Milan, December 22, 2021 -- Moody's Investors Service ("Moody's") has today upgraded the ratings
of five notes and affirmed the ratings of eight notes in three Italian
RMBS deals currently serviced by UniCredit S.p.A.
The rating action reflects better than expected collateral performance
and the increased levels of credit enhancement for the affected notes.
Moody's affirmed the ratings of the notes that had sufficient credit enhancement
to maintain the current ratings on the affected notes.
Issuer: Capital Mortgage S.r.l. (Capital Mortgages
Series 2007-1)
....EUR1736M Class A1 Notes, Affirmed
Aa3 (sf); previously on Mar 1, 2021 Upgraded to Aa3 (sf)
....EUR644M Class A2 Notes, Affirmed
Aa3 (sf); previously on Mar 1, 2021 Upgraded to Aa3 (sf)
....EUR74M Class B Notes, Upgraded to
Baa1 (sf); previously on Mar 1, 2021 Affirmed B2 (sf)
....EUR25.35M Class C Notes,
Upgraded to Ba3 (sf); previously on Mar 1, 2021 Upgraded to
Caa1 (sf)
Issuer: Cordusio RMBS - UCFin S.r.l.
....EUR1735M Class A2 Notes, Affirmed
Aa3 (sf); previously on Apr 24, 2020 Affirmed Aa3 (sf)
....EUR75M Class B Notes, Affirmed Aa3
(sf); previously on Apr 24, 2020 Affirmed Aa3 (sf)
....EUR25M Class C Notes, Affirmed Aa3
(sf); previously on Apr 24, 2020 Affirmed Aa3 (sf)
....EUR48M Class D Notes, Upgraded to
Aa3 (sf); previously on Apr 24, 2020 Upgraded to A2 (sf)
Issuer: Cordusio RMBS Securitisation S.r.l.
- Series 2007
....EUR738.6M Class A3 Notes,
Affirmed Aa3 (sf); previously on Mar 1, 2021 Affirmed Aa3 (sf)
....EUR71.1M Class B Notes, Affirmed
Aa3 (sf); previously on Mar 1, 2021 Affirmed Aa3 (sf)
....EUR43.8M Class C Notes, Affirmed
Aa3 (sf); previously on Mar 1, 2021 Affirmed Aa3 (sf)
....EUR102M Class D Notes, Upgraded
to A1 (sf); previously on Mar 1, 2021 Upgraded to Baa2 (sf)
....EUR19.5M Class E Notes, Upgraded
to A3 (sf); previously on Mar 1, 2021 Upgraded to Ba2 (sf)
Maximum achievable rating is Aa3 (sf) for structured finance transactions
in Italy, driven by the corresponding local currency country ceiling
of the country.
RATINGS RATIONALE
The rating action is prompted by a decreased key collateral assumption,
due to better than expected collateral performance and an increase in
credit enhancement for the affected tranches.
Revision of Key Collateral Assumption
As part of the rating action, Moody's reassessed its lifetime loss
expectation for the portfolio reflecting the collateral performance to
date.
The performance of the transactions has continued to improve since the
last rating action. Total delinquencies have decreased with 90
days plus arrears currently standing at, respectively, 0.38%,
1.33% and 0.92% of current pool balances for
Capital Mortgage S.r.l. (Capital Mortgages Series
2007-1), Cordusio RMBS - UCFin S.r.l.
and Cordusio RMBS Securitisation S.r.l. -
Series 2007. Cumulative defaults currently stand at, respectively,
14.25%, 6.30% and 5.56%
of the original pool balances for Capital Mortgage S.r.l.
(Capital Mortgages Series 2007-1), Cordusio RMBS -
UCFin S.r.l. and Cordusio RMBS Securitisation S.r.l.
- Series 2007, marginally up from, respectively,
14.16%, 6.15% and 5.52%
at the time of previous rating action.
Moody's decreased the expected loss assumption to, respectively,
9.20%, 3.45% and 2.70%
for Capital Mortgage S.r.l. (Capital Mortgages Series
2007-1), Cordusio RMBS - UCFin S.r.l.
and Cordusio RMBS Securitisation S.r.l. -
Series 2007 as a percentage of original pool balance from, respectively,
9.40%, 3.50% and 2.90%
due to the overall improving performance.
Moody's has also assessed loan-by-loan information as a
part of its detailed transaction review to determine the credit support
consistent with target rating levels and the volatility of future losses.
As a result, Moody's has maintained the MILAN CE assumption at its
current levels of 11.00% for Cordusio RMBS - UCFin
S.r.l. and decreased the MILAN CE to 12% and
9% from 14.5% and 10% for Capital Mortgage
S.r.l. (Capital Mortgages Series 2007-1) and
Cordusio RMBS Securitisation S.r.l. - Series
2007, respectively.
Increase in Available Credit Enhancement
Trapping of excess spread led to the increase in the credit enhancement
available in these transactions. Additional elements contributing
to such an increase include non-amortizing reserve funds and sequential
amortization for Cordusio RMBS Securitisation S.r.l.
- Series 2007 and Cordusio RMBS - UCFin S.r.l.
and some replenishment of the reserve fund thanks to a recent repurchase
of some previously defaulted or quasi-defaulted loans for Capital
Mortgage S.r.l. (Capital Mortgages Series 2007-1).
For instance, the credit enhancement on Class B and Class C Notes
in in Capital Mortgage S.r.l. (Capital Mortgages
Series 2007-1) increased to 14.26% and 7.49%
from 7.37% and 1.27% since the last rating
action; the credit enhancement for Class D Notes in Cordusio RMBS
- UCFin S.r.l. increased to 21.31%
from 13.44% since the last rating action; the credit
enhancement for D and Class E Notes in Cordusio RMBS Securitisation S.r.l.
- Series 2007 increased to 13.51% and 9.41%
from 9.18% and 5.63% since last rating action.
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework" published in December 2020 and
available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1248130.
Alternatively, please see the Rating Methodologies page on www.moodys.com
for a copy of this methodology.
The analysis undertaken by Moody's at the initial assignment of ratings
for RMBS securities may focus on aspects that become less relevant or
typically remain unchanged during the surveillance stage. Please
see "Moody's Approach to Rating RMBS Using the MILAN Framework" for further
information on Moody's analysis at the initial rating assignment and the
on-going surveillance in RMBS.
Factors that would lead to an upgrade or downgrade of the ratings:
Factors or circumstances that could lead to an upgrade of the ratings
include: (i) performance of the underlying collateral that is better
than Moody's expected; (ii) an increase in available credit enhancement;
(iii) improvements in the credit quality of the transaction counterparties;
and (iv) a decrease in sovereign risk.
Factors or circumstances that could lead to a downgrade of the ratings
include: (i) an increase in sovereign risk; (ii) performance
of the underlying collateral that is worse than Moody's expected;
(iii) deterioration in the notes' available credit enhancement; and
(iv) deterioration in the credit quality of the transaction counterparties.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and
sensitivity analysis, see the sections Methodology Assumptions and
Sensitivity to Assumptions in the disclosure form. Moody's
Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.
The analysis relies on an assessment of collateral characteristics to
determine the collateral loss distribution, that is, the function
that correlates to an assumption about the likelihood of occurrence to
each level of possible losses in the collateral. As a second step,
Moody's evaluates each possible collateral loss scenario using a
model that replicates the relevant structural features to derive payments
and therefore the ultimate potential losses for each rated instrument.
The loss a rated instrument incurs in each collateral loss scenario,
weighted by assumptions about the likelihood of events in that scenario
occurring, results in the expected loss of the rated instrument.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
For ratings issued on a program, series, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or note of the
same series, category/class of debt, security or pursuant
to a program for which the ratings are derived exclusively from existing
ratings in accordance with Moody's rating practices. For ratings
issued on a support provider, this announcement provides certain
regulatory disclosures in relation to the credit rating action on the
support provider and in relation to each particular credit rating action
for securities that derive their credit ratings from the support provider's
credit rating. For provisional ratings, this announcement
provides certain regulatory disclosures in relation to the provisional
rating assigned, and in relation to a definitive rating that may
be assigned subsequent to the final issuance of the debt, in each
case where the transaction structure and terms have not changed prior
to the assignment of the definitive rating in a manner that would have
affected the rating. For further information please see the ratings
tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
The ratings have been disclosed to the rated entity or its designated
agent(s) and issued with no amendment resulting from that disclosure.
These ratings are solicited. Please refer to Moody's Policy
for Designating and Assigning Unsolicited Credit Ratings available on
its website www.moodys.com.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Moody's general principles for assessing environmental, social
and governance (ESG) risks in our credit analysis can be found at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1288235.
The Global Scale Credit Rating on this Credit Rating Announcement was
issued by one of Moody's affiliates outside the UK and is endorsed
by Moody's Investors Service Limited, One Canada Square,
Canary Wharf, London E14 5FA under the law applicable to credit
rating agencies in the UK. Further information on the UK endorsement
status and on the Moody's office that issued the credit rating is
available on www.moodys.com.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Sara Santagostino
Analyst
Structured Finance Group
Moody's Italia S.r.l
Corso di Porta Romana 68
Milan 20122
Italy
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Michelangelo Margaria
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Releasing Office:
Moody's Italia S.r.l
Corso di Porta Romana 68
Milan 20122
Italy
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
