By 22nd March, 2014 Excursii in Delta Dunarii Comments Off

Therefore the breakeven AP to maintain the covered bond rating

Fitch Rates UniCredit Conditional Pass

UC recently restructured the canada goose jacket outlet store amortisation profile of buy canada goose uk the EUR9.1bn outstanding OBG under the programme to CPT from soft bullet. KEY RATING DRIVERS The ‘AA’ rating is based on UC’s Long Term Issuer Default Rating (IDR) of ‘BBB+’, an canada goose outlet hong kong IDR uplift of 1, a Discontinuity Cap (D Cap) of 8 (minimal discontinuity risk) and the undertaking of the issuer on the asset percentage (AP) canada goose outlet store uk of 82%, which provides more protection than the ‘AA’ breakeven AP of 84%. The Stable Outlook on the OBG reflects the large cushion of five notches canada goose outlet in montreal before a downgrade of UC’s IDR would be expected to impact the OBG rating. Despite the IDR uplift of 1 and the D Cap of 8, the ‘AA’ rating of the covered bonds benefits from a canada goose jacket outlet uk five notch uplift from the IDR leaving the CPT OBG less exposed to downward pressure on canada goose outlet toronto factory the IDR. The ‘AA’ rating is constrained by the level of AP which supports timely payments at ‘A+’ on a tested probability of default basis but not at a higher rating. The ‘AA’ breakeven AP also supports a two notch uplift for recoveries given default. The IDR uplift of 1 reflects the covered bonds exemption from bail in and Fitch’s view that resolution by other means than liquidation is likely due to the issuer’s global and domestic systemic importance and large size and complexity. The uplift is not higher because Fitch considers that senior unsecured debt is below the threshold of 5% of total adjusted assets and Fitch does not consider Italy a covered bond intensive jurisdiction. The D Cap of 8 reflects Fitch’s minimal discontinuity risk assessment related to the liquidity gap and systemic risk component. Fitch believes that the CPT amortisation profile of the covered bonds and the extendible maturity of 38 years canada goose outlet online uk eliminate the risk of refinancing needs leading to a forced sale of canada goose outlet in usa the assets, should the recourse switch to the cover canada goose outlet in vancouver pool. canada goose outlet new york city Fitch does not apply the “weak link” approach to programmes deemed to have minimal discontinuity risk, as long as the assessment on the other D Cap components does not raise any particular concern, which applies to this canada goose outlet winnipeg address programme. The breakeven AP for the ‘AA’ rating of 84% (equivalent to 19% breakeven over collateralisation (OC)), is driven by the credit loss component of 16.2%, due to the mixed nature of the cover pool. The cover pool’s credit loss component reflects the ‘AA’ rating canada goose outlet london default rate (RDR) of 41.6% and the canada goose outlet toronto location rating recovery rate of 66.4%. The high RDR reflects the 20.2% of the cover pool represented by SME loans, which have around 50% exposure to the real estate sector. It also reflects that canada goose outlet mall UC employee loans make up 11% of the total pool. Fitch has tested several sensitivities over the employee portion of the portfolio and believes the treatment of employee loans is not a rating driver based on the current portfolio composition. The high cash flow valuation component of 8.7% reflects the negative carry arising from the canada goose uk site 28 quarters recovery lag that Fitch assumes on average for the portfolio, which leads to Fitch’s increasing interest rates scenario being the most stressful for this programme. In addition, it is also driven by the set off loss Fitch canada goose outlet houston factors in its analysis due to the presence of UC employee loans, after a liquidation of the issuer materialises, and the unhedged open interest rate positions. The asset disposal loss component is nil and reflects the absence of a forced asset sale given the CPT feature canada goose outlet parka of the programme. The sum of the breakeven OC components is higher than the 19% ‘AA’ breakeven OC because Fitch tests for at least 91% recoveries (instead of 100%) on the covered bonds assumed to be defaulted. The credit loss and canada goose outlet montreal cash flow canada goose vest outlet valuation components are shown at the ‘AA’ of the OBG, canada goose outlet while the asset disposal component is based on the tested rating on a probability of default basis. Fitch takes into account canada goose factory outlet AP the issuer commits to in its quarterly investor report. RATING SENSITIVITIES The ‘AA’ rating would be vulnerable to downgrade if any of the following occurs: (i) the IDR of UC is downgraded by five or more canada goose parka uk notches to ‘BB ‘ or below; or (ii) the number canada goose outlet england of notches represented by the IDR uplift and the D Cap is reduced to 2; or (iii) the AP that Fitch considers in its analysis increases above Fitch’s ‘AA’ breakeven level of canada goose outlet kokemuksia 84%. Furthermore, if the programme AP reaches the maximum level allowed by the Italian covered bonds law of 100%, UC’s CPT OBG would be downgraded by one rating category to ‘A’. The Fitch breakeven AP for the covered bond rating will be affected, amongst others, by the profile of the cover assets relative to outstanding covered bonds, which can change over time, even in the absence of new issuance. Therefore the breakeven AP to maintain the covered bond rating cannot be assumed to remain stable over time. In the report Breaking Down Breakeven canada goose clothing uk Overcollateralisation, canada goose victoria parka outlet published 8 July 2014, Fitch details its approach for determining the breakeven OC components. Applicable Criteria and Related Research: Covered Bonds Rating Criteria here Counterparty Criteria for Structured Finance and Covered Bonds here Counterparty Criteria for Structured Finance canada goose outlet store toronto and Covered Bonds: Derivative Addendum here Covered Bonds Rating Criteria ” Mortgage Liquidity and Refinancing Stress Addendum here Criteria for Rating Granular Corporate Balance Sheet Securitisations (SME CLOs) here Breaking Down Breakeven Overcollateralisatihere EMEA Residential Mortgage Loss canada goose outlet in toronto Criteria here EMEA RMBS Master Rating Criteria here Criteria Addendum: Italy Residential Mortgage Loss and Cash Flow Assumptions here Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds here Additional Disclosure Solicitation Status here ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS canada goose outlet phone number AND DISCLAIMERS BY FOLLOWING THIS LINK: here. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE ‘CODE OF CONDUCT’ SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD canada goose outlet black friday sale ANALYST IS BASED IN AN EU REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

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