Paris, January 15, 2019 -- Moody's Investors Service ("Moody's") has today placed on review
direction uncertain the Baa3 rating assigned to Banca Carige S.p.A.
- Mortgage Covered Bonds (residential), the Baa1 rating assigned
to Banca Carige S.p.A. - Mortgage Covered
Bonds (commercial) and the A2 rating assigned to Banca Carige S.p.A.
Mortgage Covered Bond Programme 3 (CPT), all issued by Banca Carige
S.p.A. (the issuer or Banca Carige) (deposits Caa1
on review direction uncertain; adjusted baseline credit assessment
ca; counterparty risk (CR) assessment B2(cr) on review direction
uncertain) and governed by the Italian covered bond legislation.
RATINGS RATIONALE
This rating action follows Moody's decision to place on review direction
uncertain Banca Carige's B2(cr) Counterparty Risk (CR) Assessment.
For further details on the rating actions on Banca Carige, please
refer to Moody's press release
http://www.moodys.com/viewresearchdoc.aspx?docid=PR_393558.
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); and
(2) the stressed losses on the cover pool assets should the issuer cease
making payments under the covered bonds (i.e., a CB
anchor event).
The CB anchor for the programmes is CR assessment plus 1 notch.
The CR assessment reflects an issuer's ability to avoid defaulting on
certain senior bank operating obligations and contractual commitments,
including covered bonds. Moody's may use a CB anchor of CR assessment
plus one notch in the European Union or otherwise where an operational
resolution regime is particularly likely to ensure continuity of covered
bond payments.
- The cover pool losses for Banca Carige S.p.A.
- Mortgage Covered Bonds (residential) are 17.6%.
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 12.2% and collateral risk of 5.4%.
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 8.1%.
The over-collateralisation in the cover pool is 39.6%,
of which Banca Carige provides 22% on a "committed" basis.
The minimum OC level consistent with the Baa3 rating target is 0.5%.
These numbers show that Moody's is not relying on "uncommitted" OC in
its expected loss analysis.
- The cover pool losses for Banca Carige S.p.A.
- Mortgage Covered Bonds (commercial) are 27.7%.
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 11.7% and collateral risk of 16%.
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 23.8%.
The over-collateralisation in the cover pool is 92.1%,
of which Banca Carige provides 32% on a "committed" basis.
The minimum OC level consistent with the Baa1 rating target is 16%.
These numbers show that Moody's is not relying on "uncommitted" OC in
its expected loss analysis.
- The cover pool losses for Banca Carige S.p.A.
Mortgage Covered Bond Programme 3 (CPT) are 20%. 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
15% and collateral risk of 5%. 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 7.5%.
The over-collateralisation in the cover pool is 39.4%,
of which Banca Carige provides 20.5% on a "committed" basis.
The minimum OC level consistent with the A2 rating target is 15.5%.
These numbers show that Moody's is not relying on "uncommitted" OC in
its expected loss analysis.
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. All numbers in
this section are based on the most recent Performance Overviews (based
on data, as of end June 2018).
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 Banca Carige S.p.A. - Mortgage Covered
Bonds (residential), Moody's has assigned a TPI of Probable.
For Banca Carige S.p.A. - Mortgage Covered
Bonds (commercial), Moody's has assigned a TPI of Probable-High.
For Banca Carige S.p.A. Mortgage Covered Bond Programme
3 (CPT), Moody's has assigned a TPI of Very High.
Factors that would lead to an upgrade or downgrade of the ratings:
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 levels, the TPI Leeway for these programmes
is zero notches.
A multiple-notch downgrade of the covered bonds might occur in
certain circumstances, such as (1) a country ceiling or sovereign
downgrade capping a covered bond rating or negatively affecting 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 these ratings was "Moody's Approach
to Rating Covered Bonds" published in November 2018. Please see
the Rating Methodologies page on www.moodys.com for a copy
of this methodology.
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 credit rating action on the support provider and in relation to
each particular credit 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 credit rating action,
and whose ratings may change as a result of this credit 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.
Anne-Sophie Spirito
Vice President - Senior Analyst
Structured Finance Group
Moody's France SAS
96 Boulevard Haussmann
Paris 75008
France
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Jose de Leon
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Releasing Office:
Moody's France SAS
96 Boulevard Haussmann
Paris 75008
France
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
