Press Release

Morningstar DBRS Downgrades Credit Ratings on Banca Carige S.p.A. Covered Bonds (OBG - Mortgages - Programme 1) to AA (low)

Covered Bonds
February 21, 2024

DBRS Ratings GmbH (Morningstar DBRS) downgraded its credit ratings on the obbligazioni bancarie garantite (OBG; the Italian legislative covered bonds) issued under the EUR 5,000,000,000 Banca Carige S.p.A. Covered Bonds Programme (the Programme) to AA (low) and removed the credit ratings from Under Review with Negative Implications (UR-Neg.), where they were placed on 17 November 2023.

This credit rating action reflects the interest rate increase that has occurred since the 2022 annual review, which affects the projected liquidation value of the fixed-rate portion of the cover pool (CP) following the assumed default of the reference entity (RE), as well as a change in the CP composition, which is now more significantly represented by fixed-rate loans: 80.8% of the total CP compared with 58.8% as of the previous cut-off date.

Morningstar DBRS’ review also considers a possible evolution in the composition of the CP, in light of further information provided by the Issuer on recent residential loans origination.

As of the date of this press release, there were 12 series of OBG outstanding under the Programme, totalling an outstanding nominal amount of EUR 1.9 billion. The series are all guaranteed by Carige Covered Bond S.r.l. (the Guarantor).

The credit ratings reflect the following analytical considerations:
-- A Covered Bonds Attachment Point (CBAP) of A (low), which is the Long Term Critical Obligations Rating of BPER Banca S.p.A. (BPER). BPER is the Issuer and RE for the Programme. Morningstar DBRS classifies Italy as a jurisdiction in which CBs are a particularly important funding instrument and deems the cover pool (CP) strategic for the core activity of the Issuer.
-- A Legal and Structuring Framework (LSF) Assessment of “Adequate” associated with the Programme.
-- A Cover Pool Credit Assessment (CPCA) of BBB, which is the lowest CPCA in line with the final LSF-Implied Likelihood (LSF-L).
-- An LSF-L of A (high).
-- A one-notch uplift on the LSF-L for good recovery prospects.
-- A committed minimum overcollateralisation (OC) of 34%, and the 45.0% OC to which Morningstar DBRS gives credit, equal to the minimum level observed in the past 12 months, adjusted by a scaling factor of 0.85.
-- The sovereign rating on the Republic of Italy, rated BBB (high) with a Stable trend by Morningstar DBRS, as of the date of this press release.

Morningstar DBRS analysed the transaction using its European Covered Bond Cash Flow tool. The main assumptions focused on the timing of defaults and recoveries of the assets, interest rate stresses, and market value spreads to calculate liquidation values on the CP.

Everything else being equal, a one-notch downgrade of the CBAP would lead to a two-notch downgrade of the LSF-L, resulting in a two-notch downgrade of the CB credit ratings.

In addition, all else remaining equal, the credit ratings on the CBs would be downgraded if any of the following occurred: (1) the CPCA was downgraded below BBB; (2) the quality of the CP and the level of OC were no longer sufficient to support a one-notch uplift for good recovery prospects; (3) the relative amortisation profiles of the OBG and the CP were to move adversely; (4) the LSF assessment associated with the Programme was downgraded; (5) volatility in the financial markets caused the currently estimated market value spreads to increase, or (6) the sovereign rating on the Republic of Italy was downgraded below BBB (high).

BNP Paribas, Italian branch acts as the account bank for this transaction. Based on Morningstar DBRS’ private rating on the account bank and the replacement provisions included in the transaction documentation, Morningstar DBRS considers the risk associated with such counterparty to be consistent with the credit ratings assigned, in accordance with its “Legal Criteria for European Structured Finance Transactions” methodology and “Global Methodology for Rating and Monitoring Covered Bonds”.

The total outstanding amount of OBG under the programme is currently EUR 1.9 billion. As at 31 December 2023, the balance of the CP totalled EUR 2.9 billion of residential loans (96.7% of the total pool balance) and commercial loans (3.3%) plus EUR 104 million of cash, resulting in a total OC of 53.0%.

The CP comprised 32,895 mortgage loans originated by a network of banks that were part of the Banca Carige Group.

As of 31 December 2023, the weighted-average current loan-to-value ratio of the mortgages was 53.0% with an average seasoning of 4.4 years. The assets securing the loans in the CP were mainly distributed in the Italian regions of Liguria (21.6% of the loan balance), Lombardy (19.4%), and Emilia-Romagna (10.5%).

The CP comprised fixed-for-life loans (81.5% by outstanding balance) and floating-rate loans (18.5%). The floating-rate mortgage loans are indexed to different plain-vanilla indices and reset at different dates.

In comparison, 100% of the liabilities pay a fixed rate.

The resulting interest rate risk has been considered in Morningstar DBRS’ cash flow analysis.

All CP assets and OBG are denominated in euros. As such, investors are not currently exposed to any foreign-exchange risk.

The weighted-average life (WAL) of the CP is 9.9 years whereas the WAL of the OBG, as of the date of this press release, was 4.0 years, taking into account the expected maturities. The resulting asset-liability maturity mismatch is mitigated by the 15-month maturity extension in case of an Issuer event of default and by the OC. Only Series 646 and Series 653 feature 12-month maturity extensions.

Morningstar DBRS assessed the LSF related to the Programme as “Adequate”, according to its rating methodology. For more information, please refer to the Morningstar DBRS commentary, “Italian Obbligazioni Bancarie Garantite Legal and Structuring Framework”, which is available on

Morningstar DBRS’ credit ratings on the outstanding CB series address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related interest payment amounts and the related principal amount.

Morningstar DBRS’ long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

Credit rating actions on the Issuer are likely to have an impact on these credit ratings.

There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the “Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings” at

All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is: “Global Methodology for Rating and Monitoring Covered Bonds” (8 May 2023);

Other methodologies referenced in this transaction are listed at the end of this press release.

In Morningstar DBRS’ opinion, the change under consideration does not require the application of the entire principal methodology. Therefore, Morningstar DBRS focused on the cash flow analysis.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent credit rating action.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Ratings on Other DBRS Morningstar Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at:

The sources of data and information used for these credit ratings include historical performance data (static pool default data for the residential pool from 2018 to 2022, dynamic pool recovery data for loans defaulted between 1995 and 2022, and dynamic pool prepayments data from 2015 to 2023), loan-level information on the CP as at 30 September 2023, stratification information on the CP as at 31 December 2023, and information on 2023 residential loans origination provided by the Issuer.

Morningstar DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial credit ratings, Morningstar DBRS was supplied with third-party assessments. However, this did not impact the credit rating analysis.

Morningstar DBRS considers the data and information available to it for the purposes of providing these credit ratings to be of satisfactory quality.

Morningstar DBRS does not audit or independently verify the data or information it receives in connection with the credit rating process.

The last credit rating action on this transaction took place on 17 November 2023, when Morningstar DBRS placed its credit ratings UR-Neg. on the CB Series outstanding under the Programme.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see

These credit ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Antonio Laudani, Vice President
Rating Committee Chair: Ketan Thaker, Managing Director
Initial Rating Date: 23 November 2015

DBRS Ratings GmbH, Sucursal en España
Paseo de la Castellana 81
Plantas 26 & 27
28046 Madrid
Tel. +34 (91) 903 6500

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The credit rating methodologies used in the analysis of this transaction can be found at:

-- Global Methodology for Rating and Monitoring Covered Bonds (8 May 2023),
-- Global Methodology for Rating and Monitoring Covered Bonds Addendum: Market Value Spreads (8 May 2023),
-- European RMBS Insight Methodology (27 March 2023) and European RMBS Insight model version,
-- European RMBS Insight: Italian Addendum (2 October 2023),
-- Global Methodology for Rating CLOs and Corporate CDOs (22 October 2023),
-- Rating CLOs Backed by Loans to European SMEs (22 October 2023) and SME Diversity Model version,
-- Global Methodology for Rating Banks and Banking Organisations (22 June 2023),
-- Legal Criteria for European Structured Finance Transactions (30 June 2023),
-- Interest Rate Stresses for European Structured Finance Transactions (15 September 2023),
-- Operational Risk Assessment for European Structured Finance Servicers (15 September 2023),
-- Operational Risk Assessment for European Structured Finance Originators (15 September 2023),
-- Global Methodology for Rating Sovereign Governments (6 October 2023),
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (23 January 2024),

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at:

For more information on this credit or on this industry, visit or contact us at