London, 14 December 2017 -- Moody's Investors Service ("Moody's") has taken
the following rating actions:
- Banca Carige S.p.A. - Mortgage Covered
Bonds (residential) issued by Banca Carige S.p.A.
upgraded to Baa1 from Ba1
- Banca Carige S.p.A. - Mortgage Covered
Bonds (commercial) issued by Banca Carige S.p.A.
upgraded to A3 from Baa2
- Banca Carige S.p.A. Mortgage Covered Bond
Programme 3 (CPT) issued by Banca Carige S.p.A. upgraded
to A1 from A3
RATINGS RATIONALE
Today's rating action is prompted by Moody's upgrade on 13 December 2017
of Banca Carige S.p.A.'s Counterparty Risk Assessment
to B1(cr) from B3(cr). For additional details, please see
http://www.moodys.com/viewresearchdoc.aspx?docid=PR_376765
The Timely Payment Indicator (TPI) assigned to these transactions is:
- Probable for Banca Carige S.p.A. -
Mortgage Covered Bonds (residential);
- Probable High for Banca Carige S.p.A. -
Mortgage Covered Bonds (commercial); and
- Very High for Banca Carige S.p.A. Mortgage
Covered Bond Programme 3 (CPT).
Moody's TPI framework does constrain the rating of these covered
bonds at their current levels.
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 cover pool losses are an estimate of the losses Moody's currently
models following a CB anchor event. Moody's splits cover
pool losses between market risk and collateral risk. 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 is derived from the collateral score, which measures
losses resulting directly from the cover pool assets' credit quality.
Banca Carige S.p.A. - Mortgage Covered Bonds
(residential)
The CB anchor for Banca Carige S.p.A. - Mortgage
Covered Bonds (residential) is the CR assessment plus 1 notch.
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 of Banca Carige S.p.A. -
Mortgage Covered Bonds (residential) are 18.0%, with
market risk of 12.6% and collateral risk of 5.3%.
The collateral score for this programme is currently 8.0%.
The over-collateralisation in this cover pool is 40.7%,
of which Banca Carige S.p.A. provides 22%
on a "committed" basis. The minimum OC level that is
consistent with the Baa1 rating is 3.5%. 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 Moody's most recent modelling (based on
data, as of 30/06/2017).
Banca Carige S.p.A. - Mortgage Covered Bonds
(commercial)
The CB anchor for Banca Carige S.p.A. - Mortgage
Covered Bonds (commercial) is the CR assessment plus 1 notch. 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 of Banca Carige S.p.A. -
Mortgage Covered Bonds (commercial) are 30.3%, with
market risk of 11.7% and collateral risk of 18.7%.
The collateral score for this programme is currently 27.9%.
The over-collateralisation in this cover pool is 112.9%,
of which Banca Carige S.p.A. provides 32%
on a "committed" basis. The minimum OC level that is
consistent with the A3 rating is 20.5%. 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 Moody's most recent modelling (based on
data, as of 30/06/2017).
Banca Carige S.p.A. Mortgage Covered Bond Programme
3 (CPT)
The CB anchor for Banca Carige S.p.A. Mortgage Covered
Bond Programme 3 (CPT) is the CR assessment plus 1 notch. 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 of Banca Carige S.p.A. Mortgage
Covered Bond Programme 3 (CPT) are 18.2%, with market
risk of 13.2% and collateral risk of 5.0%.
The collateral score for this programme is currently 7.5%.
The over-collateralisation in this cover pool is 38.2%,
of which Banca Carige S.p.A. provides 20.5%
on a "committed" basis. The minimum OC level that is consistent
with the A1 rating is 13.5%. 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 Moody's most recent modelling (based on
data, as of 30/06/2017).
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.
The TPI assigned to these transactions is
- Probable for Banca Carige S.p.A. -
Mortgage Covered Bonds (residential);
- Probable High for Banca Carige S.p.A. -
Mortgage Covered Bonds (commercial); and
- Very High for Banca Carige S.p.A. Mortgage
Covered Bond Programme 3 (CPT),
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 or none, 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.
RATING METHODOLOGY
The principal methodology used in these ratings was "Moody's
Approach to Rating Covered Bonds" published in December 2016.
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.
The below contact information is provided for information purposes only.
Please see the ratings tab of the issuer page at www.moodys.com,
for each of the ratings covered, Moody's disclosures on the
lead rating analyst and the Moody's legal entity that has issued
the ratings.
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.
Elise Savoye
Asst Vice President - 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
Juan Pablo Soriano
MD - Structured Finance
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Valentina di Vito
AVP - Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Releasing Office:
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
