...D-Cap, AP Drive Rating: The `A(EXP)' rating of the mortgage covered bonds (obbligazioni bancarie garantite, OBG) issued by Banca Popolare di Sondrio ¡ Societa Cooperativa per Azioni (BPS, rated BBB/Negative/F3) is based on BPS' Long-Term (LT) Issuer Default Rating (IDR), an IDR uplift of `0', a Discontinuity Cap (D-Cap) of 1 (very high risk) and the undertaking of the issuer on the asset percentage (AP) of 78.74%, as published in its quarterly investor report. The breakeven AP for the `A(EXP)' rating is 80%. No Cushion Against IDR: BPS' OBG will benefit from the maximum available notch uplift from the issuer's `BBB' LT IDR. Any downward revision of BPS' LT IDR will cause a downgrade of the OBG; the covered bonds' Negative Outlook reflects the Negative Outlook on the LT IDR. Very High Discontinuity Risk: The D-Cap of 1 is driven by the "Very High" risk assessment for the liquidity gap and systemic risk component. In a systemic crisis, Fitch expects a deterioration of the sovereign's creditworthiness...
