Paris, January 11, 2022 -- Moody's Investors Service ("Moody's") has today placed on review for upgrade
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 watch for possible upgrade; adjusted baseline credit assessment
caa1 on watch for possible upgrade; counterparty risk (CR) assessment
B2(cr) on watch for possible upgrade) and governed by the Italian covered
bond legislation.
RATINGS RATIONALE
This rating action follows Moody's decision to place on review for upgrade
Banca Carige's Counterparty Risk (CR) Assessment, currently B2 (cr).
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_460331.
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 (such cessation,
a CB anchor event); and (2) the estimated losses that will accrue
to covered bondholders should a CB anchor event occur. We express
the probability of a CB anchor event as a point on our alpha-numeric
rating scale (i.e. the CB anchor), which is typically
one notch higher than the issuer's CR assessment.
The CB anchor for the three programmes is B1, being the CR assessment
of Banca Carige plus 1 notch.
- The cover pool losses for Banca Carige S.p.A.
- Mortgage Covered Bonds (residential) are 16.4%.
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 11.2% and collateral risk of 5.2%.
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 7.7%.
The over-collateralisation in the cover pool is 170.6 %,
of which Banca Carige provides 22% on a "committed"
basis. Under Moody's COBOL model, the minimum OC consistent
with the Baa3 rating is 0.0%. 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 22.2%.
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 11.1% and collateral risk of 11.1%.
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 16.6%.
The over-collateralisation in the cover pool is 123.9 %,
of which Banca Carige provides 32.0% on a "committed"
basis. Under Moody's COBOL model, the minimum OC consistent
with the Baa1 rating is 12.5%. 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 Bond Programme 3 (CPT) are 24.0%.
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 19.0% and collateral risk of 5.0%.
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 59.0%,
of which Banca Carige provides 20.5% on a "committed"
basis. Under Moody's COBOL model, the minimum OC consistent
with the A2 rating is 18.5%. 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 " Covered Bonds Sector Update
", published quarterly. All numbers in this section are based
on the most recent Performance Overviews (based on data as of end June
2021).
TPI FRAMEWORK: Moody's assigns a "timely payment indicator"
(TPI), which is our assessment of the likelihood of timely payment
of interest and principal to covered bondholders following a CB anchor
event. TPIs are assessed as Very High, High, Probable-High,
Probable, Improbable or Very Improbable. 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.
RATING METHODOLOGY
The principal methodology used in these ratings was "Moody's
Approach to Rating Covered Bonds" published in December 2021 and
available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1307630.
Alternatively, please see the Rating Methodologies page on www.moodys.com
for a copy of this methodology.
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.
The TPI Leeway for these programmes is limited, and thus any reduction
of the CB anchor may lead to a downgrade of the covered bonds.
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.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and
sensitivity analysis, see the sections Methodology Assumptions and
Sensitivity to Assumptions in the disclosure form. Moody's
Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.
Moody's did not use any stress scenario simulations in its analysis.
For ratings issued on a program, series, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or note of the
same series, category/class of debt, security 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.
The ratings have been disclosed to the rated entity or its designated
agent(s) and issued with no amendment resulting from that disclosure.
These ratings are solicited. Please refer to Moody's Policy
for Designating and Assigning Unsolicited Credit Ratings available on
its website www.moodys.com.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Moody's general principles for assessing environmental, social
and governance (ESG) risks in our credit analysis can be found at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1288235.
The Global Scale Credit Rating on this Credit Rating Announcement was
issued by one of Moody's affiliates outside the UK and is endorsed
by Moody's Investors Service Limited, One Canada Square,
Canary Wharf, London E14 5FA under the law applicable to credit
rating agencies in the UK. Further information on the UK endorsement
status and on the Moody's office that issued the credit rating is
available on www.moodys.com.
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
