Although retained deals continue to be the order of the day in Europe, UniCredit Banca per la Casa SpA latest retained RMBS still caused a stir because of its size.
Cordusio RMBS Series 2008 was worth 23.78 billion ($30 billion), the largest residential mortgage securitization done in Italy.
The transaction was the first RMBS launched by UniCredit Banca per la Casa SpA after the internal reorganization of UniCredit SpA, Moody's Investors Service noted.
The 23.78 billion deal was structured with a coupon fixed at 100 basis points above the three-month Euribor rate and was rated 'A1' by Moody's. The portfolio consists of 23.789 billion prime residential mortgage loans granted to 222,164 borrowers.
All the loans were originated by UniCredit Banca Spa, UniCredit Banca di Roma and Bipop-Carire. The collateral portfolio has a weighted average current LTV of 60.73% (WA original LTV of 66.17% ) and the weighted average seasoning is approximately 28 months.The deal will likely be used as collateral in European Central Bank refinancing operations and not for more pressing liquidity needs, according to market reports.