DBRS Rates Cordusio RMBS Securitisation S.r.l. – Cordusio 5

DBRS Ratings Limited (DBRS) has today assigned a final rating of “AAA” (sf) to the Class A Notes issued by Cordusio RMBS Securitisation S.r.l. – Cordusio 5 (Cordusio 5). The DBRS rating is a second rating on an existing transaction issued in November 2008. Cordusio 5 issued two classes of mortgage-backed floating rate notes (Class A and Class B Notes). DBRS rates Class A Notes only. The Class A and B Notes are backed by floating rate, first lien, fully amortising mortgage loans mainly originated in the regions of Lombardia, Lazio and Veneto. The originator and servicer of this transaction is UniCredit S.p.a. (UniCredit).

The ratings are based upon DBRS review of the following analytical considerations:
•Transaction capital structure and form and sufficiency of available credit enhancement.
•Credit enhancement is in the form of a non amortising cash reserve, subordination, and potentially from excess spread.
•The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to terms in which they have invested.
•The transaction parties’ capabilities with respect to originations, underwriting, servicing, and financial strength.
•The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.
•Incorporation of a sovereign related stress component in our stress scenario due to the recent downgrade by DBRS of the Republic of Italy’s sovereign from AA (low) Negative Trend to A (high) Negative Trend.

DBRS credit analysis is performed on a loan-level basis and includes a probability of default and loss given default assessment, an originator- and servicer-specific historical performance review, an analysis of loan default data, a Italian housing market and property price trend evaluation, and finally a cash flow simulation based on various stresses to prepayments, timing of defaults and recoveries and interest rates.

DBRS assessed the two year probability of default, utilising UniCredit’s definition of defaults (sofferenze) as defined by the Bank of Italy.

Note:
All figures are in Euro unless otherwise noted.

The applicable methodologies are Master European Residential Mortgage-Backed Securities Rating Methodology, Legal Criteria for European Structured Finance Transactions and Unified Interest Rate Model Methodology for European Securitisations, which can be found on our website under Methodologies, with adjustments made for the Italian mortgages.

The sources of information used for this rating include working papers and data on the Italian economy and housing market provided by: International Monetary Fund, World Bank, OECD, ECB, Eurostat, Bank of Italy and Nomisma. DBRS conducted an operational review on the origination and servicing practices of UniCredit. UniCredit provided loan-level data and historical performance of mortgage portfolio dating back to 2003. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is the first DBRS rating on this financial instrument.

For additional information on this rating, please refer to the linking document.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

The full report providing additional analytical details is available by clicking on the link below or by contacting us at info@dbrs.com.

Lead Analyst: Alessio Pignataro
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 21 December 2011