Madrid, December 16, 2015 -- Moody's Investors Service has today taken rating actions on three Italian
residential mortgage backed securities (RMBS) transactions.
Specifically, Moody's has downgraded one note and affirmed five
notes of Capital Mortgage S.r.l. (BIPCA Cordusio
RMBS) and upgraded six notes and affirmed three notes of Cordusio RMBS
- UCFin S.r.l. and Cordusio RMBS Securitisation
S.r.l. - Series 2007.
Please see towards the end of the Ratings Rationale section for the list
of affected ratings.
RATINGS RATIONALE
The downgrade of tranche B of Capital Mortgage S.r.l.
(BIPCA Cordusio RMBS) results from the correction of an error identified
in Moody's previous analysis of the transaction, namely the
analysis of eligible investments.
Today's upgrades of tranches in Cordusio RMBS - UCFin S.r.l.
and Cordusio RMBS Securitisation S.r.l. -
Series 2007 reflect (1) the reduced uncertainty related to the collateral
assumption of these seasoned portfolios, and (2) the deleveraging
of the transactions. The ratings of other tranches in the deals
have been affirmed given credit enhancement is commensurate with current
ratings.
ELIGIBLE INVESTMENT
The rating previously assigned to tranche B of Capital Mortgage S.r.l.
(BIPCA Cordusio RMBS) did not adequately take into account the definition
of eligible investment present in the transaction. Indeed the rating
of class B notes is constrained due to (i) our assessment of medium linkage
of the transaction funds held in eligible investments, and (ii)
the minimum rating of Baa3 required for the eligible investments with
maturities up to one month and Baa2 for those with maturities of more
than one month and less than three months. As a result it can only
achieve Aa3(sf) according to "The Temporary Use of Cash in Structured
Finance Transactions: Eligible Investment and Bank Guidelines" (December
2015). The ratings of other tranches in the deal have been affirmed
given credit enhancement is commensurate with current ratings.
REVISION OF KEY COLLATERAL ASSUMPTIONS
Our collateral performance outlook for Italian RMBS is stable.
The recent more favourable economic conditions (low interest rates,
slightly higher GDP growth and slightly improved unemployment rate) have
benefited some of Italian RMBS borrowers and the delinquencies and defaults
of the Italian RMBS market remained relatively stable in recent months.
However, the pace of recovery is slow and we still see deterioration
of performance in some deals. Notwithstanding, we believe
uncertainty in the sector in general and, in some transactions of
this seasoned portfolio in particular, has reduced. Due to
the reduced uncertainty in the sector, we have removed the additional
stress analysis of key collateral assumptions..
Moody's has reassessed its lifetime loss expectations (EL) for the three
transactions, taking into account the transactions' underlying collateral
performance to date, and maintained previous assumption.
MILAN CE assumptions remain unchanged for the three deals.
DELEVERAGING OF TRANSACTIONS
Repayment of principal collections has contributed to increase credit
enhancement. In addition Principal Deficiencies Ledger of Cordusio
RMBS Securitisation S.r.l. - Series 2007 reduced
in the last two payments date.
This, together with the removal of additional stress analysis of
key collateral assumptions, resulted in the above mentioned upgrades
of Cordusio RMBS - UCFin S.r.l. and Cordusio
RMBS Securitisation S.r.l. - Series 2007.
Principal Methodology:
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework" published in January 2015.
Please see the Credit Policy 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
ongoing 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 (1) better-than-expected performance of the underlying
collateral; (2) deleveraging of the capital structure; and (3)
improvements in the credit quality of the transaction counterparties and
(4) a decreased probability of high loss scenarios owing to a upgrade
of the country ceiling.
Factors or circumstances that could lead to a downgrade of the ratings
include (1) an increased probability of high loss scenarios owing to a
downgrade of the country ceiling (2) a worse than expected performance
of the underlying collateral (3) deterioration in the notes' available
credit enhancement and (4) deterioration in the credit quality of the
transaction counterparties
LIST OF AFFECTED RATINGS:
Issuer: Capital Mortgage S.r.l. (BIPCA Cordusio
RMBS)
....EUR 666.3M A1 Notes, Affirmed
Aa2 (sf); previously on Jul 10, 2015 Affirmed Aa2 (sf)
....EUR 185.5M A2 Notes, Affirmed
Aa2 (sf); previously on Jul 10, 2015 Affirmed Aa2 (sf)
....EUR 61.8M B Notes, Downgraded
to Aa3 (sf); previously on Jul 10, 2015 Upgraded to Aa2 (sf)
....EUR 14.3M C Notes, Affirmed
A2 (sf); previously on Jul 10, 2015 Affirmed A2 (sf)
....EUR 18.0M D Notes, Affirmed
Baa1 (sf); previously on Jul 10, 2015 Upgraded to Baa1 (sf)
....EUR 5.5M E Notes, Affirmed
Baa3 (sf); previously on Jul 10, 2015 Affirmed Baa3 (sf)
Issuer: Cordusio RMBS - UCFin S.r.l.
....EUR1735M A2 Notes, Affirmed Aa2
(sf); previously on Apr 9, 2015 Upgraded to Aa2 (sf)
....EUR75M B Notes, Upgraded to Aa2
(sf); previously on Apr 9, 2015 Upgraded to A1 (sf)
....EUR25M C Notes, Upgraded to Aa3
(sf); previously on Apr 9, 2015 Upgraded to A3 (sf)
....EUR48M D Notes, Upgraded to Baa2
(sf); previously on Apr 9, 2015 Upgraded to Ba1 (sf)
Issuer: Cordusio RMBS Securitisation S.r.l.
- Series 2007
....EUR2227.6M A2 Notes, Affirmed
Aa2 (sf); previously on Apr 9, 2015 Upgraded to Aa2 (sf)
....EUR738.6M A3 Notes, Affirmed
Aa2 (sf); previously on Apr 9, 2015 Upgraded to Aa2 (sf)
....EUR71.1M B Notes, Upgraded
to Aa2 (sf); previously on Apr 9, 2015 Upgraded to A1 (sf)
....EUR43.8M C Notes, Upgraded
to A1 (sf); previously on Apr 9, 2015 Upgraded to A3 (sf)
....EUR102M D Notes, Upgraded to Ba1
(sf); previously on Apr 9, 2015 Upgraded to Ba2 (sf)
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
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 or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt 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 rating action on the support provider and in relation to each particular
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 rating action, and
whose ratings may change as a result of this 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.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
The relevant office for each credit rating is identified in "Debt/deal
box" on the Ratings tab in the Debt/Deal List section of each issuer/entity
page of the Website.
The below contact information is provided for information purposes only.
Please see the ratings tab of the issuer page at www.moodys.com,
for each of the ratings covered, Moody's disclosures on the
lead analyst and the Moody's legal entity that has issued the ratings.
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.
Maria Turbica Manrique
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Christophe de Noaillat
MD - Structured Finance
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Releasing Office:
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's takes actions on three Italian RMBS transactions
