...No Cushion Against IDR: The mortgage covered bonds (obbligazioni bancarie garantite, OBG) issued by Banca Carige S.p.A. ¡ Cassa di Risparmio di Genova e Imperia Siglabile (Carige, BB/Negative/B; Viability Rating: b-/RWN) benefit from the maximum achievable notch uplift from the issuers Long-Term Issuer Default Rating (IDR) of ,,BB. Any downward revision of Cariges Long-Term IDR will cause a downgrade of the OBG. The Negative Outlook on the covered bonds reflects the Negative Outlook on the IDR. Maturity Mismatches Key: Fitch has revised downwards the ,,BBB+ breakeven asset percentage (AP) to 86% from the previous 87%. The weighted average (WA) life of the assets is 8.9 years and that of the liabilities is 4.8 years; stressed refinancing spreads assumptions for Italian residential mortgages and maturity mismatches remain the greatest contributors to the ,,BBB+ breakeven AP. The newly calculated 86% AP incorporates the revised asset assumptions for Italian residential mortgage loans. Very...
