...Counterparty Risk Limit Rating: The rating of the EUR2.1bn mortgage covered bonds (Obbligazioni Bancarie Garantite (OBG)) issued by Credito Emiliano S.p.A. (Credem, BBB+/Stable/F2) is constrained at 'A+' by the account bank's replacement provisions set upon the loss of the 'BBB+'/'F2' rating. In the absence of counterparty risk the OBG could achieve a 'AA-' rating, considering all the potential uplifts assigned. The 'A+' programme rating would not be affected by a one-notch Issuer Default Rating (IDR) downgrade. High Discontinuity Risk: The Discontinuity Cap (D-Cap) of two notches is driven by the high- risk assessment of the liquidity gap and systemic risk component. Fitch Ratings' view is that the soft bullet amortisation profile, with the 12-month extendible maturity, and the dynamic reserve covering three-month interests and senior expenses on a rolling basis mitigate the refinancing risk in a rating scenario up to two notches above the IDR, as adjusted by the IDR uplift. Maturity Mismatches...
