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Rating Action:

Moody's confirms Aa3 ratings of UBI Banca's covered bonds

16 Feb 2015

Frankfurt am Main, February 16, 2015 -- Moody's Investors Service has confirmed the Aa3 ratings of the covered bonds issued by Unione di Banche Italiane S.c.p.A. (UBI Banca, deposits Baa3 negative; bank financial strength rating D+ stable /adjusted baseline credit assessment ba1) under its Italian mortgage covered bond programme. This rating action concludes the review of the above ratings, initiated on 21 January 2015.

RATINGS RATIONALE

Today's rating action reflects the confirmation by the issuer not to increase the level of committed over-collateralisation (OC) for the covered bond programme. After Moody's raised to Aa2 from A2 the local-currency country ceiling of Italy (Baa2 stable) on 20 January 2015, Moody's upgraded UBI Banca's covered bond ratings to Aa3 from A2 and placed the ratings on review for upgrade because an Aa2 rating was then achievable, albeit with a higher level of committed OC.

KEY RATING ASSUMPTIONS/FACTORS

Moody's determines covered bond ratings using a two-step process: an expected loss analysis and a TPI framework analysis.

EXPECTED LOSS: Moody's uses its Covered Bond Model (COBOL) to determine a rating based on the expected loss on the bond. COBOL determines expected loss as (1) a function of the probability that the issuer will cease making payments under the covered bonds (a CB anchor event); and (2) the stressed losses on the cover pool assets following a CB anchor event.

The CB anchor for this programme is the senior unsecured rating (SUR) plus one notch, given that the debt ratio is above 10%.

The cover pool losses for UBI Banca's mortgage covered bonds are 24.3%. This is an estimate of the losses Moody's currently models following a CB anchor event. Moody's splits cover pool losses between market risk of 16.7% and collateral risk of 7.7%. Market risk measures losses stemming from refinancing risk and risks related to interest-rate and currency mismatches (these losses may also include certain legal risks). Collateral risk measures losses resulting directly from cover pool assets' credit quality. Moody's derives collateral risk from the collateral score, which for this programme is currently 11.4%.

The OC in the cover pool is 57.8 %, of which UBI Banca provides 7.5% on a "committed" basis. The minimum OC level consistent with the Aa3 rating target is 11.0%, of which the issuer should provide 6% in a "committed" form. These numbers show that Moody's is relying on "uncommitted" OC in its expected loss analysis.

All numbers in this section are based on the most recent Performance Overview / Moody's most recent modelling (based on data as of 30 September 2014).

For further details on cover pool losses, collateral risk, market risk, collateral score and TPI Leeway across covered bond programmes rated by Moody's please refer to "Moody's Global Covered Bonds Monitoring Overview", published quarterly.

TPI FRAMEWORK: Moody's assigns a "timely payment indicator" (TPI), which measures the likelihood of timely payments to covered bondholders following a CB anchor event. The TPI framework limits the covered bond rating to a certain number of notches above the CB anchor.

For UBI Banca's mortgage covered bonds, Moody's assigned TPI remains "Probable".

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:

The CB anchor is the main determinant of a covered bond programme's rating robustness. A change in the level of the CB anchor could lead to an upgrade or downgrade of the covered bonds. The TPI Leeway measures the number of notches by which Moody's might lower the CB anchor before the rating agency downgrades the covered bonds because of TPI framework constraints.

Based on the current TPI of "Probable", the TPI Leeway for this programme is zero notches. This implies that Moody's might downgrade the covered bonds because of a TPI cap, if it lowers the CB anchor by one notch, all other variables being equal.

A multiple-notch downgrade of the covered bonds might occur in certain limited circumstances, such as (1) a sovereign downgrade negatively affecting both the CB anchor and the TPI; (2) a multiple-notch downgrade of the CB anchor; or (3) a material reduction of the value of the cover pool.

RATING METHODOLOGY

The principal methodology used in this rating was "Moody's Approach to Rating Covered Bonds" published in March 2014. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

We published a Request for Comment (RFC) on 8 January 2015. In the RFC, we propose an adjustment to the anchor point we use in our covered bond analysis. The proposed changes in this RFC apply to all new and existing ratings for covered bonds. If we adopt the proposed changes, we expect more covered bond ratings to be positively affected than negatively affected. However, in light of the banking RFC (see RFC published on 9 September 2014 by our Banking group) and the CR rating RFC , measure (see RFC published on 8 January 2015 by our Banking group) we are not in a position to fully assess and disclose the exact impact of the proposed changes to our covered bond methodology https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF390257.

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.

Moody's did not use any stress scenario simulations in its analysis.

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.

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.

Martin Lenhard
Vice President - Senior Analyst
Structured Finance Group
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Juan Pablo Soriano
MD - Structured Finance
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Releasing Office:
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's confirms Aa3 ratings of UBI Banca's covered bonds
No Related Data.
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