Banca Monte dei Paschi di Siena S.p.A. Covered Bonds (OBG - Mortgages - Programme 1): Surveillance Report
The A (high) ratings currently assigned by DBRS Ratings Limited (DBRS) to the Obbligazioni Bancarie Garantite (OBG; the Italian legislative covered bonds) outstanding under the Banca Monte dei Paschi di Siena S.p.A. (BMPS or the Issuer) Covered Bonds Programme (BMPS CB1 or the Programme) reflect the following analytical considerations:• A Covered Bonds Attachment Point (CBAP) of BBB (low), being the long-term Critical Obligations Rating (LT COR) of BMPS. BMPS is the Issuer and the Reference Entity for the Programme.
• A Legal and Structuring Framework (LSF) Assessment of Very Strong associated with the Programme.
• A Cover Pool Credit Assessment (CPCA) of BBB (low), being the lowest CPCA in line with the assigned LSF-Implied Likelihood (LSF-L).
• An LSF-Implied Likelihood (LSF-L) of A (low).
• A two-notch uplift for high recovery prospects.
• A level of overcollateralisation (OC) of 24.1% to which DBRS gives credit, which is the minimum level observed in the last 12 months adjusted by a scaling factor of 0.9. The Issuer commits to an Asset Percentage of 83%, corresponding to a level of committed OC of 20.5%.
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