...No Cushion against IDR: The 'BBB-' rating of the mortgage covered bonds (Obbligazioni Bancarie Garantite, OBG) issued by Banca Carige S.p.A. - Cassa di Risparmio di Genova e Imperia Siglabile (Carige) benefits from a maximum of five-notch uplift above Carige's Long- Term Issuer Default Rating (IDR). The 80% asset percentage (AP) is adequate to sustain timely payments up to the 'BB-' tested rating on a probability of default (PD) basis and allows for a three-notch recovery uplift on the OBG assumed to be in default in a 'BBB-' scenario. High Discontinuity Risk: The Discontinuity Cap (D-Cap) of 2 is driven by the high risk assessment of the liquidity gap and systemic risk component. Liquidity gaps are mitigated by a dynamic reserve that covers three-month interest and senior expenses on a rolling basis, and a 15-month extendible maturity on the covered bonds. In Fitch Ratings' view the 15-month maturity extension provides a sufficient timeframe to refinance the cover pool in rating scenarios...
