DBRS Rates Cordusio RMBS Securitisation S.r.l. – Cordusio 6

DBRS Ratings Limited (DBRS) has today assigned a final rating to the following Notes issued by Cordusio RMBS Securitisation S.r.l. – Cordusio 6 (Cordusio 6).

•AAA (sf) rating to the Class A notes EUR 2,271,570,861

The Class B note, which is junior to the above class of note, is not rated.

The DBRS rating is the third rating on notes issued from an existing transaction that originally closed in August 2009. Cordusio 6 had issued two classes of mortgage-backed floating rate notes (Class A and Class B Notes). DBRS has rated the Class A Note only.

The Class A and B Notes are backed by fixed and floating rate, first lien, fully amortising Italian mortgage loans. The originator of this transaction is UniCredit Family Financing Bank S.p.a. (subsequently merged into UniCredit S.p.A. by 01/11/2010) and the servicer of this transaction is UniCredit S.p.A. (together UniCredit).

The ratings are based upon DBRS review of the following analytical considerations:
•Transaction capital structure and form as well as 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 their investment terms.
•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.

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, an 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 and Jurisdictional Addenda, Legal Criteria for European Structured Finance Transactions, Operational Risk Assessment For European RMBS Servicers, Unified Interest Rate Model Methodology for European Securitisation and Swap Criteria for European Structured Finance Transactions, which can be found on our website under Methodologies, with adjustments made for the Italian mortgages.

The sources of information used for this rating may 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 located below.

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: Konstantine Pastras
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 5th March 2012