...Maximum Achievable Rating Reached: The 'A+' rating of the mortgage covered bonds (Obbligazioni Bancarie Garantite, OBG) issued by Banca Popolare di Sondrio ¡ Societa' Cooperativa per Azioni (BPS) benefits from a maximum four-notch uplift above BPS's Issuer Default Rating (IDR). The 78.74% asset percentage (AP) that Fitch relies upon is adequate to sustain timely payments up to the 'A-' tested rating on a probability of default (PD) basis and allows for a two-notch recovery uplift on the OBG assumed to be in default in a 'A+' scenario. High Discontinuity Risk: The programme's Discontinuity Cap (D-Cap) of 2 notches is driven by the high risk assessment of the liquidity gap and systemic risk component. In Fitch Ratings' view the 12-month principal maturity extension on the OBG provides a sufficient timeframe to refinance the cover pool and to bridge liquidity needs stemming from maturity mismatches in rating scenarios two notches above the IDR, as adjusted by the IDR uplift. Improved Breakeven...
