OREANDA-NEWS. Fitch Ratings has downgraded Cordusio RMBS Securitisation S.r.l. - Series 2007 (Cordusio 4), as follows:

Class A2 (IT0004231236): downgraded to 'A+sf' from 'AA+sf'; off Rating Watch Negative (RWN); Outlook Stable
Class A3 (IT0004231244): downgraded to 'A+sf' from 'AA+sf'; off RWN; Outlook Stable
Class B (IT0004231285): downgraded to 'A+sf' from 'AA-sf'; off RWN; Outlook Stable

Cordusio 4 is a prime Italian RMBS backed by loans originated and serviced by UniCredit S.p.A. (UniCredit, BBB+/Stable/F2).

KEY RATING DRIVERS
Payment Interruption Risk Not Addressed
Fitch placed the class A2, A3 and B notes on RWN in May 2015 because payment interruption on the notes constituted a material risk. The downgrade reflects the unmitigated exposure to payment interruption risk, which may trigger a default event on the notes under the transaction documentation due to missed payment of interest on the notes. Fitch understands that UniCredit is not going to take any action to mitigate this risk now. As a result, in line with Fitch's counterparty criteria and ratings cap criteria, the agency has capped the maximum rating of the notes at 'A+sf', three notches above Unicredit's Issuer Default Rating (IDR).

The agency tested the liquidity available in the transaction to cover for senior fees, swap payments and interest on the class A and B notes following a servicer disruption event. In its analysis, Fitch found that the structural mitigants were insufficient to protect the notes from this risk.

RATING SENSITIVITIES
Changes in Unicredit's IDR would imply changes in the highest achievable rating of the class A and B notes, currently 'A+sf'.

Actions to mitigate the payment interruption exposure may entail revision of the highest achievable rating.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transaction's initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

SOURCES OF INFORMATION
The information below was used in the analysis.
- Transaction reporting provided by UniCredit as of August 2015.
- Discussions with UniCredit.