserve fund amounted to EUR930,840, which is only about 15% of its target amount of EUR6.3 million.

As part of its analysis, Moody's has assessed updated loan-by-loan information to determine the credit support consistent with target rating levels and the volatility of the distribution of future losses. As a result, Moody's has updated its MILAN Aaa CE assumptions to 5.5% of the current pool balance. Taking into account the cumulative amount of defaulted loans and applying a roll-rate and severity analysis on the rest of the portfolio, Moody's has increased its loss expectations for the portfolio to 1.25% of original balance. (Subordination under the Aaa-rated notes is 9.3% as of today.) The loss expectation and the MILAN Aaa CE are the two key parameters Moody's uses to calibrate its loss distribution curve, which is one of the core inputs in the cash flow model it uses to rate RMBS transactions. These updated assumptions reflect the collateral performance to date as well as Moody's expectations for this transaction, in the context of a weakening macro-economic environment in Italy.

Moody's concluded that, in spite of the increased loss expectation, all tranches of rated notes have sufficient credit enhancement to support the current ratings of the notes. In addition to the reserve fund, which provides both liquidity and credit support, and the subordination of less senior classes, each tranche of notes can count on a healthy level of portfolio yield after swap. In August 2009, when Moody's was provided with loan-by-loan portfolio data, the portfolio yielded approximately 1.2% spread after swap of current balance.

The review also took into account set-off risk. On the basis of data available for the Italian market, Moody's has made assumptions on the amount of deposits that debtors had when mortgage loans were assigned to Cordusio 2007 at closing. Using the originator's rating (UniCredit Family Financing Bank S.pA, A1/P-1) in its cash flow analysis, Moody's has assessed the impact of set-off on the notes if the originator became insolvent at different time horizons. Moody's notes that if the originator was downgraded, the transaction could be exposed to higher set-off risk than currently assumed and therefore the ratings of the notes could be also impacted.

Operational and servicing risks are mitigated by the financial strength of performing-loan servicer UniCredit Banca S.p.A. belonging to UniCredit S.pA. (Aa3/P-1), delinquent-loan servicer CURE/UniCredit (Aa3/P-1) and defaulted-loan servicer UCMB (not rated) as well as back-up servicer appointment triggers at loss of Baa3. In addition to the remaining reserve fund, the main source of liquidity still in the structure is the availability of principal funds to pay note interest.

Cordusio 2007 was the third RMBS transaction launched by Unicredit Banca SpA (100% owned retail bank of Unicredit SpA (Aa3/P-1) and the fourth of Unicredit group. All the loans were originated by Unicredit Banca SpA. The portfolio consisted of EUR3,908,102,838 of prime residential mortgage loans guaranteed by first economic lien on residential properties. All loans were in bonis (performing) and all of them benefited from an economic first-lien mortgage (ipoteca) on the actual property. The collateral portfolio had a WA current LTV of 60.54% per cent and a WA seasoning of approximately 34 months.

Moody's rated and monitors this transaction using the rating methodology for EMEA RMBS as described in the Rating Methodology report "Moody's Approach to Rating Italian RMBS" published in December 2004 which can be found at www.moodys.com in the Rating Methodologies sub-directory under the Research & Ratings tab. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found in the Rating Methodologies sub-directory on Moody's website. In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck

Moody's ratings address the expected loss posed to investors by the legal final maturity of the notes. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors.

Moody's will continue to monitor the performance of this RMBS transaction closely. For more information, please see Moody's research on www.moodys.com or contact Moody's Client Service Desk on (+44-20) 7772 5454.

London
Barbara Rismondo
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Milan
Nikoletta Knapcsek
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
Telephone:+39-02-9148-1100

Moody's confirms ratings of Italian RMBS notes issued by Cordusio RMBS Securitisation S.r.l. -- Series 2007
No Related Data.
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